Problem
Research questions and friction points this paper is trying to address.
DeFi
systemic risk
stable coins
collateral
Measuring Defi Risk
🤖 AI Summary
本文针对DeFi借贷风险问题，通过构建一个仅需总存款和借款数据的框架来评估系统整体风险，为投资者提供预警。
📝 Abstract
Decentralized finance (DeFi) lending has grown from nonexistent in 2017 to nearly 40 billion US Dollars in deposited funds in May 2022. Using cryptocurrency as collateral, the platforms match speculative margin trading with yield-seeking depositors lending coins pegged to the dollar (stable coins). Depositors receive claims guaranteed by a basket of collateral, akin to new stable coins. We develop a framework requiring only knowledge of aggregate deposits and borrowings to measure overall system risks to lenders and borrowers. Using evidence from major protocols, the measures identify an increase in system fragility beyond prudent levels around mid 2021, with a potential loss of peg for extreme variations in coin prices. Overall, the model offers an easily implementable aggregate risk metric capturing the perspectives of synthetic investors and offers early warning signals as the industry is moving from deposits guaranteed by collateral to fiat money.
Innovation
Methods, ideas, or system contributions that make the work stand out.
aggregate risk metric
system fragility
stable coins
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