Related papers: Institutionalizing risk curation in decentralized …
Technological advancement drives financial innovation, reshaping the traditional finance landscape and redefining user-market interactions. The rise of blockchain and Decentralized Finance (DeFi) underscores this intertwined evolution of…
Blockchains, and specifically smart contracts, have promised to create fair and transparent trading ecosystems. Unfortunately, we show that this promise has not been met. We document and quantify the widespread and rising deployment of…
Total Value Locked (TVL) aims to measure the aggregate value of cryptoassets deposited in Decentralized Finance (DeFi) protocols. Although blockchain data is public, the way TVL is computed is not well understood. In practice, its…
Auto-deleveraging (ADL) mechanisms are a critical yet understudied component of risk management on cryptocurrency futures exchanges. When available margin and other loss-absorbing resources are insufficient to cover losses following large…
Decentralized techniques are becoming crucial and ubiquitous with the rapid advancement of distributed ledger technologies such as the blockchain. Numerous decentralized systems have been developed to address security and privacy issues…
Foundation models - already transformative in domains such as natural language processing - are now starting to emerge for time-series tasks in finance. While these pretrained architectures promise versatile predictive signals, little is…
In order to scale transaction rates for deployment across the global web, many cryptocurrencies have deployed so-called "Layer-2" networks of private payment channels. An idealized payment network behaves like a Credit Network, a model for…
Tokenized real-world assets (RWAs) are often evaluated through headline indicators such as total value locked (TVL) or on-chain asset value. However, a large asset base does not necessarily imply low risk, since tokenized assets may remain…
We present a detailed analysis of interest rate derivatives valuation under credit risk and collateral modeling. We show how the credit and collateral extended valuation framework in Pallavicini et al (2011), and the related collateralized…
In this work, we explore the class of Ethereum smart contracts called the administrated ERC20 tokens. We demonstrate that these contracts are more owner-controlled and less safe than the services they try to disrupt, such as banks and…
We propose a hybrid model of portfolio credit risk where the dynamics of the underlying latent variables is governed by a one factor GARCH process. The distinctive feature of such processes is that the long-term aggregate return…
Scholarly communication is today immersed in publish or perish culture that propels noncooperative behaviour in the sense of strategic games played by researchers. Here we introduce and describe a blockchain based platform for decentralized…
Smart contract access control mechanisms can introduce centralization into supposedly decentralized ecosystems. In our view, such centralization is an overlooked risk of smart contracts that underlies well-known smart contract security…
Decentralized AI systems, such as federated learning, can play a critical role in further unlocking AI asset marketplaces (e.g., healthcare data marketplaces) thanks to increased asset privacy protection. Unlocking this big potential…
The rise of Web3 and Decentralized Finance (DeFi) has enabled borderless access to financial services empowered by smart contracts and blockchain technology. However, the ecosystem's trustless, permissionless, and borderless nature presents…
Decentralization is understood both by professionals in the blockchain industry and general users as a core design goal of permissionless ledgers. However, its meaning is far from universally agreed, and often it is easier to get opinions…
This work explores the characteristics of financial contagion in networks whose links distributions approaches a power law, using a model that defines banks balance sheets from information of network connectivity. By varying the parameters…
As of August 2022, blockchain-based assets boast a combined market capitalisation exceeding one trillion USD, among which the most prominent are the decentralised autonomous organisation (DAO) tokens associated with decentralised finance…
We study liquidity on decentralized exchanges (DEXs), identifying factors at the platform, blockchain, token pair, and liquidity pool levels with predictive power for market depth metrics. We introduce the v2 counterfactual spread metric, a…
As an integral part of the decentralized finance (DeFi) ecosystem, decentralized exchanges (DEXs) with automated market maker (AMM) protocols have gained massive traction with the recently revived interest in blockchain and distributed…