Related papers: Systemic Risk in DeFi: A Network-Based Fragility A…
Supply chain disruptions constitute an often underestimated risk for financial stability. As in financial networks, systemic risks in production networks arises when the local failure of one firm impacts the production of others and might…
The global balance index is used in the network literature to quantify how balanced a signed network is. In this paper we show that the global balance index of financial correlation networks can be used as a systemic risk measure. We define…
A growing body of studies on systemic risk in financial markets has emphasized the key importance of taking into consideration the complex interconnections among financial institutions. Much effort has been put in modeling the contagion…
Since the latest financial crisis, the idea of systemic risk has received considerable interest. In particular, contagion effects arising from cross-holdings between interconnected financial firms have been studied extensively. Drawing…
As decentralized finance (DeFi) evolves, distinguishing between user behaviors - liquidity provision versus active trading - has become vital for risk modeling and on-chain reputation. We propose a behavioral scoring framework for Uniswap…
Decentralized Finance (DeFi) is a prominent application of smart contracts, representing a novel financial paradigm in contrast to centralized finance. While DeFi applications are rapidly emerging on mainstream blockchain platforms, their…
Decentralized finance introduces new business models and use cases as part of digital finance. Restaking has recently emerged as a transformative mechanism in DeFi, promising extra yields but introducing complex and interconnected risks.…
With the development of decentralized finance (DeFi), lending protocols have been increasingly proposed in the market. A comprehensive and in-depth evaluation of lending protocol is essential to the DeFi market participants. Due to the…
Lending protocols are one of the main applications of Decentralized Finance (DeFi), enabling crypto-assets loan markets with a total value estimated in the tens of billions of dollars. Unlike traditional lending systems, these protocols…
Evaluation of systemic risk in networks of financial institutions in general requires information of inter-institution financial exposures. In the framework of Debt Rank algorithm, we introduce an approximate method of systemic risk…
Decentralized finance (DeFi) in Ethereum is a financial ecosystem built on the blockchain that has locked over 200 billion USD until April 2022. All transaction information is transparent and open when transacting through the DeFi protocol,…
Research capacity is critical in understanding systemic risk and informing new regulation. Banking regulation has not kept pace with all the complexities of financial innovation. The academic literature on systemic risk is rapidly…
In normal times, it is assumed that financial institutions operating in non-overlapping sectors have complementary and distinct outcomes, typically reflected in mostly uncorrelated outcomes and asset returns. Such is the reasoning behind…
We propose a new framework for measuring connectedness among financial variables that arises due to heterogeneous frequency responses to shocks. To estimate connectedness in short-, medium-, and long-term financial cycles, we introduce a…
The interconnectedness of financial institutions affects instability and credit crises. To quantify systemic risk we introduce here the PD model, a dynamic model that combines credit risk techniques with a contagion mechanism on the network…
The global financial system can be represented as a large complex network in which banks, hedge funds and other financial institutions are interconnected to each other through visible and invisible financial linkages. Recently, a lot of…
We introduce the Aggregated Systemic Risk Index (ASRI), comprising four weighted sub-indices: Stablecoin Concentration Risk (30%), DeFi Liquidity Risk (25%), Contagion Risk (25%), and Regulatory Opacity Risk (20%). Using data from DeFi…
Decentralized finance (DeFi) protocols are crypto projects developed on the blockchain to manage digital assets. Attacks on DeFi have been frequent and have resulted in losses exceeding \$77 billion. However, detection methods for malicious…
Decentralised Finance (DeFi) applications constitute an entire financial ecosystem deployed on blockchains. Such applications are based on complex protocols and incentive mechanisms whose financial safety is hard to determine. Besides,…
Decentralized Finance (DeFi) staking is one of the most prominent applications within the DeFi ecosystem, where DeFi projects enable users to stake tokens on the platform and reward participants with additional tokens. However, logical…