Related papers: Systemic Risk in DeFi: A Network-Based Fragility A…
We introduce the Clockwork Finance Framework (CFF), a general purpose, formal verification framework for mechanized reasoning about the economic security properties of composed decentralized-finance (DeFi) smart contracts. CFF features…
We provide a framework for detecting relevant insurance companies in a systemic risk perspective. Among the alternative methodologies for measuring systemic risk, we propose a complex network approach where insurers are linked to form a…
Banks in the interbank network can not assess the true risks associated with lending to other banks in the network, unless they have full information on the riskiness of all the other banks. These risks can be estimated by using network…
Financial speculators often seek to increase their potential gains with leverage. Debt is a popular form of leverage, and with over 39.88B USD of total value locked (TVL), the Decentralized Finance (DeFi) lending markets are thriving.…
Decentralized Finance (DeFi) is a nascent set of financial services, using tokens, smart contracts, and blockchain technology as financial instruments. We investigate four possible drivers of DeFi returns: exposure to cryptocurrency market,…
Smart contracts govern billions of dollars in decentralized finance (DeFi), yet automated vulnerability detection remains challenging because many vulnerabilities are tightly coupled with project-specific business logic. We observe that…
Management of systemic risk in financial markets is traditionally associated with setting (higher) capital requirements for market participants. There are indications that while equity ratios have been increased massively since the…
For the class of noisy time-delay linear consensus networks, we obtain explicit formulas for risk of large fluctuations of a scalar observable as a function of Laplacian spectrum and its eigenvectors. It is shown that there is an intrinsic…
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…
Antifragility characterizes the benefit of a dynamical system derived from the variability in environmental perturbations. Antifragility carries a precise definition that quantifies a system's output response to input variability. Systems…
Flash Loan attack can grab millions of dollars from decentralized vaults in one single transaction, drawing increasing attention from the Decentralized Finance (DeFi) players. It has also demonstrated an exciting opportunity that a huge…
As it is known in the finance risk and macroeconomics literature, risk-sharing in large portfolios may increase the probability of creation of default clusters and of systemic risk. We review recent developments on mathematical and…
The electric power grid is a critical societal resource connecting multiple infrastructural domains such as agriculture, transportation, and manufacturing. The electrical grid as an infrastructure is shaped by human activity and public…
Effective risk management solutions become absolutely crucial when financial markets embrace distributed technology and decentralized financing (DeFi). This study offers a thorough survey and comparative analysis of the integration of…
The global financial crisis in 2007-2009 demonstrated that systemic risk can spread all over the world through a complex web of financial linkages, yet we still lack fundamental knowledge about the evolution of the financial web. In…
Traditional methods for identifying impactful liquidity providers (LPs) in Concentrated Liquidity Market Makers (CLMMs) rely on broad measures, such as nominal capital size or surface-level activity, which often lead to inaccurate risk…
Stealth attacks pose potential risks to cyber-physical systems because they are difficult to detect. Assessing the risk of systems under stealth attacks remains an open challenge, especially in nonlinear systems. To comprehensively quantify…
In public railway systems, minor disruptions can trigger cascading events that lead to delays in the entire system. Typically, delays originate and propagate because the equipment is blocking ways, operational units are unavailable, or at…
The failure of key financial institutions may accelerate risk contagion due to their interconnections within the system. In this paper, we propose a robust portfolio strategy to mitigate systemic risks during extreme events. We use the…
This paper maps the emerging market for decentralized credit in which ERC 4626 vaults and third-party curators, rather than monolithic lending protocols alone, increasingly determine underwriting and leverage decisions. We show that modular…