Related papers: Systemic Risk in DeFi: A Network-Based Fragility A…
The meteoric rise of Decentralized Finance (DeFi) has been accompanied by a plethora of frequent and often financially devastating attacks on its protocols There have been over 70 exploits of DeFi protocols, with the total of lost funds…
We present the first formal treatment of \emph{yield tokenization}, a mechanism that decomposes yield-bearing assets into principal and yield components to facilitate risk transfer and price discovery in decentralized finance (DeFi). We…
We consider a financial network represented at any time instance by a random liability graph which evolves over time. The agents connect through credit instruments borrowed from each other or through direct lending, and these create the…
Classical measures of structural reliability, such as the probability of failure and the related reliability index, are still widely applied in practice. However, these measures are frequency-based only, and they do not give information…
Decentralized Finance (DeFi) offers a whole new investment experience and has quickly emerged as an enticing alternative to Centralized Finance (CeFi). Rapidly growing market size and active users, however, have also made DeFi a lucrative…
Computing systems, including real-time embedded systems, are becoming increasingly connected to allow for more advanced and safer operation. Such embedded systems are resource-constrained, such as lower processing capabilities, as compared…
Synthetic assets are decentralized finance (DeFi) analogues of derivatives in the traditional finance (TradFi) world - financial arrangements which derive value from and are directly pegged to fluctuations in the value of an underlying…
We consider a large random network, in which the performance of a node depends upon that of its neighbours and some external random influence factors. This results in random vector valued fixed-point (FP) equations in large dimensional…
Systemic risk refers to the risk that the financial system is susceptible to failures due to the characteristics of the system itself. The tremendous cost of systemic risk requires the design and implementation of tools for the efficient…
Understanding and characterizing the vulnerability of urban infrastructures, which refers to the engineering facilities essential for the regular running of cities and that exist naturally in the form of networks, is of great value to us.…
Interconnected systems such as power systems and chemical processes are often required to satisfy safety properties in the presence of faults and attacks. Verifying safety of these systems, however, is computationally challenging due to…
This paper elaborates about the potential risk of systemic instabilities in future networks and proposes a methodology to mitigate it. The starting concept is modeling the network as a complex environment (e.g. ecosystem) of resources and…
Total value locked (TVL) is widely used to measure the size and popularity of decentralized finance (DeFi). However, TVL can be easily manipulated and inflated through "double counting" activities such as wrapping and leveraging. As…
The instability of the financial system as experienced in recent years and in previous periods is often linked to credit defaults, i.e., to the failure of obligors to make promised payments. Given the large number of credit contracts, this…
Financial markets are exposed to systemic risk (SR), the risk that a major fraction of the system ceases to function, and collapses. It has recently become possible to quantify SR in terms of underlying financial networks where nodes…
Realistic credit risk assessment, the estimation of losses from counterparty's failure, is central for the financial stability. Credit risk models focus on the financial conditions of borrowers and only marginally consider other risks from…
Volatility of financial stock is referring to the degree of uncertainty or risk embedded within a stock's dynamics. Such risk has been received huge amounts of attention from diverse financial researchers. By following the concept of…
In November, 2011, the Financial Stability Board, in collaboration with the International Monetary Fund, published a list of 29 "systemically important financial institutions" (SIFIs). This designation reflects a concern that the failure of…
Recent work in the area of interdependent networks has focused on interactions between two systems of the same type. However, an important and ubiquitous class of systems are those involving monitoring and control, an example of…
How will Decentralized Finance transform financial services? Using New Institutional Economics and Dynamic Capabilities Theory, I analyse survey data from 109 experts using non-parametric methods. Experts span traditional finance, DeFi…