ASRI: An Aggregated Systemic Risk Index for Cryptocurrency Markets

Murad Farzulla and Andrew Maksakov

Papers from arXiv.org

Abstract: 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 Llama, Federal Reserve FRED, and on-chain analytics, we validate against four historical crises (Terra/Luna, Celsius/3AC, FTX, SVB). Event study analysis detects significant abnormal signals for all four (t-statistics 5.47-32.64, p 97% persistence; structural stability tests pass (Chow p = 0.993). Benchmarking against Diebold-Yilmaz connectedness shows equivalent detection (75%) with higher precision (33.5% vs. 22.4%). Out-of-sample specificity testing on 2024-2025 data confirms zero false positives, correctly classifying the $1.5B Bybit hack as non-systemic. ASRI captures DeFi-specific vulnerabilities -- composability risk, flash loan exposure, and tokenized RWA linkages -- that SRISK and CoVaR cannot accommodate.

Date: 2026-02, Revised 2026-02
New Economics Papers: this item is included in nep-fmk, nep-mon and nep-pay
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