ASRI: An Aggregated Systemic Risk Index for Cryptocurrency Markets

Murad Farzulla and Andrew Maksakov

Papers from arXiv.org

Abstract: Cryptocurrency markets have grown to represent over $3 trillion in capitalization, yet no unified index exists to monitor the systemic risks arising from the interconnection between decentralized finance (DeFi) protocols and traditional financial institutions. This paper introduces the Aggregated Systemic Risk Index (ASRI), a composite measure comprising four weighted sub-indices: Stablecoin Concentration Risk (30%), DeFi Liquidity Risk (25%), Contagion Risk (25%), and Regulatory Opacity Risk (20%). We derive theoretical foundations for each component, specify quantitative formulas incorporating data from DeFi Llama, Federal Reserve FRED, and on-chain analytics, and validate the framework against historical crisis events including the Terra/Luna collapse (May 2022), the Celsius/3AC contagion (June 2022), the FTX bankruptcy (November 2022), and the SVB banking crisis (March 2023). Event study analysis detects statistically significant abnormal signals for all four crises (t-statistics 5.47-32.64, all p

Date: 2026-02
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