分散的金融危机
The Decentralized Financial Crisis
摘要：
2008年的全球金融危机，由过度的金融风险积累引起，激发了中本聪创造比特币的灵感。十多年后的今天，去中心化金融（DeFi）是一种点对点金融模式，利用基于区块链的智能合约来确保其完整性和安全性，截至2020年4月15日，其资本超过7.02亿美元。随着这一生态系统的发展，它正面临着它本应防止的那种金融崩溃的风险。在本文中，我们将探讨DeFi协议中的设计缺陷和价格波动如何导致DeFi危机。我们专注于DeFi借贷协议，因为它们目前构成了DeFi生态系统的大部分，截至2020年4月15日，它们的资本市场份额为76%。首先，我们证明了攻击Maker的治理设计以完全控制该协议的可行性，该协议是市场份额最大的DeFi协议，这将允许盗窃0.5亿美元的抵押品并铸造无限供应的DAI代币。在此过程中，我们提出了一种利用所谓的闪贷的新策略，该策略原则上允许在两次交易中执行治理攻击，而无需锁定任何资产。在我们披露攻击细节大约两周后，Maker修改了治理参数，减轻了攻击向量。其次，我们转向DeFi贷款协议中金融风险的核心组成部分。受中央银行进行的压力测试的启发，我们为程式化的DeFi贷款协议开发了一个压力测试框架，将我们的注意力集中在流动性枯竭对协议偿付能力的影响上。根据我们的参数，我们发现，如果流动性足够差，一个总债务为4亿美元的贷款协议可能在19天内成为抵押不足。
英文摘要：
The Global Financial Crisis of 2008, caused by the accumulation of excessive financial risk, inspired Satoshi Nakamoto to create Bitcoin. Now, more than ten years later, Decentralized Finance (DeFi), a peer-to-peer financial paradigm which leverages blockchain-based smart contracts to ensure its integrity and security, contains over 702m USD of capital as of April 15th, 2020. As this ecosystem develops, it is at risk of the very sort of financial meltdown it is supposed to be preventing. In this paper we explore how design weaknesses and price fluctuations in DeFi protocols could lead to a DeFi crisis. We focus on DeFi lending protocols as they currently constitute most of the DeFi ecosystem with a 76% market share by capital as of April 15th, 2020. First, we demonstrate the feasibility of attacking Maker's governance design to take full control of the protocol, the largest DeFi protocol by market share, which would have allowed the theft of 0.5bn USD of collateral and the minting of an unlimited supply of DAI tokens. In doing so, we present a novel strategy utilizing so-called flash loans that would have in principle allowed the execution of the governance attack in just two transactions and without the need to lock any assets. Approximately two weeks after we disclosed the attack details, Maker modified the governance parameters mitigating the attack vectors. Second, we turn to a central component of financial risk in DeFi lending protocols. Inspired by stress-testing as performed by central banks, we develop a stress-testing framework for a stylized DeFi lending protocol, focusing our attention on the impact of a drying-up of liquidity on protocol solvency. Based on our parameters, we find that with sufficiently illiquidity a lending protocol with a total debt of 400m USD could become undercollateralized within 19 days.
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