DeFi尾部风险定价：是协议还是存款人对操作风险定价？
Pricing the DeFi Tail: Do Protocols or Depositors Price Operational Risk?
浏览论文内容
中文总结 AI 辅助
本文量化DeFi各行业操作风险尾部，发现无缓冲场所支付更高溢价但仍不足覆盖风险，建议以信息披露替代资本监管。
中文摘要 AI 辅助
与银行类似，DeFi协议使存款人面临操作风险（自2020年以来1075起事件涉及94.5亿美元），但与银行不同，它们无需为此持有资本。协议可自愿维持缓冲，若无缓冲，风险将由存款人承担，此时存款人应在供给收益率中要求风险溢价。本文对一个基准进行潜在尾部风险量化：采用按细分行业划分的巴塞尔损失分布方法，适配新的操作风险事件数据集，并针对该基准测试两种边际。四个核心行业的尾部风险未超过Moscadelli银行区间[0.85,1.39]；桥接、衍生品及剩余其他行业呈现网络安全损失级尾部风险（ξ帽≈1.6），点估计值超过无限均值边界。借贷尾部意味着99.9%置信水平下的风险价值（VaR99.9）资本缓冲占总锁仓价值（TVL）的18%，而十大借贷场所中，四家的缓冲平均覆盖其TVL的5%。在市场纪律下，存款人应在场所未维持缓冲时要求更高收益率作为补偿。研究发现，无缓冲的场所比有缓冲的场所支付更高溢价（中位数相差125个基点），这是市场向正确方向区分的证据，但该溢价远不足以覆盖合理定价的尾部风险。这种未定价的尾部风险不成比例地落在零售存款人身上，他们仅能看到挂牌利率，却缺乏对其定价的信息和技能。由于这些产品不受银行监管，本文建议采用信息披露而非资本强制要求：协议及任何提供访问权限的服务提供商应公布标准化损失、现有资本缓冲及尾部覆盖情况。
英文摘要
Similar to banks, DeFi protocols expose depositors to operational risk (USD 9.45 billion across 1,075 events since 2020). Unlike banks, they are not required to hold capital against it. A protocol may maintain a buffer voluntarily. Absent one, the risk falls on the depositor, who should then demand a risk premium in the supply yield. I quantify the underlying tail on one benchmark, a per-sector Basel loss-distribution approach fitted to a new operational risk event dataset, and test both margins against it. Tails in the four core sectors are no heavier than the Moscadelli banking band $[0.85, 1.39]$. Bridge, Derivatives, and the residual Other sector exhibit cyber-loss-level tails ($\hatξ\approx 1.6$), with point estimates past the infinite-mean boundary. The Lending tail implies a $\mathrm{VaR}_{99.9}$ capital buffer of 18% of TVL and of the ten largest Lending venues, the four holding a buffer cover on average 5% of it. Under market discipline, depositors should demand a higher yield in compensation where a venue does not maintain a buffer. I find that venues without a buffer pay a higher premium than those with (a 125-bps gap in medians): evidence the market discriminates in the right direction. However, the premium falls far short of an adequately priced tail. This unpriced tail falls disproportionately on the retail depositor, who sees only the posted rate but lacks the information and skills to price it. Because these products are not bank-regulated, I recommend disclosure over capital mandates: protocols, and any service providers that front access to it, should publish standardized losses, existing capital buffers and tail coverage.
发表机构
- Zurich University of Applied Sciences（苏黎世应用科学大学）
机构由 AI 辅助整理，请以论文原文为准。
