如何评估DeFi项目的风险?看Gauntlet与DeFiPulse的风险评分工具_LBRCHINA_站在未来看现在

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DeFi参与者很大可能也难以评估项目的风险,这对社区以外的参与者来说就更难了。然而DeFi想要扩大受众面,让受众对风险有充分认识是必不可少的。10月14日,DeFi实时数据分析平台DeFi Pulse宣布与DeFi模拟平台Gauntlet合作推出“DeFi Pulse 经济安全评分”,这套评分体系观测的是哪些维度?如何帮助我们对项目进行风险评估?让我们看一下Gauntlet的介绍:

对于DeFi社区以外的许多人来说,投资像Compound或Aave这样安全的项目,他们还是觉得风险非常高。但还是会有人不在意风险一事,比如刚过去的EMN事件,一条推文引发的前仆后继跟风。即使对于那些已经使用DeFi产品多年、风险承受能力强的人来说,仍然难以对不同协议的风险做出评估与比较。比如说,可以在Aave上以2%的利息出借USDC,而在Cream.finance可获得的利息是4%,那值不值得冒风险选择后者?

许多人甚至不知道去中心化借贷存在哪些风险因素,更不用说如何量化这些风险了。有的借贷协议的用户甚至不了解清算是什么,这是防止造成存款人损失的最重要部分。Gauntlet正在构建管理DeFi风险的平台。我们利用平台的“自动治理”功能帮助协议设置安全参数,让协议可以在风险和资本效率之间进行权衡。但这带出了一个问题-我们如何让用户知道这些风险?

Gauntlet推出对DeFi协议的风险评分。从抵押贷款开始,我们创建了一个量化投资者在获得这些产品收益时面临的市场风险的标准。利用来自集中式和分散式交易所的数据以及链上用户数据,我们能够针对协议智能合约直接运行模拟,以估计市场风险。这将使用户可以使用一致的框架来决定整个协议的风险。我们正在与DeFi Pulse合作,将这些分数发布为“经济安全等级”。DeFiPulse一直是教育用户有关DeFi协议的领导者,我们很高兴能够携手帮助人们更好地了解风险。

Gauntlet正在推出DeFi协议的风险评分。从抵押借贷开始,我们已经创建了一个标准,用于量化投资者在DeFi产品中赚取收益时面临的市场风险。利用来自中心化和去中心化交易所的数据,结合链上用户数据,我们能够直接针对协议的智能合约进行模拟运行,估算市场风险。用户可以使用同一框架对不同协议的风险进行评估。Gauntlet正在与DeFi Pulse合作,将风险评估得分以 “经济安全等级 “的形式发布。DeFiPulse在DeFi协议的用户教育方面一直处于领先地位。

如何评估DeFi项目的风险?看Gauntlet与DeFiPulse的风险评分工具_LBRCHINA_站在未来看现在 如何评估DeFi项目的风险?看Gauntlet与DeFiPulse的风险评分工具_LBRCHINA_站在未来看现在

DeFi Pulse上的“经济安全等级”得分,点击查看

链上借贷的风险

在这篇文章中,我们将深入介绍如何衡量抵押借贷的风险(后台回复“Comp”可获取Gauntlet对Compound的风险评估报告)。存款人在链上借贷中的主要风险是平台无力偿还,即该协议可能没有足够的抵押品来偿还给存户。这并不是参与者面临的唯一风险,例如借款人可能需要关心利率的快速变化。但是,对风险的评分集中在这种无力偿还的风险上。一些关键因素会导致这种风险:

1.用户行为 2.抵押品波动 3.相关抵押品流动性 4.协议参数 5.智能合约风险

Gauntlet的评分并不旨在能够建模智能合约风险,例如重入攻击(reentrancy attacks)。我们认为审计和正式的验证工具最适合评估这种形式的风险,其他四个因素极大地决定了被审核的链上借贷协议破产的可能性。 当用户在Compound上借款时,他们会选择提供多少抵押物和承担多少债务。正是这种用户行为影响了协议中清算的频率。如果借款人规避风险,只针对自己的抵押物出小仓位(比如10元抵押物出3元债),那么仓位变得符合清算条件的可能性就很小,更不用说产生破产风险了。在这里,另一个明显影响风险的是抵押品的波动性。如果抵押品的价值变化很大,25%的跌幅是正常范围,但如果不是这样,破产的可能性就可以忽略不计。协议还可以限制借款人进行非常高风险的持仓,这样可以让协议参数降低风险。

如何评估DeFi项目的风险?看Gauntlet与DeFiPulse的风险评分工具_LBRCHINA_站在未来看现在

该协议的成功还取决于清算人是否有能力进行盈利性清算。如果不清算头寸,存款人就不能保证协议的偿付能力。考虑到给清算人的抵押品的折扣,可能还不清楚他们怎么会亏损。眼下,链上借贷合约有数十亿美元的存款。清算人可能要在短时间内购买数亿美元的抵押品。折扣提供了一个巨大的盈利机会,但这也伴随着巨大的风险。如果在试图出售抵押品时,抵押品的价格下跌怎么办?如果退出巨大的抵押品头寸会动摇市场,造成滑点怎么办?很难想象750美元的头寸会有5%的滑点,但7,500万美元的资产就不会,特别是对于流动性差的抵押品类型。大额的清算会累积起来,推动抵押资产的价格进一步下跌,引发其他借款头寸的一连串清算。

Compound、Aave、Maker支持的一些抵押品,有几天出现了在交易所的日交易量小于智能合约的持债总量的情况。正是相关品的流动性,或者说相对于所使用的抵押品的数量,给清算人带来了这种风险。

经济安全评分模型-Alpha版本

如何评估DeFi项目的风险?看Gauntlet与DeFiPulse的风险评分工具_LBRCHINA_站在未来看现在

对于第一个版本的评分,我们建立了一个涵盖这四个风险因素的模型。我们的模拟环境允许代理直接与协议的真实的智能合约进行交互。为了构建代理人使用的借款策略,我们从链上状态来确定用户的风险程度(在这种情况下,通过查看链上抵押品比率)。为了捕捉相关的流动性风险,我们从交易所提取数据来模拟价格波动和抵押品流动性。我们使用观察到的波动率来生成符合市场条件的合成价格轨迹。然后,针对订单数据训练一个回归模型,以了解清算人在当前市场流动性下可能面临的滑点。在模拟模型中,有实际的清算机器人在运行,直接调用智能合约来清算仓位。通过对数千条价格轨迹进行模拟运行,可以估算出无法偿还的可能性,从而估算出协议中的风险。最后将该分数1标准化为100,得出我们在DeFi Pulse上看到的风险分数。

如何评估DeFi项目的风险?看Gauntlet与DeFiPulse的风险评分工具_LBRCHINA_站在未来看现在

得分解释

在发布时,我们将为Aave和Compound这两个链上借贷协议提供风险评分。我们还做了几个简化的假设,希望在未来风险评分版本的中继续使用。

  • 选择 “风险最高的抵押品”–我们分析历史流动性和波动性数据以确定最有可能导致问题的抵押品类型。这通常是最不稳定的抵押品类型,但也可以只是最常用的抵押品类型。这种资产对流动性的要求最大,因为需要清算的资产太多。
  • 然后,我们估计用户以这种抵押品类型借入稳定币的系统风险。目前稳定币在Aave上的借款占比超过70%,在Compound上占比超过90%。我们希望支持的下一个协议Maker的稳定币借款率为100%。

安全评分Beta及以上

在alpha版本中,我们并没有涵盖借贷协议用户所遇到的所有风险。精明的观察者可能已经注意到我们省略了协议流动性不足的情况。我们希望在构建测试版的过程中,对这点以及其他一些事情进行建模:

  • 极端的网络拥堵 (我们目前包含了gas费成本,但还可以做很多改进)
  • 考虑到历史资产价格的相关性,支持对多资产抵押品和借款的清算分,(以及对这些关系的冲击),类似于传统金融中的组合压力测试。
  • 协议储备–Aave和Maker都用他们的代币来支持存款(在Maker的例子里是发行DAI)。Compound有一个储备金,治理层可以用来偿还存款人,这些都可以降低风险,这些将被希望纳入模型中。
  • 其他风险因素,如主网上观察到的清算地址数量。如果一个协议没有一个有竞争力的清算生态系统,那么失败的可能性就会更大。
  • Gauntlet讲支持更多的协议,并尽快发布公开的文档,让希望得到评分的协议知道他们可以做什么得以被收录。

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