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ASRI: An Aggregated Systemic Risk Index for Cryptocurrency Markets

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  • Murad Farzulla
  • Andrew Maksakov

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.

Suggested Citation

  • Murad Farzulla & Andrew Maksakov, 2026. "ASRI: An Aggregated Systemic Risk Index for Cryptocurrency Markets," Papers 2602.03874, arXiv.org, revised Feb 2026.
    • Handle: RePEc:arx:papers:2602.03874
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