ASRI: Aggregated Systemic Risk Index

Real-time systemic risk monitoring for cryptocurrency markets

Working Paper DAI-2509 | Dissensus AI | Dashboard

Abstract

This paper introduces the Aggregated Systemic Risk Index (ASRI), the first composite measure designed to monitor systemic risks arising from DeFi-TradFi interconnection. ASRI aggregates four sub-indices -- Stablecoin Concentration Risk, DeFi Liquidity Risk, Contagion Risk, and Regulatory Opacity Risk -- into a daily composite score. Validated against four major crypto crises (Terra/Luna, Celsius/3AC, FTX, SVB), event study analysis detects statistically significant abnormal stress for all four events (t-statistics 5.47--32.64, all p < 0.01), with threshold-based detection identifying three of four at an average 30-day lead time. A Hidden Markov Model identifies three risk regimes with persistence exceeding 97%. Out-of-sample testing on 2024--2025 data confirms zero false positives. ASRI captures DeFi-specific vulnerabilities -- composability risk, flash loan exposure, and RWA linkages -- that traditional measures such as SRISK and CoVaR cannot accommodate. An open-source implementation with live dashboard is provided.

Key Findings

Finding	Result
Crisis detection	Statistically significant abnormal stress for all 4 major crises (t-stats 5.47--32.64, p < 0.01)
Early warning	Threshold-based detection identifies 3/4 crises at ~30-day lead time
Regime persistence	HMM identifies 3 risk regimes with >97% persistence
Out-of-sample validation	Zero false positives on 2024--2025 holdout data
DeFi-specific coverage	Captures composability risk, flash loan exposure, and RWA linkages

Keywords

systemic risk, cryptocurrency, decentralized finance, stablecoin stability, contagion risk, DeFi-TradFi interconnection, risk monitoring

Architecture

ASRI comprises four weighted sub-indices aggregated into a daily composite score:

Sub-Index	Weight	Coverage
Stablecoin Concentration Risk	30%	Peg deviation, dominance, reserve opacity
DeFi Liquidity Risk	25%	TVL drawdowns, protocol concentration, composability
Contagion Risk	25%	Cross-market correlation, exchange flow, cascade metrics
Regulatory Opacity Risk	20%	Classification uncertainty, enforcement patterns

Project Structure

asri/
├── src/asri/
│   ├── api/          # FastAPI endpoints
│   ├── ingestion/    # Data source connectors
│   ├── signals/      # Sub-index calculations
│   └── models/       # Database models
├── tests/            # Test suite
├── scripts/          # Utility scripts
├── config/           # Configuration files
└── docs/             # Documentation

API Endpoints

GET /asri/current          # Current ASRI value + sub-indices
GET /asri/timeseries       # Historical data
GET /asri/subindex/{name}  # Individual sub-index
GET /asri/stress-test      # Scenario analysis
GET /asri/methodology      # Documentation

Data Sources

Source	Type	Status
DeFi Llama	TVL, volumes	Planned
Token Terminal	Protocol metrics	Planned
FRED	Macro indicators	Planned
Messari	On-chain data	Conditional
Chainalysis	Risk reports	Crawler

Getting Started

# Clone
git clone https://github.com/studiofarzulla/asri.git
cd asri

# Setup environment
python -m venv .venv
source .venv/bin/activate
pip install -e ".[dev]"

# Configure
cp .env.example .env
# Edit .env with your API keys

# Run
uvicorn asri.api.main:app --reload

Citation

@article{farzulla2025asri,
  author    = {Farzulla, Murad and Maksakov, Andrew},
  title     = {ASRI: An Aggregated Systemic Risk Index for Cryptocurrency Markets},
  year      = {2025},
  eprint    = {2602.03874},
  archivePrefix = {arXiv},
  primaryClass  = {q-fin.RM},
  doi       = {10.5281/zenodo.17918239}
}

Authors

• Murad Farzulla -- Dissensus AI & King's College London
  • ORCID: 0009-0002-7164-8704
  • Email: murad@dissensus.ai
• Andrew Maksakov -- Dissensus AI

License

Paper content: CC-BY-4.0 | Code: MIT