Liquidations: DeFi on a Knife-Edge
Liquidations: DeFi on a Knife-Edge
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DOI：
10.1007/978-3-662-64331-0_24
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发表时间：
2020-09
期刊：
影响因子：
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通讯作者：
Daniel Perez;Sam M. Werner;Jiahua Xu;B. Livshits
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文献类型：
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作者：
Daniel Perez;Sam M. Werner;Jiahua Xu;B. Livshits
无许可区块链的不信任性质使得过度抵押成为去中心化金融（DeFi）协议所依赖的关键安全组件。然而，价格波动等因素可能会破坏这一机制。为了保护协议免受损失，欠抵押头寸可以被抵消。在本文中，我们提出了第一个深入的实证分析的清算协议的可贷资金（PLF）。我们研究了化合物，最广泛使用的PLF之一，从概念开始到2020年9月。我们分析参与者的行为和风险偏好，特别是阐明最近的动态协议的发展。此外，我们评估了这是如何随着复合激励结构的修改而改变的，并表明资产美元价格仅3%的变化就可能导致超过1000万美元的流动性。为了进一步理解这一点的含义，我们调查了清算人的效率。我们发现，清算人的效率随着时间的推移有了显着提高，目前超过70%的清算头寸被立即清算。最后，我们讨论了对非托管稳定币稳定性的误解所产生的错误安全感如何增加了复合参与者面临的整体清算风险。
The trustless nature of permissionless blockchains renders overcollateralization a key safety component relied upon by decentralized finance (DeFi) protocols. Nonetheless, factors such as price volatility may undermine this mechanism. In order to protect protocols from suffering losses, undercollateralized positions can beliquidated. In this paper, we present the first in-depth empirical analysis of liquidations on protocols for loanable funds (PLFs). We examine Compound, one of the most widely used PLFs, for a period starting from its conception to September 2020. We analyze participants’ behavior and risk-appetite in particular, to elucidate recent developments in the dynamics of the protocol. Furthermore, we assess how this has changed with a modification in Compound’s incentive structure and show that variations of only 3% in an asset’s dollar price can result in over 10 m USD becoming liquidable. To further understand the implications of this, we investigate the efficiency of liquidators. We find that liquidators’ efficiency has improved significantly over time, with currently over 70% of liquidable positions being immediately liquidated. Lastly, we provide a discussion on how a false sense of security fostered by a misconception of the stability of non-custodial stablecoins, increases the overall liquidation risk faced by Compound participants.