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Financial intermediation and risk in decentralized lending protocols

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dc.contributor.gruplacGrupo de investigaciones. Facultad de Economía. Universidad del Rosariospa
dc.creatorCastro, Carlos
dc.creatorRamirez, Julian
dc.creatorVelez, Sebastian
dc.date.accessioned2021-07-28T17:07:44Z
dc.date.available2021-07-28T17:07:44Z
dc.date.created2021-07-27
dc.date.issued2021-07-28
dc.descriptionEn este trabajo analizamos los protocolos Compound y Aave que ofrecen prestamos colateralizados a los inversionistas en criptoactivos. Compound y Aave son dos de las aplicaciones mas importantes en el ecosistema de las finanzas descentralizadas (DeFi). Utilizando información publica de las tasas, la actividad de depósitos y prestamos y las cuentas analizamos diferentes aspectos de estos protocolos. En particular, encontramos que el margen de intermediación ex-post que considera todos los mercados es de 1% y menor para los mercados de los stablecoins. Adicionalmente, estimamos indicadores trimestrales de solvencia, calidad de activos, ganancias y riesgo de mercado similares a los que se utilizan para analizar la banca tradicional. Este ejercicio proporciona una primera aproximación del uso de estas métricas y la comparación de las similitudes y los retos para entender la intermediación financiera en estos protocolos basados en herramientas utilizadas para el análisis de entidades bancarias.spa
dc.description.abstractWe provide an overview of decentralized protocols like Compound and Aave that offer collateralized loans for cryptoasset investors. Compound and Aave are two of the most important application in the decentralized finance (DeFi) ecosystem. Using publicly available information on rates, supply and borrow activity, and accounts we analyze different elements of the protocols. In particular, we estimate ex-post margins that give a comprehensive account of the cost of financial intermediation. We find that ex-post margins considering all markets are 1% and lower for stablecoin markets. In addition, we estimate quarterly indicators regarding solvency, asset quality, earnings and market risk similar to the ones used in traditional banking. This provides a first look at the use of these metrics and a comparison between the similarities and challenges to our understanding of financial intermediation in these protocols based on tools used for traditional banking.spa
dc.format.extent34 pp.spa
dc.format.mimetypeapplication/pdf
dc.identifier.doihttps://doi.org/10.48713/10336_31936
dc.identifier.urihttps://repository.urosario.edu.co/handle/10336/31936
dc.language.isoengspa
dc.publisherUniversidad del Rosario
dc.publisher.departmentFacultad de Economía
dc.relation.ispartofDocumentos de trabajo economía, (2021); 34 pp.spa
dc.relation.urihttps://papers.ssrn.com/sol3/papers.cfm?abstract_id=3893278spa
dc.relation.urihttps://ideas.repec.org/p/col/000092/019420.html
dc.rightsAtribución-CompartirIgual 2.5 Colombia*
dc.rights.accesRightsinfo:eu-repo/semantics/openAccess
dc.rights.accesoAbierto (Texto Completo)spa
dc.rights.urihttp://creativecommons.org/licenses/by-sa/2.5/co/
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dc.source.instnameinstname:Universidad del Rosario
dc.source.reponamereponame:Repositorio Institucional EdocUR
dc.subjectPrestamos colateralizadosspa
dc.subjectSistemas de DeFi (Finanzas descentralizadas) basadas en cadenas de bloques (blockchains)spa
dc.subjectMargen de intermediación ex-post de los stablecoinsspa
dc.subjectServicios financieros basados en Tokens criptoactivos y criptomonedasspa
dc.subjectCompound (protocolo de tasa de interés algorítmico y autónomo)spa
dc.subjectAave (Protocolo DeFi de código abierto)spa
dc.subjectAnálisis CAMELS (Adecuación de Capital, Calidad de Activos, Gestión, Ganancias y Liquidez)spa
dc.subjectMedición del costo de la intermediación financiera para el Protocolo Compoundspa
dc.subjectAnálisis de riesgo para el Protocolo Compoundspa
dc.subject.ddcEconomía financieraspa
dc.subject.ddcMétodos especiales de computaciónspa
dc.subject.jelC63spa
dc.subject.jelC80spa
dc.subject.jelE51spa
dc.subject.jelG21spa
dc.subject.jelG23spa
dc.subject.jelG51spa
dc.subject.jelO16spa
dc.subject.jelO33spa
dc.subject.keywordCollateralized loansspa
dc.subject.keywordDeFi (Decentralized Finance) systems based on blockchainsspa
dc.subject.keywordStablecoins ex-post intermediation marginspa
dc.subject.keywordFinancial services based on cryptoactive tokens and cryptocurrenciesspa
dc.subject.keywordComposite (autonomous and algorithmic interest rate protocol)spa
dc.subject.keywordAave (Open Source DeFi Protocol)spa
dc.subject.keywordCAMELS Analysis (Capital Adequacy, Asset Quality, Management, Earnings and Liquidity)spa
dc.subject.keywordMeasurement of the cost of financial intermediation for the Compound Protocolspa
dc.subject.keywordRisk analysis for the Composite Protocolspa
dc.titleFinancial intermediation and risk in decentralized lending protocolsspa
dc.title.TranslatedTitleIntermediación financiera y riesgo en protocolos de préstamos descentralizadosspa
dc.typeworkingPapereng
dc.type.hasVersioninfo:eu-repo/semantics/draft
dc.type.spaDocumento de trabajospa
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