Main Conference Day One - GMT (Greenwich Mean Time, GMTZ)
- Mahdi Anvari - Head of Equity Derivatives Quantitative Analysis, Millennium
- Catherine Shalen - Former Director, CBOE Research Department
- Jim Gatheral - Presidential Professor of Mathematics, Baruch College, CUNY
- Alexandre Antonov - Quanitative Research and Development Lead, ADIA
- Jessica James - Managing Director, Senior Quantitative Researcher, Commerzbank AG
- Fabrizio Anfuso - Senior Technical Specialist, Bank of England
- Vincent Denoiseux - Managing Director, Head of Product Innovation and Research, iShares EMEA, BlackRock
- Richard Turner - Partner, Numeraire Capital
- Mahdi Anvari - Head of Equity Derivatives Quantitative Analysis, Millennium
- Guillaume Pealat - Founding Partner, Gallium Investment Partners
We analyse liquidity risk in decentralised finance (DeFi) lending protocols, focusing on bad debt arising from toxic liquidations and liquidity pool depletion caused by large-scale liquidations or bank-run-like dynamics. We examine how inadequate liquidity management can generate systemic vulnerabilities and pro-cyclical feedback effects, even in systems that appear robust under normal conditions. Although over-collateralisation is intended to protect lending platforms, it remains unclear whether this mechanism alone is sufficient to prevent bad debt accumulation or liquidity shortages capable of triggering contagion across the wider DeFi ecosystem. To address these issues, the paper develops an agent-based model of an Aave-like decentralised lending protocol to analyse the incidence, scale, and dynamics of liquidity risk events. Particular attention is given to the interaction between liquidation mechanisms, protocol parameters, and user incentives in generating instability and pro-cyclical behaviour.
- Carol Alexander - Research Council at Exponential Science and Professor of Finance, University of Sussex
- Brian Huge - Head of Financial Modelling, Trafigura