Real-time systemic risk monitoring for cryptocurrency markets

Working Paper DAI-2509 | Dissensus AI | Dashboard

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.

Paper links:

• arXiv: https://arxiv.org/abs/2602.03874
• DOI: https://doi.org/10.48550/arXiv.2602.03874

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

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

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 

GET /asri/current # Current ASRI value + sub-indices GET /asri/timeseries # Historical data GET /asri/subindex/{name} # Individual sub-index GET /asri/regime # Regime classification GET /asri/validation # Validation summary GET /asri/methodology # Documentation 

• Canonical dashboard: https://asri.dissensus.ai/
• Canonical API base: https://asri.dissensus.ai/api
• Canonical docs: https://asri.dissensus.ai/docs
• Legacy API compatibility: https://api.dissensus.ai/*

# 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

@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} }

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

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