Decentralized finance (DeFi) is a rapidly evolving blockchain technology that offers a new perspective on financial services through web3 applications. DeFi offers developers the flexibility to create financial services using smart contracts, leading to a lack of standardized protocols and challenges in applying traditional finance models for risk assessment, especially during the early stages of adoption. The Maker protocol is a prominent DeFi platform known for its diverse functionalities, including loan services. This study focuses on analyzing the risk associated with Maker’s loan portfolio by developing a risk model based on multiple Brownian motions passage levels with Brownian motions representing different collateral types and levels being users’ collateralization ratios. Through numerical experiments using artificial and real data, we evaluate the model’s effectiveness in assessing risk within the loan portfolio. While our findings demonstrate the model’s potential for assessing risk within a single DeFi project, it is important to acknowledge that the model’s assumptions may not be fully applicable to real-world data. This research underscores the importance of developing project-specific risk assessment models for individual DeFi projects and encourages further exploration of other DeFi protocols.
Fri 26 JulDisplayed time zone: Beijing, Chongqing, Hong Kong, Urumqi change
10:45 - 12:00 | Session 1 - Smart Contract SecurityResearch Track at The ballroom B Chair(s): Ruidong Zhang University of Wisconsin-Eau Claire | ||
10:45 15mPaper | ACOFuzz: an Ant Colony Algorithm-based Fuzzer for Smart Contracts Research Track Peixuan Feng Henan Key Laboratory of Network Cryptography Technology, Wenrui Cao Henan Key Laboratory of Network Cryptography Technology, Siqi Lu Henan Key Laboratory of Network Cryptography Technology, Yongjuan Wang Henan Key Laboratory of Network Cryptography Technology, Haoyuan Xue Henan Key Laboratory of Network Cryptography Technology, Runnan Yang Henan Armed Police Corps Hospital | ||
11:00 15mPaper | DelegateTracker: Delegatecall Vulnerability Detection Tool Based on Read-Write Data Flow Capture Algorithm Research Track Peixuan Feng Henan Key Laboratory of Network Cryptography Technology, Wenrui Cao Henan Key Laboratory of Network Cryptography Technology, Siqi Lu Henan Key Laboratory of Network Cryptography Technology, Yongjuan Wang Henan Key Laboratory of Network Cryptography Technology, Xiangyu Wang Henan Key Laboratory of Network Cryptography Technology, Runnan Yang Henan Armed Police Corps Hospital | ||
11:15 15mPaper | SoK: On the Security of Non-Fungible Tokens Research Track Kai Ma , Jintao Huang Huazhong University of Science and Technology, Ningyu He Peking University, Zhuo Wang , Haoyu Wang Huazhong University of Science and Technology | ||
11:30 15mPaper | To Healthier Ethereum: A Comprehensive and Iterative Smart Contract Weakness Enumeration Research Track Jiachi Chen Sun Yat-sen University, Mingyuan Huang Sun Yat-sen University, Zewei Lin Sun Yat-sen University, Peilin Zheng Sun Yat-sen University, Zibin Zheng Sun Yat-sen University | ||
11:45 15mPaper | DeFi Risk Assessment: MakerDAO Loan Portfolio Case Research Track Ignat Melnikov Skolkovo Institute of Science and Technology; Blockchain Laboratory, Sberbank PJSC, Irina Lebedeva Skolkovo Institute of Science and Technology, Blockchain Laboratory, Sberbank PJSC, Artem Petrov Blockchain Laboratory, Sberbank PJSC; Blockchain Department, Moscow Institute of Physics and Technology, Yury Yanovich Skolkovo Institute of Science and Technology; Faculty of Computer Science, HSE University |