Beyond Traditional Boundaries: The Utility of DeFi Derivatives
DOI:
https://doi.org/10.36676/sjmbt.v3.i2.74Keywords:
DeFi Derivatives, Decentralized Finance, financial servicesAbstract
In the scholarly literature on financial services, the prevailing paradigm over the past century was the supply of lending, borrowing, trading, and investment by regulated intermediaries, i.e. mainly banks, brokers and exchanges. These are institutions, which operate under a known regulatory structure that assumes homogeneity in their operations. Most recently, the fusion of an entirely new set of technologies such as Decentralized Finance (DeFi) has been changing the sector in a very fundamental way. Blockchain technology currently provides a framework, with the help of which financial applications can perform the transaction process automatically without the existence of central power and, thus, create an environment that is transparent and available.
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calculate_var.py - Python script for calculating Historical Value-at-Risk (VaR) for DeFi assets.
Available at: /home/ubuntu/calculate_var.py
backtest_var.py - Python script for backtesting VaR models using historical data. Available at:
/home/ubuntu/backtest_var.py
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Data Set for historical analysis
https://docs.google.com/spreadsheets/d/1RKJy99y_HJIR523DSHmd7mWFJPF8c54mCl-XDO9LaAA
/edit?usp=sharing
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