ABSTRACT

The objective is to assess the variability of collateral crypto-assets used in secured lending on the blockchain. Using the coefficient of variation, the study estimates volatility of selected assets and implied risk intensity for both borrowers and lenders on blockchain-based lending. The coefficient of variation model was adopted by testing volatility. The model produced a number of key empirical observations from January 2017 to December 2018 reflecting market swings resulting in volatility, despite its simplicity, using Bitcoin, Ethereum and Ripple crypto-assets. The results of the study provide clarity on the crypto-assets bullish and bearish markets and whether there is a correlation between crypto-assets and Bitcoin market dominance. The recommendations include that financial institutions should de-risk their investment, participate in the crypto-currency domain and ensure financial inclusion; concepts of traditional asset-backed lending could be implemented by looking at 50 percent loan-to-value ratio.

摘要

目的是评估用于区块链担保借贷的抵押加密资产的可变性。该研究使用变异系数估计了选定资产的波动性以及借款人和贷方在基于区块链的贷款中的隐含风险强度。通过波动率检验采用变异系数模型。该模型在 2017 年 1 月至 2018 年 12 月期间产生了许多关键的经验观察，反映了市场波动导致的波动，尽管其简单，但使用比特币、以太坊和瑞波加密资产。研究结果清楚地说明了加密资产看涨和看跌市场，以及加密资产与比特币市场主导地位之间是否存在相关性。建议包括金融机构应降低其投资风险，参与加密货币领域并确保金融包容性；可以通过查看 50% 的贷款价值比来实施传统资产支持贷款的概念。