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fjribi/cross-asset-liquidation-risk

Closed-form, correlation-adjusted liquidation probability and safe-LTV for cross-asset (volatile-debt) DeFi loans — fast calculator, geometric intuition, figures, and tests.

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Python

1 contributors

MIT License

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Just published: "Liquidation Is a Relative-Volatility Problem." When you borrow one volatile asset against another in DeFi (WBTC debt on ETH, looping wstETH), what liquidates you isn't how far either…

@FJribiX · x.com

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