【作者】 杨帅；

【导师】 崔巍；

【作者基本信息】 华南理工大学 ， 控制科学与工程， 2023， 硕士

【摘要】 去中心化金融(Decentralized Finance,DeFi)在过去的几年时间内呈现爆发式的增长,它将区块链技术与传统金融服务融合构建了一种新的金融范式。DeFi涉及的金融领域非常广泛,主要包括借贷、去中心化交易所、稳定币和金融衍生品等。截止到2022年6月份,DeFi的锁仓量已经到达了720亿美元,巨大的潜力引发了对DeFi的前沿研究。DeFi借贷协议作为DeFi领域中最主要的组成部分,其锁仓量占据了DeFi的44.3%,吸引了大量的用户和资本。随着Web3.0时代的到来,DeFi市场上出现了越来越多的借贷协议,然而现阶段并没有一个有效的综合评价模型的来对去中心化金融借贷协议实施合理的监管与分析。因此,对于借贷协议的综合评价是一项非常有意义的工作。针对上述问题,本文分析了借贷协议的去中心化程度和市场风险,并基于AHP方法构建了DeFi借贷协议综合评价系统对借贷协议进行排名。主要的研究内容如下:1)针对现有度量指标会低估借贷协议去中心化程度的问题,本文通过对协议代币地址进行分类筛选以及对特定合约地址代币映射,获取了协议真实的去中心化程度。将三个主流代币作为研究案例进行了实验仿真,验证了协议的去中心化程度被一定程度的低估。2)针对市场风险无法量化的问题,本文构建了借贷协议市场风险评估模型,基于此模型分别模拟了抵押物处于短期下行风险和长期下行风险时借贷协议的安全性,通过实验仿真获取协议在市场风险的安全得分发现,抵押物流动性与抵押物波动率与安全得分分别呈正相关和负相关。此外,通过分析借款人在长期下行风险下的行为发现,借款人为了规避清算会提高协议的安全性。3)基于层次分析法方法构建DeFi借贷协议的综合评价系统,提出了覆盖借贷协议各个方面的三个一级指标和十个二级指标,然后使用该模型对DeFi中主流的六个借贷协议进行了综合评价和排名。通过分析借贷协议的一级指标以及相对应的二级指标的变化,解释了借贷协议排名波动的原因,并且证明了该模型的有效性和合理性。更多还原

【Abstract】 Decentralized Finance(DeFi)has shown explosive growth in the past few years.It integrates blockchain technology with traditional financial services to build a new financial paradigm.DeFi involves a wide range of financial fields,including lending,decentralized exchanges,stablecoins,and financial derivatives.In June 2022,the total locked value of DeFi has reached 72 billion US dollars,and the huge development potential has attracted cutting-edge research on DeFi.As the most important part of the DeFi field,the DeFi lending protocol accounts for 44.3% of DeFi’s total locked value,attracting a large number of users and capital.With the advent of the Web3.0 era,more and more lending protocols have appeared in the DeFi market.However,at this stage,there is no effective comprehensive evaluation model to implement reasonable supervision and analysis on decentralized financial lending protocols.Therefore,the comprehensive evaluation of the lending protocol is a very meaningful research.In response to the above problems,this thesis analyzes the decentralization and market risk of lending protocols,and builds a comprehensive evaluation system for DeFi lending protocols based on the AHP method to rank lending protocols.The main research contents are as follows:1)To solve the problem of the measurement of decentralization underestimate the degree of decentralization of the protocol,this thesis obtains the decentralization of the protocol by classifying and screening the protocol token addresses and mapping the tokens of specific contract addresses.Experimental simulations are carried out using three mainstream tokens as research cases,and it is verified that the degree of decentralization of the protocol is underestimated to a certain extent.2)For the problem that market risk cannot be quantified,this thesis build a market risk assessment model for lending protocols.Based on this model,the security of lending agreements is simulated when the collateral is at short-term downside risk and long-term downside risk.The security score of the protocol in market risk is obtained through experimental simulation.The volatility of the asset is positively and negatively correlated with the safety score,respectively.In addition,by analyzing the behavior of borrowers under long-term downside risks,it is found that borrowers will improve the security of the protocol in order to avoid the liquidation.3)Based on the Analytic Hierarchy Process method,a comprehensive evaluation system for DeFi lending protocols is constructed,and three primary indicators and ten secondary indicators covering all aspects of the lending protocols are proposed.Then,the model is used to comprehensively evaluate and rank six mainstream lending protocols in DeFi.By analyzing the changes of the first-level indicators of the lending protocol and the corresponding second-level indicators,the reasons for the fluctuation of the ranking of the lending protocols are explained,and the validity and rationality of the model are proved.更多还原