ASRI: An Aggregated Systemic Risk Index for Cryptocurrency Markets

Abstract

Composite index of crypto-native systemic stress built from four weighted sub-indices — stablecoin concentration (30%), DeFi liquidity (25%), contagion via a TradFi-stress proxy (25%), and regulatory opacity (20%) — with a Diebold-Yilmaz connectedness series computed on the sub-indices as network benchmark. Evaluated retrospectively against four crises (Terra/Luna, Celsius/3AC, FTX, SVB): day-level discrimination (AUROC 0.866) is statistically indistinguishable from the strongest sub-index and a standalone VIX series, and the event-study signal is inconclusive under autocorrelation-robust inference. Aggregation's value is interpretive — channel attribution, lead time, and regime structure in one auditable, reproducible composite — not a validated early-warning system.