Risk management for risk takers

Agio Ratings helps firms with digital asset exposure price risk intelligently

Used by leading risk teams in the industry

Risk ratings

We analyze the probability of default for the largest players in digital assets. Our approach analyzes over 1,000 variables assembled from on-chain and off-chain data sources. When it comes to predicting defaults, Agio’s models perform as well as the leading corporate default risk models in traditional finance.

Anomaly alerts

We monitor signals of distress in leading digital asset exchanges. Our approach is designed to detect meaningful deviations in the variables that are correlated with short-term default risk.

Risk reports

We offer continuous risk assessment and monitoring for firms that want to differentiate themselves from higher-risk peers. We systematically analyze financial statements to identify strengths and gaps in a firm’s risk position.

Use cases

Protect capital

Set risk-adjusted hurdle rates, enforce trading limits and policies, and monitor exposure at default (ED) and losses given default (LGD).

Underwrite credit

Accurately price margin, revolving, and term loans and properly account for credit risk during settlement periods

Ensure long-term success

Win more business, earn necessary regulatory approvals, and raise capital for long-term growth

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Insights

Enhance your understanding of risk management in digital assets with Agio’s Risk Insights.

May 26, 2024
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Credit Loss Distributions: How Crypto and TradFi Are Converging

Credit risk correlation, when the default of one entity increases the probability that another will default, is often overlooked in crypto risk management. These correlations can be direct, as was the case with Voyager, or indirect, so called third cause correlation. An example of the latter also occurred in 2022 when Vauld and Celsius were both taken down by Luna’s collapse and the subsequent market volatility--the third cause. While this inter-relationship doesn’t affect expected losses, it does impact the distribution of losses and thereby risk exposure and capital requirements.

Insight
May 26, 2024
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The Risk That Tripartite Agreements Can’t Mitigate

Position Replication Risk (PRR) occurs when an investor has an expectation of how a position will perform – either as part of a hedged position or as a portfolio allocation decision – but loses that position when their counterparty defaults. To be flat in a hedged construct, or to replicate the position they had on previously, they now must go into the market and replicate the position previously had.

Insight
April 12, 2024
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Higher Volatility, Higher Risk

“What goes up, must come down,” is the saying. “What goes up and never comes down,” is the riddle. As BTC and other digital asset valuations have climbed over the past few months, the capital cushions of market makers has risen, and their leverage has fallen. Yet this month, Agio’s aggregate industry default risk is essentially flat, if not gently rising. What gives? It’s all about the chances of going up and down.

Insight