Insights

August 1, 2024

Traditional banks are now facing crypto-adjacent risks driven by increasing client demand for digital assets. The integration of crypto services is inevitable as clients seek trusted financial institutions to manage their digital holdings. Agio Ratings offers solutions tailored for TradFi institutions, providing tools to quantify and manage these emerging risks effectively.

July 30, 2024

Discover how Agio's Anomaly Alerts system helps firms detect significant shifts in counterparty risk profiles, enabling smarter risk management in volatile markets.

June 25, 2024

Learn how proactive crypto risk management and solutions like Agio Ratings can enhance your firm's strategy and security.

June 26, 2024

We are excited to announce the release of Model 3 (V3) of our Statistical Ratings. V3 represents a significant upgrade on v2. It’s trained on twice as many defaults, has twice as many explanatory variables and covers 50% more counterparties.

June 18, 2024

This article explores the risk controls that crypto asset managers need to support a successful and sustainable performance record.

May 15, 2024

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.

April 23, 2024

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.

March 19, 2024

“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.

February 12, 2024

One of the first Agio blogs was about the apparent phase change in drivers of default over the past few years. Prior to 2020, centralised exchanges tended to default because they were either hacked or turned out to be frauds. Mt Gox is the poster child of this era. But over the past few years, defaults have been increasingly caused by commercial misjudgments and poor risk management. This is a more recognisably TradFi pattern.