ASRI: An Aggregated Systemic Risk Index for Cryptocurrency Markets — A Unified Framework for Monitoring DeFi-TradFi Interconnection Risk

Abstract No unified index exists to monitor systemic risks from DeFi-TradFi interconnection in cryptocurrency markets (>$3T capitalization). This paper introduces the Aggregated Systemic Risk Index (ASRI): four weighted sub-indices covering Stablecoin Concentration (30%), DeFi Liquidity (25%), Contagion (25%), and Regulatory Opacity (20%). Key Results Crisis detection: Statistically significant signals for all four major crises (Terra/Luna, Celsius/3AC, FTX, SVB) with t-statistics 5.47–32.64 30-day lead time: Threshold detection identifies 3/4 events with average 30-day advance warning Walk-forward validation: All 4 crises detected out-of-sample (18-day average lead), including Terra/Luna Zero false positives: 2024–2025 out-of-sample specificity confirmed, including correct classification of Bybit $1.5B hack as non-systemic Beats benchmark: Higher precision than Diebold-Yilmaz connectedness (33.5% vs 22.4%) at equivalent detection rate Links arXiv: arXiv:2602.03874 ASCRI: systems.ac/3/DAI-2509 Research Lab: Dissensus AI