Composable Finance
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Composable Finance

Probabilistic modeling of
vault depletion on bridges

Juan Pablo(1), Jesper Kristensen(1), and 0xbrainjar(2) — (1): Advanced Blockchain Research, (2): Composable Finance

Model set-up

Probabilistic modeling

  1. Probabilistic in time and amount (P-P)
  2. Resampled in time and amount (R-R)
  3. Probabilistic in time, resampled in amount (P-R)
  4. Resampled in time, probabilistic in amount (R-R)

Data sources

Case studies

  1. The expected drawdown — how low does the liquidity in a vault drop to;
  2. Probability of depletion — i.e., a drawdown of 100%
  3. Time to depletion — how long it takes for a vault to be depleted, e.g. in the extreme out-only scenario, it takes 1–4 days.
  1. Expected drawdown




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Composable Finance Founder & CEO. I write about R&D at Composable Finance. Physicist by training