January 2023
Summary
Sharing a recap of Gauntlet’s market risk management work with Aave in January 2023. See below for this past month’s work summary and a preview of what’s coming up in February.
Category | Work Completed | Commmentary |
---|---|---|
Quantitative Research |
Interest rate curve framework for the Aave protocol Published Borrow and Supply cap methodology for Aave V3 |
Over the last several months, Gauntlet has conducted quantitative research on optimizing interest rate curves and setting borrow/supply caps |
Recommendations |
2 sets of Aave V2 ETH Recommendations Avalanche and Optimism Recommendations Optimism Cap Additions |
Daily risk simulations and stress tests |
Risk Modeling |
Risk Analyses on Shanghai Upgrade cbETH Listing Analysis on V3 ETH rETH Listing Analysis on V3 ETH Analysis on Llama CRV Interest Rate Upgrades wstETH Listing Analysis on V3 OP jEUR Incident Analysis |
Risk modeling to provide insight into the risk/reward tradeoffs of Aave initiatives |
Risk Monitoring and Alerting |
GUSD Utilization Whale Liquidation Position Near Liquidation |
Gauntlet’s risk monitoring platform alerts the community of risk updates |
Other |
IR Curve Corrections on wETH IR Curves Community Bug Bounty |
Community and contributor support |
Highlights
- Aligned with risk-related service providers and stakeholders on key priorities for the quarter. Setup recurring syncs and shared processes with Chaos and Llama to collaborate more closely on risk-related initiatives, including recommendations on asset listings
- After conducting quantitative research on interest rate curves, provide framework to the Aave community for optimizing interest rate curves. Published recommendations that were approved by the community on-chain
- Updated incident response process - completed setup for internal alerts, escalation, investigation, and monitoring processes
- After conducting quantitative research, published our borrow and supply cap methodology for Aave V3
- Conducted market risk analysis in preparation for Shanghai update
Upcoming Selected Work
- Launching updated Risk Simulation Dashboard
- Publishing Gauntlet holistic risk parameter methodology - guiding principles, overall methodology, etc
- Aligning with stakeholders on communication channels for sensitive market alerts
- Launching v3 Polygon integration into our risk simulation platform
We are happy to answer any questions or hear any feedback - please feel free to comment below.