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Updated 4 years ago
Lending Wallet v2
Basic idea: due to the lack of reliable data, we will model our lending wallet based on assumptions.
Assumptions:
- Daily trading volume: 2, 5, 10, 30, 50, 80 and 100 million USD. (btc/eth/xrp will be allocated proportionally according to historical trading volume)
- Type of margin: 60%, 70%, 80% and 90%. That is, how much of the daily trading is on margin.
- 3 virtual clients:
- Client A: zero initial position
- Client B: light position (around 50k USD)
- Client C: heavy position (around 500k USD)
Key problem and the work-around:
- Problem: determine approved margin level for each trade
- Method:
- Single order risk: individual VaR should be no larger than 0.6 * collateral
- Portfolio risk: new portfolio CoVaR should be no larger than 0.6 * (collateral + locked margin)
Data set used:
- For risk calculation: SFOX's internal daily data from 2020-1-1 to 2020-6-31
- For pricing: in-house minute-wise data
import pandas as pd
import numpy as np
import matplotlib.pyplot as plt
%matplotlib inline
from datetime import datetime
import jovian
jovian.commit()
[jovian] Attempting to save notebook..
[jovian] Uploading notebook..
[jovian] Capturing environment..
[jovian] Committed successfully! https://jovian.ml/alexander/lending-wallet-v2