Деан Фантаццини: «Crypto Exchanges and Credit Risk: Modeling and Forecasting the Probability of Closure»

Поздравляем профессора кафедры эконометрики и математических методов экономики МШЭ МГУ Деана Фантаццини с выходом статьи “Криптобиржи и кредитный риск: моделирование и прогнозирование вероятности закрытия”/«Crypto Exchanges and Credit Risk: Modeling and Forecasting the Probability of Closure», написанной в соавторстве с Раффаэллой Калабрезе/Raffaella Calabrese.

Статья опубликована в журнале «J. Risk Financial Managemen» (2021, 14(11), 516) https://doi.org/10.3390/jrfm14110516), занимающем первое место (45/217) в категориях Бизнес, Финансы по показателю цитирования (JCI).

Аннотация:

While there is increasing interest in crypto assets, the credit risk of these exchanges is still relatively unexplored. To fill this gap, we considered a unique dataset of 144 exchanges, active from the first quarter of 2018 to the first quarter of 2021. We analyzed the determinants surrounding the decision to close an exchange using credit scoring and machine learning techniques. Cybersecurity grades, having a public developer team, the age of the exchange, and the number of available traded cryptocurrencies are the main significant covariates across different model specifications. Both in-sample and out-of-sample analyzes confirm these findings. These results are robust in regard to the inclusion of additional variables, considering the country of registration of these exchanges and whether they are centralized or decentralized.