1. Variance-Covariance model for collateral modelling

To test the model we took 180 data points (or maximum number of data points available) from Cryptocompare with inputs as follows: 4 loan maturities (t=10,15,30,60) against 2 commoly used confidence interevals 95% and 99%. Top 5 currencies by marketcap were tested against Bitcoin and Ethereum.

As shown below, the Collateral Rate Model proves that lenders will be able to select a relatively stable percentage of collageral to avoid redemption before maturity.

For example, a collateral of 120% for the BTCETH pair is less likely to require additional collateral unity maturity.\

BTCETH

c=95% [ 0.1 0.11 0.1 0.12]

c=99% [ 0.15 0.16 0.16 0.17]

BTCXRP

c=95% [ 0.21 0.22 0.23 0.24]

c=99% [ 0.31 0.33 0.35 0.35]

ETHXRP

c=95% [ 0.19 0.21 0.23 0.22]

c=99% [ 0.28 0.31 0.34 0.32]

BTCBCH

c=95% [ 0.15 0.16 0.17 0.18]

c=99% [ 0.21 0.23 0.25 0.25]

ETHBCH

c=95% [ 0.14 0.16 0.17 0.16]

c=99% [ 0.2 0.22 0.24 0.22]

BTCADA

c=95% [ 0.2 0.22 0.22 0.27]

c=99% [ 0.3 0.33 0.33 0.4 ]

ETHADA

c=95% [ 0.19 0.22 0.23 0.22]

c=99% [ 0.27 0.32 0.34 0.33]

BTCLTC

c=95% [ 0.12 0.12 0.13 0.15]

c=99% [ 0.17 0.18 0.19 0.22]

ETHLTC

c=95% [ 0.1 0.11 0.12 0.12]

c=99% [ 0.14 0.16 0.17 0.16]

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