Scoring Component Evidence
Production-verified 7-component risk scoring for lending pools. Supports Tests 1.2, 2.1, 2.2, 3.1, and 3.2. All scores on a 0.0-1.0 scale (displayed as 1-10 in the UI). For term definitions, see the Glossary. For data sources, see Data Provenance.
7-Component Market Risk Scoring
Each pool receives a market risk score composed of 7 independent components (see Glossary — Scoring Components). Components are scored 0.0-1.0, then combined via weighted sum.
Component Weights
| # | Component | Proportion | What It Measures |
|---|---|---|---|
| 1 | Extreme Event Resilience | 50.0% | Tail loss under stressed Monte Carlo simulation |
| 2 | Utilization | 18.75% | How much supplied capital is currently borrowed |
| 3 | Liquidation Buffer | 12.5% | Average distance to liquidation across borrowers |
| 4 | LP Nakamoto Coefficient | 6.25% | Minimum LPs controlling 51% of supply |
| 5 | LP Max Power Ratio | 6.25% | Largest single LP's share of supply |
| 6 | Borrower Nakamoto Coefficient | 3.125% | Minimum borrowers controlling 51% of debt |
| 7 | Borrower Max Power Ratio | 3.125% | Largest single borrower's share of debt |
Production Scoring Examples
Scores from production AAVE V3 Ethereum Main Market reserves (snapshot: 2026-03-27 11:02 UTC — see Data Provenance for the query).
| Pool | Util | LP Nak | LP Max | Bor Nak | Bor Max | Liq Buf | Stress | Composite |
|---|---|---|---|---|---|---|---|---|
| WBTC | 1.00 | 1.00 | 0.96 | 1.00 | 0.93 | 1.00 | 1.00 | 0.996 |
| LINK | 1.00 | 1.00 | 0.94 | 0.60 | 0.77 | 1.00 | 1.00 | 0.977 |
| cbETH | 1.00 | 0.90 | 0.90 | 0.60 | 0.80 | 1.00 | 1.00 | 0.969 |
| EURC | 0.98 | 1.00 | 0.92 | 0.70 | 0.82 | 1.00 | 0.98 | 0.969 |
| cbBTC | 1.00 | 0.70 | 0.86 | 0.70 | 0.72 | 1.00 | 1.00 | 0.954 |
| ENS | 1.00 | 0.70 | 0.63 | 0.00 | 0.32 | 1.00 | 1.00 | 0.905 |
| USDe | 0.98 | 0.85 | 0.76 | 0.95 | 0.90 | 0.84 | 0.76 | 0.827 |
| USDT | 0.90 | 1.00 | 0.91 | 1.00 | 0.97 | 1.00 | 0.69 | 0.819 |
| wstETH | 1.00 | 0.90 | 0.76 | 0.00 | 0.38 | 1.00 | 0.78 | 0.818 |
Key observations:
- WBTC scores highest (0.996): well-distributed LPs and borrowers, low utilization, strong stress test
- LINK and cbETH show strong composites (>0.96) despite moderate borrower concentration — the 50% stress test weight at 1.00 carries significant influence
- USDe, USDT, and wstETH show lower composites (0.82-0.83) driven by stress test scores below 0.80 — when the dominant component (50% weight) drops, the composite follows
- ENS has 0.00 Borrower Nakamoto (no borrowers — supply-only collateral) but stress test at 1.00 keeps composite at 0.905
Utilization Cliff Behavior (Test 3.1)
The utilization component uses a calibrated exponent that creates steep penalty near saturation. This is nonlinear by design — 90% to 95% utilization is far more dangerous than 10% to 15%.
Production Examples
Data from production snapshot, 2026-03-27 11:02 UTC (see Data Provenance for the query).
| Pool | Utilization | Score |
|---|---|---|
| AAVE USDe | 56.2% | 0.980 |
| AAVE USDT | 70.9% | 0.902 |
| AAVE WETH | 88.0% | 0.547 |
| Morpho PYUSD/sUSDS | 90.0% | 0.500 |
| Maple Tether | 93.7% | 0.347 |
Nakamoto Concentration (Test 3.2)
The Nakamoto Coefficient measures how many entities control 51% of the supply (LP) or debt (Borrower). Score uses a logarithmic scale that rewards diversification but saturates — going from 2 to 10 entities matters much more than going from 10 to 100.
Production Examples
Data from production snapshot, 2026-03-27 11:02 UTC (see Data Provenance for the queries).
| Pool | Bor Nakamoto | Bor Max Power | LP Nakamoto | LP Max Power |
|---|---|---|---|---|
| AAVE wstETH | 0.000 | 0.38 | 0.903 | 0.76 |
| AAVE CRV | 0.301 | 0.63 | 0.301 | 0.66 |
| AAVE LINK | 0.602 | 0.77 | 1.000 | 0.94 |
| AAVE cbBTC | 0.699 | 0.72 | 0.699 | 0.86 |
| AAVE USDe | 0.954 | 0.90 | 0.845 | 0.76 |
| AAVE WBTC | 1.000 | 0.93 | 1.000 | 0.96 |
AAVE wstETH — single dominant borrower (score 0.00): (query)
| Borrower | Principal (USD) |
|---|---|
0x23a5e45f9556dc7ffb507db8a3cfb2589bc8adad | $77,339,575 |
0xef992050dff61225ba6fb6018a106a6e2b2569a3 | $22,176,608 |
0xa62cc2971ec8b42fd91bd6312f5962fdd5a7fc56 | $4,193,986 |
0x49ae763ed846db9a69a639732caa320fad1d5799 | $3,656,469 |
0x757db7c1d65b1d3144e2afb3de8aa3d6ee87594c | $2,437,657 |
k=1 controls >51%. Nakamoto = 0.00. Max Power = 0.38.
AAVE CRV — k=2 borrowers (score 0.301): (query)
| Borrower | Principal (USD) |
|---|---|
0xf3175f028845f4570d0fb1643765f5de24400e86 | $113,456 |
0x54dc6782d6fc5fc05f8486d365186ff25cc44ba7 | $56,482 |
0x40c5df45ff0f0782bff92149efb3361070353666 | $41,376 |
0xcb392a0b3420c051a68e33ea2c67504a9d571890 | $33,493 |
0x078955149b3c3c76707058d4ab3d0d3d232db789 | $27,836 |
Top 2 control >51% of $306k total debt. k=2, Nakamoto = 0.301.
AAVE WBTC — fully diversified (score 1.00): (query)
| Borrower | Principal (USD) |
|---|---|
0x91eda28735ce089a8b5133476263c3fb8303c8ca | $5,132,408 |
0x2d8873c5270c64c66e831e1e359f88f9e81a91fd | $5,101,353 |
0x54b338e6cfd605dad2264b96b0a730fb2bdca9e4 | $4,243,617 |
0xfe35dfb17f226a61d1f8f318990e6d27944d6002 | $3,626,051 |
0xa937f63ba1d69fd7e022fd50628b6d8fcfbde52d | $3,164,642 |
0x11ec133ec18d2a7ecc48898c84e4395b961f1359 | $2,565,119 |
0x691b41b5b53accdc138c3829cc165aa833bd045c | $2,351,724 |
0x68f3836f6f5eb2335874b0946e3f283984848913 | $1,972,754 |
0x1e5d299776be8114fa991a37b77ee09bbae45735 | $1,741,738 |
0xec13dd82c25428a8697418d288b7f6ff7ecfebd7 | $1,644,435 |
No single address dominates — k=10+ needed to reach 51%. Largest holds ~7%, Max Power = 0.93.
For Monte Carlo configuration, convergence analysis, model comparison (GBM vs GARCH vs Historical), and correlation tests, see Model Comparison Evidence.