Ryzyka stabilnych kryptowalut
[Stablecoin risks]

Wolfgang Haerdle (School of Business and Economics, Humboldt University Berlin, Germany)


This talk examines the stability of major stablecoins through a tail-risk lens using the 
Financial Risk Meter (FRM) - a quantile-lasso CoVaR framework that maps joint tail events 
and network interdependencies. We assemble an active set of 11 stablecoins over 2020-2025 
and link them to macro risk drivers (USD index, US yields, VIX/CVIX, S&P 500), then track 
time-varying FRM levels, centrality, and event responses. The evidence shows that 
stablecoins function as a liquidity backbone in normal times but are episodically fragile 
during stress: depegs(*) and confidence shocks (e.g., UST/LUNA collapse, SVB-related USDC 
depeg, exchange failures) register as sharp FRM spikes dominated by macro transmission 
rather than broad coin-to-coin contagion. Concentration is high (HHI), with risk 
contributions clustered in a few issuers. Portfolio experiments (GMV and FRM-aware 
constructions) indicate that diversification among stablecoins can lower realized 
volatility, yet no coin consistently preserves its peg under all conditions. Overall, 
FRM offers a practical dashboard for monitoring systemic tail co-movements, attributing 
risk to macro factors, and stress-testing portfolio allocations.

(*) A depeg is when the price of a stablecoin moves away from its intended, fixed value, 
which is typically a traditional currency like the USD.