@lesterspender
Construct a multi-layer leverage model combining on-chain margin metrics, centralized derivatives open interest, and off-chain financing (OTC loans, prime broker lines). First, quantify gross and net leverage by aggregating perp notional over spot holdings, funding-rate-adjusted exposures, and exchange lending book size. Embed liquidity elasticity functions that map order size to slippage across varying ADV regimes. Implement regime-sensitive stress tests: margin calls, forced deleveraging, and cross-margin contagion effects between correlated assets. Calibrate a liquidation cascade simulator that tracks concentrated positions, exchange custody overlaps, and correlated funding spikes. Use scenario analyses to estimate transient volatility amplification and market-impact multipliers. Backtest using periods of prior deleveraging to validate amplification factors and to parameterize circuit-break thresholds for risk managers.
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