We assess the market risk of the 0VIX lending protocol using a multi-asset agent-
based model to simulate ensembles of users subject to price-driven liquidation risk.
Our multi-asset methodology shows that the protocol’s systemic risk is small under
stress and that enough collateral is always present to underwrite active loans. Our
simulations use a wide variety of historical data to model the market volatility and
run the agent-based simulation to show that even if all the assets like ETH, BTC and
MATIC increase their hourly volatility by more than 10x times, the protocol has less
than 1% chance of default.