Liquidity-at-Risk: Can DEX Markets Absorb Aave Liquidations?

I built a live dashboard (risk.sepperlabs.com) tracking ~25K Aave V3 + Compound V3 positions with Liquidity-at-Risk (LaR) metric. Standard CaR tells you what would be liquidated. LaR measures whether DEX markets can actually absorb it, using real Odos aggregator quotes across Uniswap, Curve, Balancer, etc. The threshold is organic: when slippage exceeds the liquidation bonus, the trade is unprofitable and no rational liquidator executes it. LST Depeg at -5%: Asset CaR DEX Available Shortfall Bonus weETH $1,700M $19M $1,681M 1% wstETH $933M $54M $880M 5% osETH $355M $1M $353M 1% rsETH $332M $5M $326M 1% Total $3.55B $124M $3.43B E-Mode positions are immune to correlated crashes (both sides drop, HF unchanged) but exposed to depeg events where the 1% bonus leaves almost no room for slippage. A 5% Ethena depeg separately produces $1B CaR with $939M shortfall. Dashboard is live, free, updates every 15 minutes, methodology fully documented on-site. Limitations: first-order only (no cascades), DEX depth is a snapshot, subgraph prices can lag ~3%. risk.sepperlabs.com DeFi Risk Dashboard — Live Lending Risk Metrics Live cross-protocol lending risk for Aave V3 + Compound V3. 25K+ positions, 5 stress scenarios, and Liquidity-at-Risk — measuring whether DEX markets can actually absorb the liquidations. Updated every 15 minutes. 1 post - 1 participant Read full topic