RESEARCH / RISK

Understand the downside

Measure dollar exposure, credit loss and the conditions that change the Holder’s outcome.

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How to read this analysis

The exposure layer on the engine's own paths — the two lines, the ladder, the Greeks, PD · LGD · EAD, the walk-away frontier

Scenario assumptionsPinned bridge60 months240 planned AgreementsSeed 42Edit assumptions

These controls edit the shared scenario. Run the analysis after making changes; results keep the inputs from their completed run.

Price path

Start price $

End price $ (Bridge)

Volatility %/yr

Paper

Term (months)

Price multiple ×

First N payments → BTC Now

Purchase % of coin cost

Servicing fee % of each delivery

Behavior

Lifetime stop %

Drawdown-scaled hazard

Rational default

Early completion %/mo

Book

Monthly cohorts

Agreements per cohort

Stop-sale lag (days)

Seed

Risk desk

Ladder month

Price bump %

Vol bump (points)

Walk-away frontier family

Believed drift 1 %/yr

Believed drift 2 %/yr

Believed drift 3 %/yr

Believed drift 4 %/yr

Lattice sigma %/yr

Buyer discount rate %/yr

Walk cost, % of coin cost

Run the book with the rational boundary as the behavior mode

Restoring this workspace’s research…

Individual-path USD exposure · seed 42

Coverage, the ladder and credit decomposition below describe one simulated paper book. Sensitivities measure dollar outcomes, average their own seed sample and rerun from inception; they are not sensitivities of an existing held portfolio. Delta expressed in BTC is the dollar sensitivity’s equivalent BTC exposure, not sensitivity of the BTC growth objective. Path-volatility sensitivity is not implied-volatility vega.

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