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Blockchains, Real-Time Accounting and the Future of Credit Risk Modeling

Byström, Hans LU (2016) In Working Paper / Department of Economics, School of Economics and Management, Lund University
Abstract
In this paper (letter) I discuss how blockchains potentially could affect the way credit risk is modeled, and how the improved trust and timing associated with blockchain-enabled real-time accounting could improve default prediction. To demonstrate the (quite substantial) effect the change would have on well-known credit risk measures, a simple case-study compares Z-scores and Merton distances to default computed using typical accounting data of today to the same risk measures computed under a hypothetical future blockchain regime.
Please use this url to cite or link to this publication:
author
organization
publishing date
type
Working Paper
publication status
published
subject
in
Working Paper / Department of Economics, School of Economics and Management, Lund University
issue
4
pages
12 pages
publisher
Department of Economics, Lund Universtiy
language
English
LU publication?
yes
id
a784cce6-68f0-4143-8cde-be955a5cfb77 (old id 8841346)
alternative location
http://swopec.hhs.se/lunewp/abs/lunewp2016_004.htm
date added to LUP
2016-03-11 09:45:01
date last changed
2016-04-16 10:04:55
@misc{a784cce6-68f0-4143-8cde-be955a5cfb77,
  abstract     = {In this paper (letter) I discuss how blockchains potentially could affect the way credit risk is modeled, and how the improved trust and timing associated with blockchain-enabled real-time accounting could improve default prediction. To demonstrate the (quite substantial) effect the change would have on well-known credit risk measures, a simple case-study compares Z-scores and Merton distances to default computed using typical accounting data of today to the same risk measures computed under a hypothetical future blockchain regime.},
  author       = {Byström, Hans},
  language     = {eng},
  number       = {4},
  pages        = {12},
  publisher    = {ARRAY(0xdf4fc90)},
  series       = {Working Paper / Department of Economics, School of Economics and Management, Lund University},
  title        = {Blockchains, Real-Time Accounting and the Future of Credit Risk Modeling},
  year         = {2016},
}