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

Byström, Hans LU (2019) In Ledger 4. p.40-47
Abstract
In this paper 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.
Abstract (Swedish)
In this paper 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
Contribution to journal
publication status
published
subject
in
Ledger
volume
4
pages
8 pages
publisher
University Library System, University of Pittsburgh
external identifiers
  • scopus:85151833538
ISSN
2379-5980
DOI
10.5195/LEDGER.2019.100
language
English
LU publication?
yes
id
3b5e22c0-7edd-4c89-840a-34aac0ac6afc
date added to LUP
2019-05-02 07:43:03
date last changed
2023-07-13 04:06:53
@article{3b5e22c0-7edd-4c89-840a-34aac0ac6afc,
  abstract     = {{In this paper 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}},
  issn         = {{2379-5980}},
  language     = {{eng}},
  month        = {{05}},
  pages        = {{40--47}},
  publisher    = {{University Library System, University of Pittsburgh}},
  series       = {{Ledger}},
  title        = {{Blockchains, Real-time Accounting, and the Future of Credit Risk Modeling}},
  url          = {{http://dx.doi.org/10.5195/LEDGER.2019.100}},
  doi          = {{10.5195/LEDGER.2019.100}},
  volume       = {{4}},
  year         = {{2019}},
}