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

Byström, Hans LU (2016) In Working Papers
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/Preprint
publication status
published
subject
in
Working Papers
issue
2016:4
pages
12 pages
language
English
LU publication?
yes
id
a784cce6-68f0-4143-8cde-be955a5cfb77 (old id 8841346)
date added to LUP
2016-04-04 12:04:12
date last changed
2025-04-04 14:20:07
@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}},
  note         = {{Working Paper}},
  number       = {{2016:4}},
  series       = {{Working Papers}},
  title        = {{Blockchains, Real-Time Accounting and the Future of Credit Risk Modeling}},
  url          = {{https://lup.lub.lu.se/search/files/194593068/WP16_4.pdf}},
  year         = {{2016}},
}