Blockchains, Real-time Accounting, and the Future of Credit Risk Modeling
(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:
https://lup.lub.lu.se/record/3b5e22c0-7edd-4c89-840a-34aac0ac6afc
- author
- Byström, Hans LU
- organization
- publishing date
- 2019-05-01
- 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
- 2024-08-24 06:47:36
@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}}, }