Blockchains, Real-Time Accounting and the Future of Credit Risk Modeling
(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:
https://lup.lub.lu.se/record/8841346
- author
- Byström, Hans LU
- organization
- publishing date
- 2016
- type
- Working paper/Preprint
- 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 University
- 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
- 2024-09-05 20:19:44
@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 = {{4}}, publisher = {{Department of Economics, Lund University}}, 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}}, url = {{https://lup.lub.lu.se/search/files/194593068/WP16_4.pdf}}, year = {{2016}}, }