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

In English

Författare

Summary, in English

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.

Publiceringsår

2016

Språk

Engelska

Publikation/Tidskrift/Serie

Working Paper / Department of Economics, School of Economics and Management, Lund University

Issue

4

Dokumenttyp

Working paper

Förlag

Department of Economics, Lund University

Ämne

  • Economics

Status

Published