Blockchains, Real-Time Accounting and the Future of Credit Risk Modeling
Author
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.
Department/s
Publishing year
2016
Language
English
Publication/Series
Working Paper / Department of Economics, School of Economics and Management, Lund University
Issue
4
Links
Document type
Working paper
Publisher
Department of Economics, Lund University
Topic
- Economics
Status
Published