Working Papers, Department of Economics, Lund University
Blockchains, Real-Time Accounting and the Future of Credit Risk Modeling
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.
Keywords: blockchain; credit risk modeling; real-time accounting; (follow links to similar papers)
JEL-Codes: G33; G39; M41; M42; (follow links to similar papers)
12 pages, March 2, 2016
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