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Department of Economics, Lund University Working Papers, Department of Economics, Lund University

No 2016:4:
Blockchains, Real-Time Accounting and the Future of Credit Risk Modeling

Hans Byström ()

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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