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

Hans Byström

No 2016:4, Working Papers from Lund University, Department of Economics

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 (search for similar items in EconPapers)
JEL-codes: G33 G39 M41 M42 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2016-03-02
New Economics Papers: this item is included in nep-ban and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:hhs:lunewp:2016_004

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