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

Research output: Contribution to journalArticle

Abstract

In this paper 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.

Details

Authors
Organisations
Research areas and keywords

Subject classification (UKÄ) – MANDATORY

  • Economics
Original languageEnglish
Pages (from-to)40-47
Number of pages8
JournalLedger
Volume4
Publication statusPublished - 2019 May 1
Publication categoryResearch
Peer-reviewedYes