Changes in banks’ rating assignments in response to the COVID-19 pandemic

Marcel Barmeier () and Mario Haller ()
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Marcel Barmeier: Oesterreichische Nationalbank
Mario Haller: Oesterreichische Nationalbank

Financial Stability Report, 2022, issue 43, 61-71

Abstract: In this study, we investigate how banks in Austria have reacted to the COVID-19 pandemic in their assignment of ratings to nonfinancial corporations. Relying on public information on beneficiaries of COVID-19 support measures, we focus in particular on changes in ratings of debtors that received state aid, e.g. in the form of public guarantees and direct grants. In the first waves of the pandemic, the overall rating structure of nonfinancial corporate exposures deteriorated, but since the second half of 2021, the rating structure has improved. We see that already before the pandemic, debtors that later received COVID-19 support were of lower creditworthiness than the nonfinancial sector average. Also, these debtors were affected to a greater extent by increases in the probability of default (PD) and rating downgrades.

Keywords: financial stability; credit risk management; internal credit ratings; COVID-19 pandemic (search for similar items in EconPapers)
JEL-codes: G18 G21 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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