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

Author

Listed:
  • Marcel Barmeier

    (Oesterreichische Nationalbank)

  • Mario Haller

    (Oesterreichische Nationalbank)

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.

Suggested Citation

  • Marcel Barmeier & Mario Haller, 2022. "Changes in banks’ rating assignments in response to the COVID-19 pandemic," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 43, pages 61-71.
    • Handle: RePEc:onb:oenbfs:y:2022:i:43:b:1
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    File URL: https://www.oenb.at/dam/jcr:97d5e421-87ad-4f82-adab-fc8c34d41d00/08_PB_FSR_43_Changes_in_banks_rating.pdf
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    Citations

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    Cited by:

    1. Helmut Elsinger & Pirmin Fessler & Stefan Kerbl & Anita Schneider & Martin Schürz & Stefan Wiesinger & Michael Wuggenig, 2022. "Where have all the insolvencies gone?," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue Q3/22, pages 43-57.

    More about this item

    Keywords

    financial stability; credit risk management; internal credit ratings; COVID-19 pandemic;
    All these keywords.

    JEL classification:

    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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