When the Covid-19 crisis struck, banks using internal-rating based (IRB) models quickly recognized the increase in risk … and reduced lending more than banks using a standardized approach. This effect is not driven by borrowers' quality or by … banks in countries with credit booms before the pandemic. The higher risk sensitivity of IRB models does not always result …

When the Covid-19 crisis struck, banks using internal-rating based (IRB) models quickly recognized the increase in risk … and reduced lending more than banks using a standardized approach. This effect is not driven by borrowers' quality or by … banks in countries with credit booms before the pandemic. The higher risk sensitivity of IRB models does not always result …

We model EU countries? bank ratings using financial variables and allowing for intercept and slope heterogeneity. We … find that country-specific factors (in the form of heterogeneous intercepts) are a crucial determinant of ratings. Whilst … ?new? EU countries typically have lower ratings than ?old? EU countries, after ontrolling for financial variables, all …

The paper presents an econometric study of the two bank ratings assigned by Moody's Investors Service. According to … Moody’s methodology, foreigncurrency long-term deposit ratings are assigned on the basis of Bank Financial Strength Ratings …) external support are presented, and we find that models based solely on public information can approximate the ratings …

The paper presents an econometric study of the two bank ratings assigned by Moody's Investors Service. According to … Moody’s methodology, foreign-currency long-term deposit ratings are assigned on the basis of Bank Finan-cial Strength … Ratings (BFSR), taking into account “external bank support factors” (joint-default analysis, JDA). Models for the (unobserved …