Determinants and profitability of Corporate Domestic Credit Ratings in Argentina: Impacts of trough-the-cycle approach during COVID-19 crisis

TERRENO DANTE D

REVISTA CONTABILIDADE E FINANçAS

Universidade de São Paulo, Faculdade de Economia, Administração e Conta

Lugar: São Paulo,; Año: 2024

1519-7077

he COVID-19 outbreak has resulted in an unprecedented decline in global activity and increased global financial risks that have adversely affected the global financial markets. Investors have pointed out that credit agencies are slow in responding to changes in corporate credit during the economic crisis. Therefore, this study aims to examine the impact of the COVID-19 crisis on the determinants and predictability of the domestic credit rating issued by Fitch Rating in Argentina and to assess the application of the through-the-cycle method by credit rating agencies. This work compares the results of the proposed models for the period 2020-2021 and 2018-2019, during and before the COVID-19 outbreak, respectively. The statistical method used is ordinal logistic regression, generalized ordinal logistic regression, and Support Vector Machines. The data was obtained from the Fix Scr National Rating Reports of the company´s issuers of long-term financial obligations in Argentina, resulting