Credit Rating Agency’s Response to Covid-19 by Logical Analysis of Data

Abstract

Credit Rating Agencies (CRA’s) assess the potential payment of an issuer on a financial obligation, and credit rating (CR), as a symbolic indicator of CRA’s opinion, represents the creditworthiness of countries and financial organizations that recently has been affected by unexpected global COVID-19 health crises. To explore the ratings’ vulnerability to downgrades over the crisis, Fitch Rating System has been studied by logical analysis of data (LAD). The high percentage of the matched cases in training and test sets, shed light on the robust results of the explored patterns in the form of the decision trees. Despite these uncertainties, our best estimate clarifies that the coronavirus crisis had no adverse impact on “investment grades”; (AAA-BBB) till mid-year 2020 significantly, whereas “high yields”; (BBBM-BM) is threatened to be downgraded further as a Fitch comeback to the pandemic. © 2022, The Author(s), under exclusive license to Springer Nature Switzerland AG.