Econometric Analysis: Statistical and Predictive Default Studies

  • Problem: Default studies give insights into the rate of defaulted enterprise within a specific period or the predicted default rates if forecasting models are used. These studies are mainly interesting for banks and insurances as well as politics and stakeholder representation institutions. During the COVID19 pandemic there was, firstly a sharp economic downturn and secondly an extra-ordinary assistance package that the government initiated to rescue companies from defaulting. But the assistance package also protected enterprise from defaulting that under a normal economic situation would have defaulted. The resulting distortion is the ‘COVID19-bubble’, but its size is not clear and it is also not clear how the bubble develops and dissolves over time.
  • Research Method: For disentangling the severe economic downturn and the support by the assistance package – both occurred during COVID19 simultaneously – an econometric analysis is applied for determining rational expectations of the default rate for the COVID19 pandemic. By using a predictive default study, which is common in the banking industry since its world-wide supervisory regulation according to the Basel III regime, the size as well as development and dissolution of the ‘COVID19-bubble’ is analyzed.
  • Contribution:
    • Schwaiger: Ausfallraten in der österreichischen Wirtschaft – 2021, Statistical Default Study, Marktanalyse, Creditreform Österreich, Mai 2022.
    • Schwaiger: Corona-Pleitewelle – Wie viele Ausfälle sind tatsächlich zu erwarten?, Predictive Default Study, Marktanalyse, Creditreform Österreich, April 2021.