Determinants of differentiation of cost of risk (CoR) among polish banks during COVID-19 pandemic

The aim of the paper is to assess the evolution of the cost of credit risk (CoR) of Polish banks as a result of the COVID-19 pandemic in the first three quarters of 2020 as well as its microeconomic determinants. We analysed the structural diversity of the sample of the 13 largest Polish commercial banks in terms of the evolution of their CoR. For this purpose, a diagraphic method of Jan Czekanowski was used. It allowed us to distinguish two groups of banks displaying features characteristic of multi-object structures and three groups consisting of individual banks characterized by atypical CoR developments, significantly different from the structures of objects classified to the first and second groups. In the second part of the research, in order to identify the determinants of the observed trends, a multiple regression model was used in which the explanatory variable was the dynamics of CoR in the first three quarters of 2020. The parameters of return on capital (ROE) at the end of 2019, Non-Performing Loans (NPLs) at the end of 2019 and the dynamics of write-offs in the period 2017-2019 proved to be important explanatory variables.