Executive Director, Risk Management and Liquidity Core Research
About the Contributor
Andras Bohak is an Executive Director and Head of Risk Management and Liquidity Core Research, based in Budapest. He is responsible for liquidity and counterparty credit risk research as well as derivative-related regulation. Mr. Bohak led development of MSCI’s multi-asset class liquidity framework from inception. Mr. Bohak joined MSCI in 2012 and worked in the securitized products research team before transferring to the risk and regulation research team in 2013. Prior to joining MSCI, Mr. Bohak was a lecturer at the Budapest University of Technology and Economics, where he is still teaching Advanced Investments for finance majors. Mr. Bohak holds a degree in Computer Science and Industrial Engineering and Management, both from the Budapest University of Technology and Economics.
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Blog posts by András Bohák
Could Investment Grade Be as Risky as High Yield?Apr 16, 2021 András Bohák , Andras Rokob
Do high-yield and investment-grade bonds carry the same level of risk? For investors using common measures like value-at-risk models, IG- and HY-bond portfolios’ risk levels appear to have converged. But traditional models may miss important aspects of HY risk.
In the recent market meltdown, some fixed-income ETFs traded at discounts as high as 6% to net asset values, a level not seen since 2008. Could ETF prices deviate from the value of the underlying portfolio during market stress and leave investors exposed to losses on top of the falling bond prices?
Lessons from Woodford: Shutting the barn door after the horses have boltedJun 14, 2019 András Bohák , Roman Kouzmenko , Dimitris Melas
The suspension of the U.K.’s Woodford Equity Income Fund highlights the value of regularly reviewing a portfolio’s factor exposures and liquidity characteristics for signs of style drift or deteriorating ability to redeem shares.
From credit crunch to liquidity crunch: managing liquidityJan 10, 2019 András Bohák
Volatility of credit spreads in both emerging- and developed-market debt increased significantly in 2018. Large rises in credit spread levels were followed by increased bid-ask spreads, making it expensive to reduce exposure within a short time frame.