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Andras Rokob
Vice President, MSCI Research
About the Contributor
Andras Rokob is a vice president in risk management and liquidity core research. His research focus is on credit and counterparty credit risk, as well as on the regulatory aspects of market risk. Prior to joining MSCI in 2016, Andras worked for several years in academia as a computational chemist. He obtained a doctorate in chemistry from Eotvos Lorand University, Budapest.
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Blog posts by Andras Rokob
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BLOG
Russian Bonds: Sifting Through Sectors
Apr 29, 2022 Andy Sparks , Andras Szegleti , Andras Rokob
Learn MoreRussian bond market losses have cut deep. Still, certain sectors fared better than others. The question now is how trade policy and sanctions may be shifting, and whether there may be greater impact on sectors that have shown relative strength.
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BLOG
Could Investment Grade Be as Risky as High Yield?
Apr 16, 2021 András Bohák , Andras Rokob
Learn MoreDo 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.
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BLOG
Credit in the COVID Crisis: Contagion, Valuation, Default
May 6, 2020 Hamed Faquiryan , Reka Janosik , Andras Rokob
Learn MoreAs the COVID-19 crisis unfolded, credit markets deteriorated under the stress of a sharply diminished economic outlook. We analyze three indicators of credit-market conditions: default risk, relative value and contagion risk.
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The Basel committee’s revised market-risk capital requirements contain a small surprise with potentially big implications. Cliff effects remain in the framework.