Andras Rokob

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Andras Rokob

Andras Rokob
Vice President in risk management and liquidity core 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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  1. BLOG

    Beware of FRTB cliff effects. Sharp curvatures ahead. 

    Jun 20, 2019 Andras Rokob

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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.

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