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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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Credit in the COVID Crisis: Contagion, Valuation, Default
May 6, 2020 Hamed Faquiryan , Reka Janosik , Andras RokobAs 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.
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