Breadcrumb
Extended Viewer
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.
HTML Displayer Portlet
Blog posts by Andras Rokob
Extended-lister
-
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.
-
The Basel committee’s revised market-risk capital requirements contain a small surprise with potentially big implications. Cliff effects remain in the framework.
Regulation
Cookie Preferences
Accept all cookies
This website uses cookies to remember users and understand ways to enhance their experience.
For more information, please visit our Cookie Notice.
Strictly Necessary, Functionality and Performance Cookies
We use cookies to enable you to move around our website and use its features, to provide you with functionality by remembering choices you make and provide enhanced features, and to learn how our website is performing and make improvements.
For more information, please visit our Cookie Notice.