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Gabor Almasi

Gabor Almasi
Vice President, MSCI Research

About the Contributor

Gabor Almasi is a senior member of the Valuation and Validation Research team. He focuses on pricing and risk management of credit derivatives, and on performance attribution of fixed income instruments. Prior to joining MSCI in 2018, he was a researcher at the Wigner Research Centre of Physics and at the GSI Helmholtz Centre for Heavy Ion Research. Gabor holds a master’s degree in Physics and a Ph.D. in Theoretical Physics.

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Blog posts by Gabor Almasi

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  1. BLOG

    Russian Bonds: Rolling Back the Default Clock 

    May 4, 2022 Andy Sparks , Gabor Almasi

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    The Russian government’s decision on April 29 to pay holders of two dollar-denominated Russian sovereign bonds led to a major rally, encouraging some investors that Russia may avoid default. There are, however, more challenges ahead. 

  2. BLOG

    Sanctions Bring a New Form of Russian-Bond CDS Risk 

    Apr 26, 2022 Gabor Almasi , László Arany

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    Sanctions on Russia have not affected credit-default swaps directly, but the settlement process following a default would rely on delivering and auctioning the sanctioned bonds. We examine this new form of recovery risk.

  3. BLOG

    Synthetic CDOs: Back in vogue but not without risk 

    Dec 13, 2019 Gabor Almasi

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    As credit spreads have gradually declined, investors have increasingly been focusing their attention on more complex instruments including synthetic Collateralized Debt Obligations in the search for yield. However, the risks of these investments — including the senior tranches — should not be overlooked.