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Gergely Szalka

Gergely Szalka
Senior Researcher, Valuation and Validation

About the Contributor

Gergely Szalka is an Executive Director and Senior Researcher covering hybrid fixed-income securities. Previously, he worked at UBS refining its counterparty credit methodology and at the European Bank of Reconstruction and Development to developing its counterparty exposure capabilities. Gergely has an MSc in Physics from Eotvos University, Budapest.

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Blog posts by Gergely Szalka

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  1. BLOG

    Chinese convertibles: Equities in fancy dress? 

    Oct 14, 2019 Gergely Szalka

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    Chinese corporate bonds that convert to A shares display equity-like characteristics. But investors who view these securities as equities in disguise are overlooking the complexities of the asset class.

  2. BLOG

    Santander’s coco extension: The new market norm? 

    Mar 18, 2019 Imre Vörös , Gergely Szalka

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    Banco Santander announced it would extend — i.e., not call — its additional-tier-one contingent-convertible (coco) bond. Was the market caught off guard?

  3. BLOG

    Investing in convertible bonds when rates rise 

    Nov 30, 2018 Gergely Szalka

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    Is my convertible bond more like a stock or a bond? How can I identify convertible bonds offering protection from rising rates?

  4. BLOG

    Stress-testing risk-parity strategies 

    Feb 16, 2018 Gergely Szalka

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    The recent surge in volatility took some investors by surprise: The level of the VIX doubled in a day, and put an end to some strategies that involved short selling of the VIX. But larger exposures to rising volatility may be hiding elsewhere, including in volatility targeting and risk-parity strategies designed to better balance risk across asset classes. We stress tested potential scenarios to explore the vulnerabilities.

  5. BLOG

    Don’t let CoCo bond risk sneak up on you 

    Sep 18, 2017 Gergely Szalka

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    Convertible contingent securities — known as “CoCo bonds”-- are a popular form of hybrid debt, but they can be hard to value when issuers head into troubled waters. These securities are a form of risky debt (typically issued by European financial institutions) that convert to equity when a predetermined trigger is met, such as when the issuer’s capital or balance sheet plunges in value.

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