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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.

Blog posts by Gergely Szalka

  1. 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.

  2. 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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