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Reka Janosik

Reka Janosik
Vice President, MSCI Research

About the Contributor

Reka is a Vice President in the Risk Management and Liquidity Core Research Team, focusing on general pricing and risk management. She is responsible for credit-derivatives pricing and ETF modeling. Before joining MSCI, Reka was an intern at Morgan Stanley. She graduated from Corvinus University of Budapest with a master’s degree in financial mathematics.

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Blog posts by Reka Janosik

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  1. BLOG

    The CDS Market Stayed Healthy amid COVID 

    Nov 23, 2020 Zoltan Fekete , Reka Janosik

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    Since the global financial crisis, many have expressed concern about the health and future of credit-default swaps. Could institutional investors find the liquidity they need to hedge credit risk in subsequent periods? We examine CDS liquidity during the COVID-19 crisis.

  2. BLOG

    The Risk of Risk Limits 

    Aug 5, 2020 Reka Janosik , Thomas Verbraken

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    In times of heightened volatility, risk limits can protect against equity-market drawdowns. While such measures can dampen portfolio losses, they may also have an impact on long-term returns, particularly in case of a sharp V-shaped market recovery.

  3. BLOG

    Credit in the COVID Crisis: Contagion, Valuation, Default 

    May 6, 2020 Hamed Faquiryan , Reka Janosik , Andras Rokob

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    As 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.

  4. BLOG

    Bond ETFs and underlying price uncertainty 

    Apr 8, 2020 András Bohák , Reka Janosik

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    In the recent market meltdown, some fixed-income ETFs traded at discounts as high as 6% to net asset values, a level not seen since 2008. Could ETF prices deviate from the value of the underlying portfolio during market stress and leave investors exposed to losses on top of the falling bond prices?

  5. BLOG

    Have High-Yield ETFs Created Liquidity Risk? 

    Mar 27, 2019 Reka Janosik

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    In the fourth quarter of 2018, redemptions of high-yield ETFs soared to approximately 25% of these funds’ assets under management (AUM), according to data provider IHS Markit.

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