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
How Climate Change Could Impact Credit RiskOct 20, 2021 Reka Janosik , Thomas Verbraken
Investors are increasingly focused on gauging the risks related to climate change. We investigated how various climate scenarios could impact the credit risk of portfolios. In one scenario, 16% of investment-grade issuers could migrate to high yield.
CDS Fading as a Measure of Value in Emerging MarketsJun 17, 2021 Zoltan Fekete , Reka Janosik
Credit investors use spreads to compare relative value and risk. Studies of emerging-market sovereign debt have shown that credit-default swaps tended to be a better measure of value than spreads computed from bonds. But is it still the case?
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.
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.
Credit in the COVID Crisis: Contagion, Valuation, DefaultMay 6, 2020 Hamed Faquiryan , Reka Janosik , Andras Rokob
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.
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?