Andras Rokob is a vice president in risk management and liquidity core research. His research focus is on credit and counterparty credit risk, as well as on the regulatory aspects of market risk. Prior to joining MSCI in 2016, Andras worked for several years in academia as a computational chemist. He obtained a doctorate in chemistry from Eotvos Lorand University, Budapest.
Research and Insights
Articles by Andras Rokob
Russian Bonds: Sifting Through Sectors5 mins read Blog | Apr 29, 2022 |
Russian bond market losses have cut deep. Still, certain sectors fared better than others. The question now is how trade policy and sanctions may be shifting, and whether there may be greater impact on sectors that have shown relative strength.
Could Investment Grade Be as Risky as High Yield?5 mins read Blog | Apr 16, 2021 |
Do high-yield and investment-grade bonds carry the same level of risk? For investors using common measures like value-at-risk models, IG- and HY-bond portfolios’ risk levels appear to have converged. But traditional models may miss important aspects of HY risk.
Credit in the COVID Crisis: Contagion, Valuation, DefaultBlog | May 6, 2020 |
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.
Beware of FRTB Cliff Effects. Sharp Curvatures Ahead.Blog | Jun 20, 2019 |
The Basel committee’s revised market-risk capital requirements contain a small surprise with potentially big implications. Cliff effects remain in the framework.