Benedek conducts research on counterparty and credit risk, as well as on the regulatory aspects of market risk. Prior to joining MSCI, he worked as a researcher at the Alfred Renyi Institute of Mathematics. He holds a doctorate in mathematics from the University of Szeged.
Research and Insights
Articles by Benedek Skublics
Counterparty credit risk and the initial-margin big bangBlog | Jan 22, 2020 |
A forthcoming global regulatory standard will require derivatives users to estimate mandatory initial margin on their portfolios. The choice of model methodology may have a significant impact on this calculation.