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.
Research and Insights
Articles by Gergely Szalka
CoCo Bonds’ Write-Down Risk Is Real3 mins read Blog | Mar 24, 2023 |
UBS Group AG’s arranged takeover of Credit Suisse AG involved heavy losses for the latter bank’s shareholders. But a more controversial part of the deal is the total write-down of contingent convertible bonds. Could investors have seen it coming?
A Lehman Moment for European Banks? The Market Says No.2 mins read Quick Take | Oct 6, 2022 |
After spreads of European banks’ credit-default swaps surged and their equity prices dropped, investors are increasingly focused on the banks’ default probability — and what that could mean for markets.
Surging Corporate-Bond Supply: Reason to Worry?Blog | Jul 1, 2020 |
In the months since the onset of the COVID-19 pandemic, companies issued a large amount of corporate bonds. As a result of this surge, corporate debt has grown substantially — a burden that institutional credit investors may wish to monitor closely.
Chinese convertibles: Equities in fancy dress?Blog | Oct 14, 2019 |
Chinese corporate bonds that convert to A shares display equity-like characteristics. But investors who view these securities as equities in disguise are overlooking the complexities of the asset class.
Santander’s Coco extension: The New Market Norm?Blog | Mar 18, 2019 |
Banco Santander announced it would extend — i.e., not call — its additional-tier-one contingent-convertible (coco) bond. Was the market caught off guard?
Investing in Convertible Bonds When Rates RiseBlog | Nov 30, 2018 |
Is my convertible bond more like a stock or a bond? How can I identify convertible bonds offering protection from rising rates?
Stress-Testing Risk-Parity StrategiesBlog | Feb 16, 2018 |
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.
Don’t Let CoCo Bond Risk Sneak Up On YouBlog | Sep 18, 2017 |
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.