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Contributions by Andras Rokob
Could Investment Grade Be as Risky as High Yield?Apr 16, 2021 Learn More
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, DefaultMay 6, 2020 Learn More
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.Jun 20, 2019 Learn More
The Basel committee’s revised market-risk capital requirements contain a small surprise with potentially big implications. Cliff effects remain in the framework.