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Monika Szikszai

Monika Szikszai
Associate, MSCI Research

About the Contributor

Monika Szikszai is a member of the MSCI research team focused on risk management solutions. She specializes in stress testing and the development of new risk methodologies. Monika obtained her master’s degree in financial mathematics from Eotvos Lorand University and is a financial risk manager designated by the Global Association of Risk Professionals.

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Contributions by Monika Szikszai

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  1. BLOG

    Long-Horizon Risk: The Past 50 Years 

    Apr 13, 2021 Monika Szikszai , Thomas Verbraken

    Fixed Income , Risk Management

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    For long-horizon investors that aim to ride out volatility, short-term risk measures may be insufficient. We used multiperiod stress testing to evaluate one- and five-year returns of hypothetical multi-asset-class portfolios using 50 years of history.

  2. BLOG

    Stress Testing Multiperiod Inflation Scenarios 

    Nov 19, 2020 Monika Szikszai , Thomas Verbraken

    Fixed Income , Risk Management

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    Will inflation rear its ugly head in the U.S.? Although the outcome of the U.S. elections might have lowered inflation expectations, investors can prepare for scenarios where inflation goes up. In this stress test, we examine three scenarios for inflation over varying time horizons.

  3. PAPER

    Backtesting Year in Review: A Look at 2018 

    Feb 19, 2019 Balazs Vajda , Thomas Verbraken , Monika Szikszai

    Risk Management

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    In this semi-annual MSCI Model Backtesting Review publication, we evaluate the 2018 performance of the key risk methodologies available in RiskMetrics RiskManager. These models are tested on a broad set of fixed-income and equity portfolios, representing global equity and bond markets. We review the major market events of 2018 in the context of risk-model performance and include a deeper analysis of the ramifications of oil price dynamics and high-yield credit markets.

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