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Andras Bohak

is a Vice President in the Risk and Regulation Research team and is based in Budapest. He and his team is responsible for capital regulation, counterparty credit risk and liquidity risk. Mr. Bohak joined MSCI in 2012 and worked in the securitized products research team before transferring to his current role in 2013. Prior to joining MSCI, Mr. Bohak was a lecturer at the Budapest University of Technology and Economics, where he is still teaching Advanced Investments for finance majors. Mr. Bohak holds a degree in Computer Science and Industrial Engineering and Management, both from the Budapest University of Technology and Economics.

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András Bohák: Liquidity Risk Management – A case study of the US Municipal Bond market

MSCI’s LiquidityMetrics model offers clients a standardized way to model liquidity risk across asset classes with different kind and amount of data available. After a short introduction to the model, we will focus on how the key parameters can be calibrated based on pre-trade (quote) and post-trade (trading) data. The presentation is centred around the US Municipal bond market. This market is particularly challenging with more than 2.5 million securities outstanding out of which the waste majority is never quoted or traded. We show that market structure knowledge and the right interpretation of the data is as important as getting the data itself for successful modelling of liquidity.

Last modified: 2018.11.30.