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András Bohák

András Bohák

is an Executive Director and Head of Risk Management and Liquidity Core Research at MSCI and is based in Budapest. He and his team is responsible for risk methodologies, 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 and he is still teaching part time. 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: A change of paradigm on fund liquidity risk - from mere compliance to actual management

The convergence of liquidity-related regulations from the SEC and IOSCO are prompting U.S. funds to find effective ways to manage liquidity risk that satisfies regulators and aligns to their internal mandates. Weighing the SEC’s prescriptive approach to liquidity risk management against IOSCO’s principles-based approach, funds have to decide which tools to adopt, based on their specific strategy, asset class, jurisdiction, etc. In this talk we discuss the two main types of liquidity risk: dilution and a future liquidity crunch along with key insights into what tools are suitable to manage them. These best practices are the result of decade-long research and collaboration with primary asset managers.

Last modified: 2018.11.30.