November - 2019
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Program

21st of October
Thursday

8:15-8:45

Registration

8:45-9:00

Program opening


9:00-10:00


Keynote speech


Dan Stefek

An Overview of Liquidity Risk

10:00-10:30

Lecture 1.

Péter Medvegyev

Arbitrage pricing and utility function

Coffee break

10:50-11:50

Keynote speech

Zoltán Eisler

The price impact of order book events: liquidity on millisecond time scales

11:50-12:20

Lecture 2.

Zsolt Tulassay

An empirical analysis of liquidity and market impact on the interbank EUR/HUF market

Lunch break

13:30-14:30

Keynote speech

Fabrizio Lillo

Market reaction to temporary liquidity crises

14:30-15:00

Lecture 3.

Csaba Csávás

Liquidity of Hungarian FX swap markets during the crisis

Coffee break

15:20-16:20

Keynote speech

János Kertész

Large Price Changes in the Limit Order Book of Established and Emergent Markets

16:20-16:50

Lecture 4.

Richárd Végh,
Gábor Kutas

Market liquidity from trading venue perspective

22nd of October
Friday


9:00-10:00


Keynote speech


Júlia Király

Funding liquidity: possibilities for future control

10:00-10:30

Lecture 5.

Márton Michaletzky

Liquidity of the Hungarian uncovered interbank deposit market

Coffee break

10:50-11:50

Keynote speech

Carlo Acerbi

Mark-to-Liqudity

11:50-12:20

Lecture 6.

Zsolt Szekeres,
Attila Agod, Márk Horváth

Fixed income liquidity

Lunch break


SESSION 1.

13:30-14:00

Lecture 7.

Péter Csóka

Measuring and allocating risk of illiquid portfolios

14:00-14:30

Lecture 8.

Kata Váradi

Introduction and Analysis of the Budapest Liquidity Measure

14:30-15:00

Lecture 9.

Dániel Havran

Liquidity shocks and credit risk


SESSION 2.

13:30-14:00

Lecture 10.

László Madar

Proposals of BCBS for measuring and stressing liquidity of financial institutions

14:00-14:30

Lecture 11.

Zita Marossy,
Barbara Dömötör

Structure of liquidity measures

14:30-15:00

Lecture 12.

Ákos Gyarmati

Liquidity risk in VaR measures – The application of the Budapest Liquidity Measure (BLM)


15:00-16:00


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Last modified: 2018.11.30.