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Vilmos Fliszár

graduated in 2008 at Corvinus University of Budapest. He received a Master in macroeconomic modeling and policy analysis. He worked till 2013 as actuary in Modeling Department at Hungarian Financial Supervisory Authority. He specialized for market risk. He was delegated member in Subgroup on Market Risk at European Banking Authority. From 2013 he is Head of Capital Allocation and Special Reporting Department at OTP Bank. He is PhD candidate in Operational Research and Actuarial Sciences Department at Corvinus University. His fields of research focused on institutional behavior in reference rate fixing process.

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In the shadow of LIBOR - The attribution of BUBOR market

The Libor-scandal questioned the credit in the reference rates all over the world in 2012. In the London interbank market the fixing process was manipulated by some participant banks. The UK Financial Supervisory Authority identified the manipulation and fined many institutions (Barclays, UBS, RBS).
After the first reports many supervisory authorities decided to examine the fixing of local reference rates. There were investigations also about inter alia EURIBOR, VIBOR, CIBOR, BUBOR. To decrease the reputational risk the concerned banks in many times carried out an internal audit to map their fixing. This lecture is concentrated to the Budapest interbank market and its reference rate - the Budapest Interbank Offered Rate (BUBOR). The target is to compare the LIBOR and BUBOR fixing, to analyze the nature of the Hungarian fixing. The analysis is based on the historical fixing data of the banks. To the interpretation of the data is needed to know the process of the fixing, the differences between the LIBOR-BUBOR definition and the nature BUBOR market (size, liquidity, etc.).

Last modified: 2018.11.30.