CV - Dr. Csóka Péter
- Hungarian CV
- English CV
Personal data
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Dr. Csóka Péter
Egyetemi tanár / Professor
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Qualifications, scientific degrees
Higher education qualifications
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1998 - 2003
Budapesti Közgazdaságtudományi és Államigazgatási Egyetem , Befektetéselemző és kockázatkezelő (főiskolai)
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2008, PhD
Maastricht University -
2017, Dr.Habil
BCE, Gazdálkodástudományi Kar
Career
Workplaces
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2004 - 2008
Maastrichti Egyetem, egyetemi tanársegéd -
2008 -
Budapesti Corvinus Egyetem (BCE), egyetemi tanársegéd, majd adjunktus, majd 2011-től docens, majd 2019-től egyetemi tanár -
2011 -
Közgazdaság-tudományi Intézet, Játékelméleti Kutatócsoport, Tudományos munkatárs (2016-tól tudományos főmunkatárs)
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2014 - 2020
Financial Research Centre, Corvinus University of Budapest, igazgató -
2012 - 2016
Biztosítási és Pénzügyi Matematika Ms.c. Kvantitatív pénzügyek szakirány BCE: szakirányfelelős -
2012 - 2020
Corvinus lectures in finance, szervező -
2012 -
Annual financial market liquidity conference, Budapest: főszervező -
2010 - 2019
Gazdálkodástudományi kar, Kutatási bizottság tagja -
2012 -
MTA Közgazdaság-tudományi Bizottság, Pénzügytani Albizottság: titkár, 2015-től alelnök, majd 2018-tól elnök
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2009, Kutatási kiválósági ösztöndíj
BCE -
2010, Az év fiatal kutatója
BCE GTK -
2011, Kutatási kiválósági ösztöndíj
BCE -
2012, OTKA posztdoktori ösztöndíj
OTKA -
2015, Kiemelkedő publikációs díj
BCE GTK -
2016, Kutatási kiválósági ösztöndíj
BCE -
2016, Posztdoktori ösztöndíj
Új Nemzeti Kiválósági Program -
2017, Posztdoktori ösztöndíj
Új Nemzeti Kiválósági Program -
2019, Bolyai János Kutatási Ösztöndíj
Magyar Tudományos Akadémia -
2020, KIváló Mentor Díj
BCE -
2021, Corvinus Research Excellence Award
BCE
Language skills
Language
Speaking
Writing
Reading
Media appearance
English
Advanced
Advanced
Advanced
German
Intermediate
Intermediate
Intermediate
Language skills
-
Language: EnglishSpeaking: AdvancedWriting: AdvancedReading: AdvancedMedia appearance:
-
Language: GermanSpeaking: IntermediateWriting: IntermediateReading: IntermediateMedia appearance:
Research, professional activity
Vállalati pénzügyek, Játékelmélet, Empirikus pénzügyek, Befektetések
economics
Kockázatfelosztás nem likvid piacokon és rendszerkockázat esetén; hitelszűkösség; portfólió-optimalizálás nem likvid eszközökre; társadalmi választások elmélete, rendszerkockázat
Kockázatelosztási játékok; koherens kockázati mértékek, egzakt kooperatív játékok átruházható és nem átruházható hasznossággal
Major research projects
Vállalati pénzügyek, Játékelmélet, Empirikus pénzügyek, Befektetések
economics
Kockázatfelosztás nem likvid piacokon és rendszerkockázat esetén; hitelszűkösség; portfólió-optimalizálás nem likvid eszközökre; társadalmi választások elmélete, rendszerkockázat
Kockázatelosztási játékok; koherens kockázati mértékek, egzakt kooperatív játékok átruházható és nem átruházható hasznossággal
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2010 - 2010, N° EAC/47/2009 Feasibility study to examine the potential need for a student lending facility at European level
Form of participation: member of the research team
Moneylender: European Commission Directorate-General for Education and Culture
Further info about research: The general purpose of the project is to make lifelong learning and mobility a reality, by reducing financial barriers. The main tasks are:+ description and evaluation of present practices+ evaluating the Community Added Value (CAV)+ creating new pan-European institution
-
2012 - 2014, FuturICT.hu – Infocommunication technologies and the society of the future
Form of participation: member of the research team
Moneylender:
Further info about research: Financial systems subprojectInfection analysis and the investigation of cascade effects focus on graph modelling of the interrelated business entities and on evaluating the speed and radius of an infection or the probability of a system collapse. Game theoretical investigations are pursued to measure the fairness of contracts and corresponding risk distributions, and multimedia data mining is applied to reveal the sentiments of a business and discover the correlation and impact of sentiments on the stock prices. In this way, a fast identification of favourable patterns in time series becomes feasible on small time scales, which can give rise to profitable trading where asset prices can follow each other in second and millisecond intervals.
-
2012 - 2015, Risk allocation in illiquid markets and in case of systemic risk
Form of participation: leader of the research team
Moneylender: OTKA
Further info about research: If a financial enterprise (bank, insurance company, investment fund, etc.) consists of subunits (individuals, products, subportfolios, divisions etc.), not only is it important to measure properly the risk of the main entity, but also to allocate the diversification benefits to the subunits using a proper risk allocation method. The purpose of the project is to analyze risk allocation in illiquid markets and in case of systemic risk, using game theory and simulation.
-
2011 - 2012, Measuring and allocating risk of illiquid portfolios
Form of participation: leader of the research team
Moneylender: MSCI
Further info about research: In finance risk capital allocation is an important question from both theoretical and practical point of view. How to share risk of a portfolio among its subportfolios? How to reserve capital in order to hedge existing risk and how to assign this to different business units?We use an axiomatic approach to examine risk capital allocation, i.e. we call for fundamental properties of the methods. The starting point of this working paper is the theorem of Csóka and Pintér (2010) who showed that the requirements of Core Compatibility, Equal Treatment Property and Strong Monotonicity are irreconcilable given that risk is quantified by a coherent measure of risk. In this project we examine these requirements using analytical and simulation tools.
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2009 - , Köztestületi Tag, member
MTA , national -
2009 - , tag, member
Gazdaságmodellezési társaság, national -
2007 - , tag, member
Magyar Közgazdaságtudományi Egyesület, national -
2012 - , tag, member
Game theory society, international -
2012 - 2014, titkár, leadership position (president, director etc)
MTA Közgazdaság-tudományi Bizottság, Pénzügytani Albizottság , national -
2010 - 2014, Zsűritag, member
OTKA KJS, national -
2015 - 2017, alelnök, leadership position (president, director etc)
MTA Közgazdaság-tudományi Bizottság, Pénzügytani Albizottság , national -
2017 - , Management Committee Substitute, leadership position (president, director etc)
COST Action CA16228, European Network for Game Theory, international -
2019 - , elnökségi tag, leadership position (president, director etc)
Magyar Közgazdaságtudományi Egyesület, national -
2018 - 2020, elnök, leadership position (president, director etc)
MTA Közgazdaság-tudományi Bizottság, Pénzügytani Albizottság , national
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2016 - 2020, FRL, Associate Editor, president or member of the editorial board
Foreign language -
2016 - , JIFMIM, Subject Editor, president or member of the editorial board
Foreign language -
2016 - , EMEMAR, Subject Editor, president or member of the editorial board
Foreign language -
2016 - , SEF, Associate Editor, president or member of the editorial board
Foreign language
-
2010 - 2010
Magyar Posta Zrt., -
2013 - 2014
KELER KSZF, Hungarian Clearing House and Central Counterparty, Kockázati modellek auditálása -
2018 - 2018
KELER KSZF, Hungarian Clearing House and Central Counterparty, Kockázati modellek auditálása
Contacts
Location at the university
szerda 14:00-15:30
-
Building: E
Room number: 263
Extension:
Main line:
Fax:
Internal fax:
peter.csoka@uni-corvinus.hu
https://sites.google.com/view/peter-csoka-personal/home
szerda 14:00-15:30
Personal data
|
Dr. Csóka Péter
Egyetemi tanár / Professor
|
Qualifications, scientific degrees
Higher education qualifications
-
1998 - 2003
Budapest University of Economic Sciences and Public Administration , Majored as Investment Analyst (főiskolai)
-
2008, PhD
Maastricht University -
2017, Dr.Habil
CUB, Business School
Career
Workplaces
-
2004 - 2008
Maastricht University, PhD student -
2008 -
Corvinus University of Budapest (CUB), Professor (since September 2019), before Associate Professor (since April 2011), before Assistant Professor -
2011 -
Game Theory Research Group, Centre for Economic and Regional Studies, Research fellow (Senior Research Fellow, since 2016)
-
2014 -
Financial Research Centre, CUB, director -
2012 - 2016
M.Sc. in Actuarial and Financial Mathematics, director of the major in quantitative finance at CUB -
2012 -
Corvinus lectures in finance, organizer -
2012 -
Annual financial market liquidity conference, Budapest: chair of the organizers -
2010 - 2019
Faculty of Business Administration, Member of the Research Committee -
2012 -
Hungarian Academy of Sciences, Committee of Economics, Subcommittee of Finance, secretary, 2015 vice-president, 2018 president
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2009, Excellent Researcher Scholarschip
CUB -
2010, The young researcher of the year
CUB Faculty of Business Administration -
2011, Excellent Researcher Scholarschip
CUB -
2012, OTKA Research Scholarship
OTKA -
2015, Outstanding publication award
CUB, Corvinus Business School -
2016, Excellent Researcher Scholarship
CUB -
2016, Research Scholarship
New National Excellence Program of the Ministry of Human Capacities -
2017, Research Scholarship
New National Excellence Program of the Ministry of Human Capacities -
2019, János Bolyai Research Scholarship
Hungarian Academy of Sciences
Language skills
Language
Speaking
Writing
Reading
Media appearance
English
Advanced
Advanced
Advanced
German
Intermediate
Intermediate
Intermediate
Language skills
-
Language: EnglishSpeaking: AdvancedWriting: AdvancedReading: AdvancedMedia appearance:
-
Language: GermanSpeaking: IntermediateWriting: IntermediateReading: IntermediateMedia appearance:
Research, professional activity
Corporate finance, Game Theory, Empirical Finance, Investments
economics
Risk allocation in illiquid markets; credit rationing; portfolio optimization with illiquid assets; social choice theory, systemic risk
Risk allocation games, coherent measures of risk, exact game with and without transferable utility
Major research projects
Corporate finance, Game Theory, Empirical Finance, Investments
economics
Risk allocation in illiquid markets; credit rationing; portfolio optimization with illiquid assets; social choice theory, systemic risk
Risk allocation games, coherent measures of risk, exact game with and without transferable utility
-
2010 - 2010, N° EAC/47/2009 Feasibility study to examine the potential need for a student lending facility at European level
Form of participation: member of the research team
Moneylender: European Commission Directorate-General for Education and Culture
Further info about research: The general purpose of the project is to make lifelong learning and mobility a reality, by reducing financial barriers. The main tasks are:+ description and evaluation of present practices+ evaluating the Community Added Value (CAV)+ creating new pan-European institution
-
2012 - 2014, FuturICT.hu – Infocommunication technologies and the society of the future
Form of participation: member of the research team
Moneylender:
Further info about research: Financial systems subprojectInfection analysis and the investigation of cascade effects focus on graph modelling of the interrelated business entities and on evaluating the speed and radius of an infection or the probability of a system collapse. Game theoretical investigations are pursued to measure the fairness of contracts and corresponding risk distributions, and multimedia data mining is applied to reveal the sentiments of a business and discover the correlation and impact of sentiments on the stock prices. In this way, a fast identification of favourable patterns in time series becomes feasible on small time scales, which can give rise to profitable trading where asset prices can follow each other in second and millisecond intervals.
-
2012 - 2015, Risk allocation in illiquid markets and in case of systemic risk
Form of participation: leader of the research team
Moneylender: OTKA
Further info about research: If a financial enterprise (bank, insurance company, investment fund, etc.) consists of subunits (individuals, products, subportfolios, divisions etc.), not only is it important to measure properly the risk of the main entity, but also to allocate the diversification benefits to the subunits using a proper risk allocation method. The purpose of the project is to analyze risk allocation in illiquid markets and in case of systemic risk, using game theory and simulation.
-
2011 - 2012, Measuring and allocating risk of illiquid portfolios
Form of participation: leader of the research team
Moneylender: MSCI
Further info about research: In finance risk capital allocation is an important question from both theoretical and practical point of view. How to share risk of a portfolio among its subportfolios? How to reserve capital in order to hedge existing risk and how to assign this to different business units?We use an axiomatic approach to examine risk capital allocation, i.e. we call for fundamental properties of the methods. The starting point of this working paper is the theorem of Csóka and Pintér (2010) who showed that the requirements of Core Compatibility, Equal Treatment Property and Strong Monotonicity are irreconcilable given that risk is quantified by a coherent measure of risk. In this project we examine these requirements using analytical and simulation tools.
-
2009 - , member,
Hungarian Academy of Sciences, Scientists having a PhD, national -
2009 - , member,
Society for Economic Modeling, national -
2007 - , member,
Hungarian Society of Economists, national -
2012 - , member,
Game theory society, international -
2012 - 2014, Secteraty,
Hungarian Academy of Sciences, Finance subcommittee , national -
2010 - 2014, member,
OTKA KJS, national -
2015 - 2017, vice-president,
Hungarian Academy of Sciences, Finance subcommittee , national -
2017 - , Management Committee Substitute, leadership position (president, director etc)
COST Action CA16228, European Network for Game Theory, international
-
2016 - , Associate Editor,
-
2016 - , Subject Editor,
-
2016 - , Subject Editor,
-
2016 - , Associate Editor,
-
2010 - 2010
Hungarian Post Ltd., Liquidity and cash management -
2013 - 2014
KELER KSZF, Hungarian Clearing House and Central Counterparty, Validation of risk models -
2018 - 2018
KELER KSZF, Hungarian Clearing House and Central Counterparty, Validation of risk models
Contacts
Location at the university
Wednesday, 14:00-15:30
-
Building: E
Room number: 263
Extension:
Main line:
Fax:
Internal fax:
peter.csoka@uni-corvinus.hu
https://sites.google.com/view/peter-csoka-personal/home
Wednesday, 14:00-15:30