Széchenyi 2020
Budapesti Corvinus Egyetem ×


                     The implementation of the Financial Research Centre was supported by the
                     Budapest Stock Exchange in the form of a charity auction organized for the
                  150th birthday party of the Hungarian Stock Exchange in 2014. We are grateful
                    for the support in the name of the Department of Finance and its Foundation.
                 The Department of Finance at CUB is one of the leading academic departments
                  of finance in Hungary. Research activities at the Financial Research Centre fall
                   into three distinct, yet interconnected areas: corporate finance and valuation,
                 risk management and market microstructure. The international outreach of our
              research is highlighted by the Annual Financial Market Liquidity Conference (AFML)
            organised annually by our department since 2010. We also organise research seminars
         and lectures in finance open to a broader audience of students, alumni, and the larger public.
                        The Corvinus University of Budapest inaugurated its financial laboratory
                   (FinLab) on 21 November 2013. The laboratory hosts 3 Thomson Reuters and
12 Bloomberg terminals, widely used professional trading and data resources in the finance industry.

         Our publications at REPEC (Research Papers in Economics)
                                  Our working papers at REPEC
                                Selected publications since 2014.


                Cogent Economics & Finance, 7(1), 1609766.
                   Berlinger, E., Dömötör, B., & Illés, F. (2019).
    Journal of International Financial Markets, Institutions and Money.
Berlinger, E., Dömötör, B., & Illés, F. (2019). Optimal margin requirement.
                       Finance Research Letters, forthcoming.
Csóka, P., & Jean-Jacques Herings, P. (2019). Liability games.
                Games and Economic Behavior, 116, 260-268.
                            Dömötör, B., & Váradi, K. (2019).
              Studies in Economics and Finance, forthcoming.
         Walter, G. (2019). Risk-adjusted pricing of project loans.
              Studies in Economics and Finance, forthcoming.

                Berlinger, E., Bihary, Z., & Walter, G. (2018).
                         Csóka, P., & Hevér, J. (2018).
Csóka, P., & Jean-Jacques Herings, P. (2018).
               Management Science, 64(10), 4681-4699.
Divos, P., del Bano Rollin, S., Bihari, Z., & Aste, T. (2018).
                  Applied Mathematical Finance, 1-21.
Evidence from the EGARCH Model. Global Business Review, 0972150918811713.
           Lublóy, Á., Keresztúri, J. L., & Benedek, G. (2018).
                    Society and Economy, 40(2), 227.


                    Balog, D., Bátyi, T. L., Csóka, P., & Pintér, M. (2017).
           European Journal of Operational Research, 259(2), 614-625.
       Finance Research Letters, 21, 277-283.Berlinger, E., Bihary, Z., & Walter, G. (2017).
                               Finance Research Letters, 22, 30-34.
Berlinger, E., Lovas, A., & Juhász, P. (2017). State subsidy and moral hazard in corporate financing.
        Central European Journal of Operations Research, 25(4), 743-770.Csóka, P. (2017).
Fair risk allocation in illiquid markets. Finance Research Letters, 21, 228-234.
     Finance Research Letters, 21, 259-263.Lublóy, Á., Keresztúri, J. L., & Benedek, G. (2017).
            The European Journal of Public Health, 27(5), 826-829.
                     Finance Research Letters, 21, 249-258.


Csóka, P., & Pintér, M. (2016). On the impossibility of fair risk allocation.
The BE Journal of Theoretical Economics, 16(1), 143-158.Kutasi, D., & Badics, M. C. (2016).
                                Acta Oeconomica, 66(3), 527-546.
                   Lublóy, Á., Keresztúri, J. L., & Benedek, G. (2016). 
                 Applied health economics and health policy, 14(2), 217-227.


                                 Berlinger, E., & Walter, G. (2015).
                               Acta Oeconomica, 65(s1), 123-147.
                          Csóka, P., Havran, D., & Szűcs, N. (2015).
          Central European Journal of Operations Research, 23(4), 763-778.


                         Benedek, G., Lublóy, Á., & Vastag, G. (2014).
                                Decision Sciences, 45(1), 175-201.
                                Csóka, P., & Herings, P. J. J. (2014).
Risk allocation under liquidity constraints. Journal of Banking & Finance, 49, 1-9.
                               BMC health services research, 14(1), 469.
                                 Society and Economy, 36(4), 543-563.

National Research, Development and Innovation Office

From 10-2016
to 10-2020
48 months

Analyzing financial networks using the tools of game theory
In this project we will analyse financial networks at which
agents have mutual financial claims on each other. Each agent
is characterized by its endowment (all tangible and intangible
assets, excluding the claims from agents inside the network)
and its liabilities to the other agents. Agents’ assets (endowments
and claims collected from other agents) might not be sufficient to
satisfy their liabilities and agents may therefore default. A default
can also occur due to contagion, when an agent defaults only
because other agents are not fully paying their liabilities to it.
As motivating examples one can think of the latest financial crisis
triggered by the Lehman bankruptcy or sovereign debt problems
of European countries. If an agent is bankrupt, then its bankruptcy
rule specifies how to split up its assets (which in a financial network
depends on the payments of other agents) among its creditors.
A typical example for a bankruptcy rule would be the proportional rule,
where a bankrupt agent’s assets are divided in proportional to the claims.
In financial networks there can be agent specific bankruptcy rules
resulting in clearing payments. The aim of the project is to extend the
analysis and understanding of bankruptcy situations in financial
networks using game theory.

Participant: Péter Csóka

From 06-2016
Pricing on interbank markets

Using Hungarian and Polish interbank market dataset we describe
the trading network, the pricing of the large players and characterize
the market. We compare the main result for the two countries.

Participants: Dániel Havran, Michal Konopczak
(Warsaw School of Economics, National Bank of Poland)

Corvinus University of Budapest – Figyelő business weekly
From 06-2016
to 10-2016
4 months

Limitations and possibilities of growth for the TOP200 Hungarian companies
The aim of the of the research was to identify key trends and patterns in the
growth of the 200 Hungarian companies with the top most sales. Besides of
analysing financial statements a questionnaire has been used to uncover most
important development areas and key success factors for the last three years.
The major limits and challenges of growth and the vital development fields for
the next three years were also identified. Various subgroups based on export focus,
location, ownership and efficiency were tested for differences. Development strategies
and historical experiences of the firms were also checked for consistency.

Participants: Péter Juhász, László Reszegi and Annamária Kazainé Ónodi

KELER, Hungarian Clearing House and Central Counterparty

From 06-2016
to 09-2016
3 months

Validation of risk models’ adjustments
Based on the available documentations and on-site interviews, we
performed an independent validation according to EMIR regulation
and the supplementing regulation of Commission Delegated Regulation
(EU) No 153/2013 on the planned modifications of risk management
models of KELER CCP Ltd.

Participants: Edina Berlinger, Barbara Dömötör, Ferenc Illés

Corvinus University of Budapest

From 05 2016
to 09 2016
4 month

Current regulation and limits of going public in Hungary
The research aims to gain an overview on what modifications
may be needed in the current regulations and institutional
solutions to promote Hungarian firms going public at the
Budapest Stock Exchange. BEsides of comparative analysis
of the region various in depth interviews with market players
were carried out.

Participants: Péter Juhász, Gergely Fazakas

KELER, Central Counterparty

From 02-2016
to 08-2016
6 months

Risk management models adjustments
The aim of the research was to develop the risk
management models of KELER CCP Ltd., based
on the latest market needs.

Participant: Kata Váradi

From 01-2016

Risk appetite framework at financial sector

Based an anonymous survey focusing on Risk
Appetite Framework in the financial sector we
exam the situation of risk appetite systems,
the benefits and the obstacles of implementation.

Participants: Zsuzsanna Tamásné Vőneki, dr. Gabriella Lamanda

From 06-2015

Explanation of the cross-section correlation of
the most liquid stock on the Indian Market
Using the stock dataset of the National Stock Exchange
of India, we analyze the trading synchronicities among the
largest 100 securities. By computing intraday R-squared
measures for 30 minutes trading sessions, we describe the
seasonal and cross-sectional properties of trading determined
by the systematic factor.

Participants: Dániel Havran, Aravind Sampath (Indian Institute
of Management Kozhidoke), Arun G. Kumar (Indian Institute of
Technology Madras)
Department of Finance, Corvinus University of Budapest

From 05-2014 
to 06-2016
26 months

Case Studies in Finance
Our educational experience shows that case studies are very
effective tools to help students in receiving new information,
and to optimize their ability to solve problems. These real-life
stories on firms’ investment decisions and corporate finance
practice help professors to involve students, make them finding
solutions to explicit problems, analyse possible options and to
argue for different points of views. This is why a collection of
cases was published. The book contains 34 cases, some of them
have certain subcases as well, so altogether about 50 different
problems are presented.

Participants: Gergely Fazakas and György Walter (editors, coordinators),
Barbara Dömötör, Edina Berlinger, Péter Juhász, Péter Csóka, Balázs Márkus,
Roland Madácsi, Erika Jáki, Máté Fáin, Zsuzsa Tamásné Vőneki, Csilla Heinlich,
Nóra Felföldi-Szűcs, Árpád Balázs Szűcs.

International Training Center for Bankers

From 03-2014
to 05-2015
15 months

Research in Liquidity RiskThe research aims at developing
mathematical models measuring risks that banks are facing
and quantifying capital requirement according to the latest
Basel regulation. The research focuses on market risk, operational risk,
liquidity risk and secondary risk types. The project is supported by the
Hungarian Government’s Research and Technological Innovation Fund.
Particpants: János Száz, Péter Medvegyev, Barbara Dömötör
(among many other researchers)

Centre for Quality Assessment in Higher Education, Lithuania

From 01-2014
to 03-2014
3 months

Assessment of university programs
Evaluation of finance undergraduate programs at higher
education institutions in Lithuania as a member of an
international expert team.

Participants: Dániel Havran

KELER, Hungarian Clearing House and Central Counterparty

From 12-2013
to 01-2014
2 months

Validation of risk models
Based on the available documentations and on-site interviews,
we performed an independent validation according to EMIR
regulation and the supplementing regulation of Commission
Delegated Regulation (EU) No 153/2013 on risk management
models of KELER CCP Ltd.
Participants: Edina Berlinger, Péter Csóka, Barbara Dömötör,
László Kóczy, Balázs Sziklai, Kata Váradi

European Union and the State of Hungary, co-financed by the
European Social Fund in the framework of TÁMOP

From 11-2013
to 10-2014
12 months

Measuring and Managing Liquidity Dynamically
The main focus of my research would be to work out
a method that could measure and manage market liquidity
dynamically, in order to be able to quantify the real liqudity of
the market. To tell something about a certain security’s or
about the whole market’s liquidity, if one has a longer time
period – e.g. a day – to liquidate a position, or to build up one,
is not easy, since there isn’t any indicator that would measure
properly the liqudity dynamically.

Participants: Kata Váradi

Hungarian Academy of Sciences

From 09-2013
to 08-2015
2 years

During this period of the scholarship, I worked on academic
projects on some topics related to market microstructure.
Title of the research projects: Microstructure of the Financial
Markets: What Do We Lose Due to the Presence of the Market
Frictions?, with Tamás Erb Explaining the Network of Liquidity
Providers on the OTC Markets, with Árpád Balázs Szűcs
Components of the Market Resiliency: Recovery Dynamics on
the Order-Driven Markets, with Kata Váradi

Participants: Dániel Havran (Postdoc Researcher, MTA-KRTK
Institute of Economics), Tamás Erb, Árpád Balázs Szűcs, Kata Váradi

The Central Bank of Hungary

From 03-2013
to 07-2013
4 months

The Impact of the Financial Crisis on Central Bank Balance Sheets
in Emerging EconomiesThe trend of rapid expansion in central bank
balance sheets and the resulting higher need for sterilization was
not solely a Hungarian phenomenon, it represented a challenge for
many central banks around the world. We investigated changes in
central bank balance sheets and the non-conventional central bank
measures triggered by the crisis. The paper has won a “Golden Award”
in the internal competition of the MNB.

Participants: Szilárd Erhart, Gergely Kicsák, Zsolt Kuti, Zoltán Molnár, Zoltán Monostori

The Central Bank of Hungary

From 03-2013
to 04-2013
1 month

Analysis of the Small, Non-Eurozone Member, EU-Member
Countries’ Central Banking PracticeIn this article we investigated
the practice of the Czech, Danish, Polish, Romanian and Swedish
central banks, focusing especially on monetary policy instruments,
balance sheets, international reserves and the effect on banking
system liabilities. The paper was useful for new central bank leaders
by investigating different international practices.

Participants: Péter Kálmán, Zsolt Kuti, Zoltán Molnár, Zoltán Monostori

AXA Research Fund

From 12-2012
to 11-2014
24 months
Network of general practitioners and specialists:
Profiting from the knowledge about their professional
interactionThis project investigates the determinants
of pharmaceutical innovation diffusion among specialists.
To this end, it investigates the influences of six categories
of factors—social embeddedness, socio-demography,
scientific orientation, prescribing patterns, practice characteristics,
and patient panel composition—on the use of new drugs for the
treatment of type 2 diabetes mellitus in Hungary. The Cox proportional
hazards model identified three determinants: social contagion
(in the social embeddedness category) and prescribing portfolio
and insulin prescribing ratio (in the prescribing pattern category).
Within this project we also describe the characteristics of the GP–SP
relationship in shared care systems. First, we describe the collaboration
structure among doctor. Second, we identify the professional and
socio-demographic characteristics of GPs with the most concentrated
patient split. Third, we investigate the characteristics of the strongest
GP–SP relationships.

Participants: Gábor Benedek, Ágnes Lublóy, Judit Lilla Keresztúri, Kata Váradi – Infocommunication technologies and the society of the future

From 11-2012
to 11-2014
2 years

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.

Participants: Péter Csóka, Dániel Havran, Nóra Szűcs

The Central Bank of Hungary

From 10-2012
to 10-2014
24 months

Country-Specific Determinants of Sovereign CDS Spreads:
the Role of Fundamentals in Eastern EuropeIn countries like
Hungary, the magnitude of sovereign risk premia is an important
input in monetary policy decisions. According to the theory, CDS
spreads will adjust in the long-term to a fundamental value
affected by global, regional and country-specific fundamentals.
We estimated dynamic fundamental relative CDS prices for nine
Eastern-European countries based on their fundamentals, helping
policy makers to see whether recent changes in CDS spreads were
caused by changing fundamentals or other reasons.

Particpants: Zalán Kocsis, Zoltán Monostori

ING Bank

From 09-2012
to 09-2013
12 months

Corporate risk management practice
The research investigated the risk management practice of
Hungarian large corporations. The focus was on the hedging
of market risk, we analyzed the risk attitude, the main exposures
and the hedging strategies based on a survey and personal
interviews with financial experts. The main question of the
research was how liquidity considerations appear in the financial
decision making.

Participants: Barbara Dömötör

Hungarian Scientific Research Fund (OTKA)

From 09-2012
to 09-2016
4 years 

Risk allocation in illiquid markets and in case of systemic risk
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.

Participants: Péter Csóka

Research Centre for Business Development (Corvinus University)

From 06-2012


The effect of export on the functioning of the Hungarian firms
Export is one of the key drivers of the Hungarian economy.
During recent years governmental policy focused on increasing
export but it is unclear whether stimulating economic growth is
just simple as that. The research focused on how to be a successful
exporter and how and why exporters differ across efficiency and
productivity. We also analysed the structure of the Hungarian economy
to see whether excellent performance is only possible by focusing on
foreign markets. Results have been published in various lectures,
articles, and two books.

Particpants: Péter Juhász (among many other researchers)

The Central Bank of Hungary

From 06-2012
to 11-2012
6 months

Network analysis of the Hungarian interbank deposit market
Networks change in time and the changes in the network
topology may characterize and in some cases even forecast
liquidity crises. We examined the Hungarian interbank deposit
market between 2003 and 2012 and investigate the behavior
of the players, the flows of funding and the corresponding graph
measures. These results can be used as inputs of an “early
warning system” and also may help to detect systematically
important players.

Participants: Gábor Benedek, Edina Berlinger, Márton Michaletzky

The Central Bank of Hungary

From 03-2012
to 10-2013
17 months

Discriminatory versus Uniform-price Auctions
The goal of the analysis was the comparison of the two
most commonly used auction techniques (discriminatory
and uniform price auctions) through the summary of the
relevant literature. Among several other countries, Poland
has changed its auction method in 2012 on the T-bond and
T-bill markets from the previously used discriminatory format
to the uniform price formula. In Hungary, both the Government
Debt Management Agency (in the case of T-Bonds and T-bills)
and the MNB (in the case of FX, FX-swaps, Credit auctions)
still use the discriminatory format. The most important goal
of the analysis was to review the arguments for and against
the different formulas.

Participants: Zoltán Monostori

The Central Bank of Hungary

From 01-2012
to 02-2013
13 months

Analysis of the Crisis on the Hungarian
Government Bond Markets in the Winter of 2011-2012:
Was that a Liquidity Problem? In the winter of 2011-2012,
Hungarian financial markets experienced a strong drying out.
The objective of this project was to investigate the magnitude
and the causes of the deteriorating liquidity.

Participants: Zoltán Monostori

National University of Singapore

From 15-09-2011

to 15-12-2011

3 months

Visiting researcher

The program was funded by Corvinus Visiting Scholar Programme,

TÁMOP-4.2.1/B-09/1/KMR-2010-0005. Joint work with Zsuzsa R. Huszár

(National University of Singapore, NUS Business School, Department of Finance)

3 months Title of the project: Cash as the proxy for competitiveness?

The role of financial slack in corporate financial risk management

Participants: Dániel Havran

Ministry of Education and Sciences of Albania

From 06-2011
to 09-2011
3 months

Design of a student loan system for Albania
The overall objective of the project was to investigate options

for the feasibility of establishing a student loan scheme for Albania,

identifying the conditions needed for its successful operation and

to propose the steps and a timetable for implementation.

Participants: Edina Berlinger, Gyula Gilly

The Central Bank of Hungary

From 06-2011
to 12-2012
18 months

Creating a New Balance Sheet Strategy for the MNB, the Central Bank of Hungary

After the sharp increase of the operational liquidity surplus in Hungary through the crisis,

the huge amount of sterilization instruments created new risks in the Hungarian financial

system. This analysis investigated the new risks and the possible policy responses

of the central bank.

Participants: Csaba Balogh, Szilárd Erhart, Zoltán Monostori


From 05-2011
to 05-2012
1 year

Order execution strategies – How traders do it?
Market players have some ideas about market liquidity tendencies.

Based on this they develop effective order-splitting and timing strategies.

In this research project we make interviews with different types of traders

and investigate how they try to optimize their trading in practice

(typical situations, rules of thumb etc.)?

Participants: Edina Berlinger, Kata Váradi, Árpád Szűcs Balázs, Márton Michaletzky


From 05-2011
to 05-2012
1 year

Measuring and allocating risk of illiquid portfolios
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.

Participants: Péter Csóka, Dóra Balog, Tamás László Bátyi, Miklós Pintér


From 05-2011

to 05-2012
1 year

Optimal hedging strategy in case of liquidity risk
The optimal hedging is investigated in case of liquidity risk:

a theoretical model is built based on the model of Korn (2003), which

considers not only the liquidity cost, but the expected value of the hedging

position as well. The other direction of the investigation is the modeling of

several hedging strategies, in order to support the financial decision making

by quantifying the expected funding ratio (financing need) connecting to them.

Participants: Barbara Dömötör

Hungarian Academy of Sciences

From 02-2011
to 05-2015
4 years and 3 months

Research Group in Game theory
The research group supported by the Momentum Programme

of the Hungarian Academy of Sciences aims at understanding,

modelling and solving certain problems within the realm of game theory.

The focus of research is at cooperative games, where the players’ interactions

generate externalities, that is, third parties, not directly participating in the

activities may get affected. In partition function form games the third party

is a third player or another coalition, while in dynamic cooperative games it may

well be the future self of one of the acting agents. Besides the theoretical results

the aim is also to apply them in economic models, of these the applications of

power indices and matching models are especially prominent in the research profile.

Particpants: Edina Berlinger (since March 2014), Péter Csóka

Morgan Stanley

From 02-2011
to 12-2011
10 months

Modeling market microstructure with interacting agents
The objective of the research project was to investigate a market

with interacting agents with a focus on 1. the effect of heterogeneous

information patterns and beliefs on liquidity, 2. the effect of heterogeneous

agents who hedge their underlying position in a multi-asset market

environment on market prices and liquidity.

Participants: Zsolt Bihary, Edina Berlinger, Gábor Fáth, Dániel Havran,

István Margitai, Péter Medvegyev, Árpád Szűcs Balázs

OTP Hungary-Projekt

From 02-2011

to 05-2011
3 months

Innovation capability of Hungarian Firms
Empirical research involving questionnaires on the innovation

capability of Hungarian firms present mixed results due to the

various interpretations of innovation amongst the questioned firms.

We examine the relationship between the innovation activity of firms

and the existence of different financing resources. We also examine

the experience of corporations in tendering for financial support.

Participants: Anita Lovas (among many other researchers)

Norway Grants

From 01-2011
to 03-2011
2 months

Market failures and the role of the state in sustainability
Subproject in HU0056 Sustainable consumption, production and

communication, ELTE-Corvinus research project State interventions

to promote sustainability can be justified on the grounds of market

failures like non-contractible externalities, non-hedgeable risks and

uncertainties and informational problems. In this research project I

have analyzed these problems and prepared a literature review on the

possible intervention strategies.

Participants: Edina Berlinger

Budapest Stock Exchange

From 01-2011

to 12-2011
1 Year

Liquidity Adjusted Value-at-Risk models, and Price Impact Functions
Application of the Budapest Liquidity Measure in VaR measures, by

estimating a Liquidity Adjusted Value-at-Risk model on the BLM database

of the four blue-chip stocks of the Budapest Stock Exchange. The other goal

of the research was to show the the BLM database can be used for

estimating virtual price impact functions.

Participants: Ákos Gyarmati, Ágnes Lublóy, Márton Michaletzky, Kata Váradi

TÁMOP-4.2.1/B-09/1/KMR-2010-0005 projekt

From 10-2010
to 03-2012
18 months

Churn Models at Mobile Providers – The Importance of Social Embeddedness
This research stressed the importance of social embeddedness at mobile

providers by examining the effects of customers’ network topological properties

on churn probability. This article used data from regional snowball sampling to

identify groups with significantly different churn ratios for customers with different

network topological properties. Clear evidence indicated that individual network

characteristics have considerable impact on churn probabilities. This research also

highlighted the importance and effectiveness of the provider’s tailored marketing

campaigns by showing that customers targeted by direct marketing campaigns

are less threatened by churn than non-targeted customers.

Participants: Gábor Benedek, Ágnes Lublóy, Gyula Vastag

Hungarian Post Ltd.

From 07-2010
to 12-2010
6 Months

The effects of cash management changes on the Hungarian Post Ltd.

Participants: Péter Csóka, Dániel Havran, Anita Lovas, Kata Váradi

European Commission
Directorate General for Education and Culture

From 03-2010
to 01-2011
10 Months

Feasibility study to examine the potential need for a student

lending facility at European level,
N° EAC/47/2009 Joint research project led by LSE and PPMI
The overall policy objective is “to make lifelong learning and mobility a reality,

by reducing financial barriers”. This Study investigates options for the feasibility

of establishing a pan-EU student lending scheme in support of learning mobility,

building upon earlier research in this area. Specific objectives of the research are

(1) to undertake a review of existing student financial support; then (2) to evaluate

where Community added value may exist in developing a lending facility to

complement national/regional schemes in support of mobility. (3) Where added

value is demonstrated, to investigate the feasibility for the establishment of a

student lending facility at EU/EEA level.

Participants: Edina Berlinger, Péter Csóka, Dániel Havran, Barbara Dömötör

The Central Bank of Hungary

From 03-2010

to 08-2012
29 months

Decomposition of the Five-year Hungarian Sovereign Fixed Income Forint Yields
During the crisis, Hungary had to pay a large risk premium on T-Bonds, which had

negative effects e.g. on government debt financing costs, investments, etc…

In this paper I presented the factors that affect the Hungarian Government Bond prices.

I attempted to answer the question: which premium had the most significant effect on

the yields of the long-term government securities during the global economic crisis.

In a small, open, net borrower economy like Hungary, the points of the yield curve are

determined by the risk free return, the expected changes in exchange rates and the

premium expected by the investors in return for the risk they run. The premium is

affected by four major types of risks: credit risk, liquidity risk, currency risk and interest

rates risk. I have explored these risks, and estimated the premia paid for them. The paper

has won several awards and prices (2012 Eros Gyula Award, 2011 Second Price National

Council of Students’ Scientific Workshops (OTDK), 2010 First Price Scientific Students’ Association (TDK)).

Participants: Zoltán Monostori

European Centre for Development of Vocational Training

From 02-2010
to 12-2010
10 Months

The role of loans in financing vocational education and training in Europe
N° AO/RPA/PLI-PSZO/Loans/016/09 International Comparative Analysis,

Research project led by PPMI
The aim of this research project is to commission a study for analysing

the use of loans to finance and promote vocational education and training

in selected EU Member States and to gain a clear understanding of the role

of loans in financing and promoting vocational education and training in Europe.

The study explains operation of loans, evaluate their implementation and provide

policy and practice recommendations.

Participants: Edina Berlinger

Budapest Stock Exchange

From 01-2010
to 12-2010
1 year

The Budapest Liquidity Measure
Application and analysis of the Budapest Liquidity Measure for the period of 2007-2010.

Participants: Ákos Gyarmati, Márton Michaletzky, Kata Váradi

Pension and Old Age Round Table

From: 05-2008

to 02-2010
21 months


The Pension and Old Age Round Table is an Advisory Board of independent
experts and delegation of stakeholder state and private institutions.
The professional team makes proposals and reports on the reform
of Hungarian pension system. My task was analyzing different system
paradigms at international level. Title of my research project:
“Pension paradigms in the OECD countries”

Participant: Dániel Havran

World Bank

From 02-2008
to 08-2008
6 months

Design of student loan system for Bulgaria, International comparative analysis
Preparatory study and a concept for the Bulgarian government supported by World Bank.
I worked together with Hungarian, Slovakian and Bulgarian consultants. The study was
introducing theoretical and conceptual backgrounds and implementation strategy.
My contribution mainly related to capital involvement issues, interest rate policy and
risk management strategies. The project ended up in a study and was presented to the
Bulgarian government representatives.

Participants: Edina Berlinger, Gyula Gilly

Generali-Providencia Insurance Co.

From 10-2007

to 12-2007

2 months

Pricing of a Special Structured Product, International Comparative Analysis

The objective was to develop a simulation model for pricing and sensitivity

analysis purposes of a structured derivative product (Asian type basket quanto).

Participants: Edina Berlinger, Dániel Havran, Márton Michaletzky, Zsolt Tulassay

Collegium Budapest Institute for Advanced Study

From 02-2007

to 10-2008

1.5 years

European Perspectives of Student Lending
British Hungarian Joint Research Project, International Comparative Analysis

The program included COLBUD, British Council, LSE scholars and the Hungarian

Student Loan Center. The project had three objectives: firstly a comparative analysis

of existing student loan systems in HE; secondly the dissemination of the achievements

of the Hungarian Student Loan system, thirdly exploring the future opportunities in student

loaning in Europe. The first objectives resulted in a conference presentation in Slovenia and

article in the Journal of Higher Education in Europe. The second part was presented in workshop

in Budapest and a working paper was written.

Participants: Edina Berlinger, Cécile Horeau

British Council

From 11-2006

to 07-2007
8 months

Future of Higher Education in Europe, International Comparative Analysis
Discussion forums and workshops amongst several teams of European countries.
The teams were participating in an international think thank workshop series to
determine future strategies and scenarios for the European Higher Education in
everyone’s own country. The program was finished by a conference and a book
summarizing the findings and conclusions.

Participants: Edina Berlinger

Hungarian Ministry of Labor

From 09-2006

to 12-2006
3 months

Improvement of the Hungarian Vocational Training System
As part of the main initiative to raise the respect and attractiveness
of vocational education in Hungary the Ministry has decided to
investigate the possibility to introduce a loan system for vocational
students based on the success of a similar system in higher education.
In our study we have developed several models and sharply separated
the lifelong learning instruments from the under 18 regular educational instruments.

Participants: Edina Berlinger, Erzsébet Kovács

The Central Bank of Hungary

From 04-2006

to 10-2007
18 months

Operational Disruption in the Hungarian Real Time Gross Settlement System (VIBER)

In this research we focused on the operational resilience of the Hungarian real time gross settlement

system, known as VIBER. The goal of the research was the quantitative assessment of
the ability of the system to withstand certain types of operational shocks. Systemically
important participants were identified and it was argued that they overlap with endangered
participants. We measured the capacity of the system to function smoothly in the event of
operational problems by simulating the technical default of one or two systemically
important participants in VIBER.

Participants: Ágnes Lublóy, Eszter Tanai

Hungarian Post Ltd.

From 03-2006

to 09-2010
4.5 years

Modeling of liquidity and cash management, design and implementation of integrated ERM model

Research projects on
• Modeling of liquidity and cash management (statistical models, simulations)
• Consultancy on designing enterprise risk management model
• Methods for forecasting cash circulation
We elaborated a micro level cash management model, analyzed the behavioral patterns of the post

offices and derived consequences on the aggregate liquidity of the whole system.
We have specified also the principles of a complex integrated enterprise risk management
(ERM) model. We worked on the implementation of the ERM model, andprovided new
methods on cash circulation forecasting also.

Participants: Edina Berlinger, Dániel Havran, Péter Juhász, Zita Marossy, Zsolt Tulassay

Collegium Budapest Institute for Advance Study

From 10-2005

to 10-2007
2 years

Risk-management of the student loan portfolio

Complex Systems, NAP Project
COLBUD was a multidisciplinary research institute with the participation of highly

respected and known scholars from worldwide. NAP Project has been
a European Funded mega-project. We have analyzed data of the repayment
of the Hungarian student loan system, carried out simulations, designed
optimal stochastic control in order to ensure the stability of the system and
advise decision makers for the best interventions.

Participants: Edina Berlinger

Collegium Budapest Institute for Advance Study

From 09-2005

to 06-2007
22 months

Payment flows in financial networks

Complex Systems, NAP Project The task included the assessment of the systemic

risk implications of the Hungarian interbank market. In the simulations
we applied various default definitions; market expectations and the multiple
failures of banks with similar risk profiles were also captured. It has become
clear for the regulator that contagion is limited in Hungary. The severity of
contagion is small not only in terms of number of failing banks, or affected
balance sheets, but also in terms of capital losses suffered by surviving banks.
Moreover, the topology of the Hungarian real time gross settlement system (VIBER)
and its systemic risk implications ware also assessed. We mapped the topology of
the payment network and ability of the system to withstand certain types of operational disruption.

Participant: Ágnes Lublóy

The Central Bank of Hungary

From 02-2005

to 05-2005
3 months

Topology of the Hungarian large-value transfer system

This research dealt with the topology of the Hungarian large-value transfer system,

known as VIBER. The research was generally descriptive in nature, the goal
of the research being the assessment of the payment topology. A graph theoretica
framework was applied. It was shown that the structure of the payments was permanent;
ad hoc relationships did not dominate the topology of the payments. The most central
institutions were the same; the key players did not vary across days. One interesting feature
of the topology was that only 30 per cent of the existing linkages were permanent linkages,
although nearly 90 per cent of the payment orders were sent or received through these linkages.
Furthermore, a well-defined group of institutions was identified; the illiquidity of these institutions
could cause the most serious disruption of the payment system. Surprisingly, the institutions most
capable of generating contagion were not the largest Hungarian banks measured by asset size.
Rather they were directly or indirectly active players of the USD/HUF FX swap market.

Participant: Ágnes Lublóy

Hungarian Ministry of Education

From 09-2004

to 09-2005
1 year

Joint model of pension and student loan systems

The objective of the research fellowship was to explore how the student

loan and pension systems can be interconnected in order to exploit
their synergies. It resulted in a study titled “Joint Model of Pension and
Student Loan” in which I worked out and recommended the introduction
of a new pension model.

Participants: Edina Berlinger

Hungarian Student Loan Company

From 03-2004

to 11-2005
2.7 years

Stability Analysis

Policy makers wanted to refine and fine-tune the Hungarian Student Loan

system and therefore and agent based modeling system was developed
based on empirical data. Numerous suggestions were recommended based
on the simulation results a large percentage of which was accepted and implemented.
For instance loan amounts, eligibility criteria and internal regulation modifications.

Participants: Edina Berlinger, Dániel Havran, Tamás Makara

The Central Bank of Hungary

From 03-2004

to 06-2004
4 months

Systemic risk implications of the Hungarian interbank market

This research examined the domino effect induced by idiosyncratic bank failures in Hungary.

The severity of contagion through credit exposures in the interbank market was
measured by the number of bank failures, the capital loss distribution of the
banking sector and the total assets of the affected banks. In the simulations
different default definitions were applied, while the market expectations and multiple
failures of banks with similar risk profiles were also captured. It was demonstrated
that the entropy maximizing estimation procedure, widely applied by other authors to
obtain bilateral exposures from aggregate data, significantly underestimated the risk
of contagion. In Hungary the contagion was limited in both absolute and relative terms.

Participant: Ágnes Lublóy

Venture Capital Funding for Information Technology

From 03-2004

to 08-2006
30 months

Evaluation of project proposals

Evaluation of 15 project proposals (evaluation of business plans, cash flow plans and balance sheets;

placing a valuation on the project companies) for a state-owned venture capital firm
funding projects related to information technology.

Participants: Gergely Fazakas, Ágnes Lublóy, Ágota Krénusz, Levente Zsembery

Hungarian Development Bank

From 06-2002

to 12-2002
6 months

Student Loan Policy Alternatives

After delegating the ownership rights of the Student Loan Center to the HDB from

the Ministry of Finance and Educational Ministry the new owner needed
a situation assessment and strategy formulation for further actions.
Therefore policy alternatives were developed and presented.

Participants: Edina Berlinger, György Walter, Levente Zsembery

Procent Securities Ltd.

From 02-1999

to 08-1999
6 months

Development of Risk Management System

The project involved the implementation of the BASEL directives at this particular

brokerage company. We provided an extensive and detailed specification
based on which the risk management software was programmed.

Participants: Edina Berlinger, György Walter, Levente Zsembery

Hungarian Ministry of Education

From 01-1999

to 09-2001
2.7 years

Design and Implementation of the Hungarian Student Loan System

On the initiation of the Hungarian Educational Ministry and financed by the World Bank,

a British-Hungarian team with the leadership of the world famous Professor
Nicholas Bar has been set for the design and implementation of the Hungarian
Student Loan Scheme. This included the formulation of the financing strategy
according to the local specialties based on the British theoretical foundations.
As a result, a new model and a new institution has been created which we might
consider in many aspects as an improved version of the British scheme.

Participants: Edina Berlinger, Gyula Gilly, György Walter, Levente Zsembery

Research Centre for Competitiveness (Corvinus University)

From 01-1996


Development of competitiveness of Hungarian firms

The research program launched in 1996 uses extended questionnaires filled

in by top management of several hundred of selected companies
to have a representative sample of the Hungarian firms. The survey
is repeated each five years to get a continuously developing picture
about the economy. Result have been published in several articles,
research reports, lectures, chapters and booklets.

Participants: Péter Juhász (among many other researchers)

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