Pénzügyi Kockázatok Kezelése, Vállalati Pénzügyek, Pénzügyi Számítások, Pénzügyi Esettanulmányok, Befektetések
economics
szegények pénzügyei, rendszerkockázat, hitelkockázat, kockázatkezelés, ösztönzők erkölcsi kockázat mellett, működési kockázat, pénzügyi hálózatok, klíring
diákhitel-rendszerek, jóléti rendszerek
Major research projects
2018 - 2021, Pénzügyi és lakossági szolgáltatások
Form of participation: leader of the research team
Moneylender: Felsőoktatási Intézményi Kiválósági Program, EMMI
Further info about research: Pénzügyi likviditás alprojekt
2018 - 2019, Bolyai+ kutatási ösztöndíj
Form of participation: leader of the research team
Moneylender: ÚNKP
Further info about research: A Bolyai János kutatási ösztöndíj eredményeinek disszeminációja
2016 - 2019, Bolyai János Kutatási ösztöndíj
Form of participation: leader of the research team
Moneylender: Magyar Tudományos Akadémia
Further info about research: Hitelrendszerek tervezése
2014 - 2015, Játékelméleti Kutatócsoport
Form of participation: member of the research team
Moneylender: Magyar Tudományos Akadémia
Further info about research: The research group supported by the Momentum Programme of the Hungarian Academy of Sciences aimed at understanding, modeling and solving certain problems within the realm of game theory. The focus of research was 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 was also to apply them in economic models, of these, the applications of power indices and matching models were especially prominent in the research profile.
2012 - 2012, Network analysis of the Hungarian interbank deposit market
Form of participation: leader of the research team
Moneylender: Magyar Nemzeti Bank
Further info about research: Networks change in time and changes in the network topology may characterize and forecast liquidity crises. We examined the Hungarian interbank deposit market between 2003 and 2012 and investigated the behavior of the players, 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.
2011 - 2011, Modeling market microstructure with interacting agents
Form of participation: leader of the research team
Moneylender: Morgan Stanley
Further info about research: The objective of the research project was to investigate a market with interacting agents with a focus ona) the effect of heterogeneous information patterns and beliefs on liquidity, b) the effect of heterogeneous agents hedging their underlying position in a multi-asset market environment on market prices and liquidity.
2011 - 2011, Order execution strategies – How traders do it?
Form of participation: leader of the research team
Moneylender: MSCI
Further info about research: 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 performed interviews with different types of traders and investigated how they tried to optimize their trading in practice (typical situations, rules of thumb etc.).
2010 - 2010, N° EAC/47/2009 Feasibility study to examine the potential need for a student lending facility at European level
Form of participation: leader of the research team
Moneylender: European Commission Directorate-General for Education and Culture
Further info about research: The general purpose of the project was to make lifelong learning and mobility a reality, by reducing financial barriers. The main tasks were:- description and evaluation of present practices- evaluating the Community Added Value (CAV)- creating a new pan-European institution (Erasmus+)
2010 - 2010, N° AO/RPA/PLI-PSZO/Loans/016/09 “The Role of Loans in Financing Vocational Education and Training in Europe”
Form of participation: leader of the research team
Moneylender: CEDEFOP
Further info about research: In cooperation with the Lithuanian Research Institute (PPMI), we investigated the European practice in VET financing and on this background, we identified the possible “best practice” model(s) and formulated policy recommendations on how to develop the financing institutions in Europe in order to support employment and economic recovery.
2007 - 2008, British Hungarian Joint Research Project titled “European Perspectives of Student Lending”
Form of participation: leader of the research team
Moneylender: British Council, Collegium Budapest
Further info about research: 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, a dissemination of the achievements of the Hungarian Student Loan system, thirdly, exploration of future opportunities in student lending in Europe.
2006 - 2007, Future of Higher Education in Europe, International Comparative Analysis
Form of participation: leader of the research team
Moneylender: British Council
Further info about research: Discussion forums and workshops amongst several teams of European countries. 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 with a conference and a book summarizing the findings and conclusions.
2005 - 2007, Complex Systems,
Form of participation: member of the research team
Moneylender: Collegium Budapest, NAP Project
Further info about research: COLBUD was a multidisciplinary research institute with the participation of highly respected and known scholars from worldwide. NAP Project was a European Funded mega-project. I was a Senior Research Fellow responsible for the “Risk-Management of a special credit portfolio” project team. We analyzed data on the repayment of the Hungarian student loan system, carried out simulations, designed optimal stochastic control systems to ensure the stability of the system and advised decision makers for the best interventions.
2004 - 2006, Sztochasztikus Rendszerek és Pénzügyi Piacok Modellezése
Form of participation: member of the research team
Moneylender: OTKA 047193
Further info about research: The objective of this research was to apply and develop advanced methods of stochastic systems for modeling financial markets. A current challenge in financial mathematics is the development of reliable hedging strategies for incomplete markets. Mathematically, this is a stochastic adaptive control problem in which the dynamics of the system is described by a multivariable switching diffusion process. This major problem could be related to a number of simpler problems. Most of our research topics were related to technical problems that could be handled within the framework of a Ph.D. program. The main areas were: hidden Markov models, models for a stock exchange, stochastic volatility and the relationship between stochastic control and option pricing. In addition, we have studied a few fundamental problems of stochastic adaptive control.
2004 - 2005, Nyugdíjrendszer és diákhitel-rendszer összekapcsolása
Form of participation: leader of the research team
Moneylender: OM, Deák Ferenc kutatóösztöndíj
Further info about research: The objective of the fellowship was to explore how the student loan and pension systems can be interconnected 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.
Membership in scientific or professional bodies/organizations
2021 - , Financial Liquidity and Sustainability
Form of participation: member of the research team
Moneylender: National Office for Research, Development, and Innovation - NKFIH, K-138826
Further info about research: We investigate financial liquidity, sustainability, and crisis management.
2018 - 2021, Financial and public services
Form of participation: leader of the research team
Moneylender: Higher Educational Institutional Excellence Program, Ministry of Human Resources
Further info about research: The Financial liquidity subproject aimed at investigating household finance in disadvantaged regions to improve financial inclusion.
2018 - 2019, Bolyai+ Research Dissemination Grant
Form of participation: leader of the research team
Moneylender: Hungarian Academy of Sciences
Further info about research: Dissemination of the results of Bolyai János scholarship focusing on the regulation of lending markets.
2014 - 2015, Game theory
Form of participation: member of the research team
Moneylender: Hungarian Academy of Sciences, Momentum Programme
Further info about research: The focus of the research was on cooperative games, where the players' interactions generate externalities, that is, third parties, not directly participating in the activities may get affected.
2012 - 2012, Network analysis of the Hungarian interbank deposit market
Form of participation: leader of the research team
Moneylender: National Bank of Hungary
Further info about research: We examined the Hungarian interbank deposit market between 2003 and 2012 and investigated the behavior of the players, flows of funding, and the corresponding network structures.
2011 - 2011, Modeling market microstructure with interacting agents
Form of participation: leader of the research team
Moneylender: Morgan Stanley
Further info about research: The objective of the research was to investigate a market with interacting agents with a focus on the effect of heterogeneous information patterns and beliefs on liquidity.
2011 - 2011, Order execution strategies – How traders do it?
Form of participation: leader of the research team
Moneylender: MSCI
Further info about research: Market players develop effective order-splitting and timing strategies. In this qualitative research project, we conducted interviews with different types of traders and investigated how they optimize their trading in practice.
2010 - 2010, N° EAC/47/2009 Feasibility study to examine the potential need for a student lending facility at European level
Form of participation: leader of the research team
Moneylender: European Commission Directorate-General for Education and Culture
Further info about research: The main tasks of the research team were: the description and evaluation of current practices, the assessment of the Community Added Value (CAV), and the design of a new pan-European student loan institution (Erasmus+).
2010 - 2010, The role of loans in financing vocational education and training in Europe, N° AO/RPA/PLI-PSZO/Loans/016/09
Form of participation: leader of the research team
Moneylender: CEDEFOP - European Centre for the Development of Vocational Training
Further info about research: In cooperation with the Lithuanian Research Institute (PPMI), we investigated the European practice in VET financing and on this background, we identified the possible “best practice” model(s) and formulated policy recommendations on how to develop the financing institutions in Europe in order to support employment and economic recovery.
2007 - 2008, European perspectives of student lending
Form of participation: leader of the research team
Moneylender: British Council, Collegium Budapest
Further info about research: A comparative analysis of existing student loan systems in HE; dissemination of the achievements of the Hungarian Student Loan system, and the exploration of future opportunities in student lending in Europe.
2006 - 2007, Future of higher education in Europe, International comparative analysis
Form of participation: leader of the research team
Moneylender: British Council
Further info about research: Discussion forums and workshops were organized for several teams from European countries. Teams participated in an international think-thank workshop series to determine future strategies and scenarios for European higher education.
2005 - 2007, Complex systems, Risk management of a special credit portfolio
Form of participation: member of the research team
Moneylender: Collegium Budapest, Institute for Advanced Studies, COLBUD
Further info about research: COLBUD was a multidisciplinary research institute with the participation of highly respected and known scholars from worldwide. In this subproject, we examined the optimal control of the Hungarian student loan portfolio.
2004 - 2006, Stochastic systems and modelling of financial markets
Form of participation: member of the research team
Moneylender: Research Grant OTKA 047193
Further info about research: The objective of this research was to apply and develop advanced methods of stochastic systems for modeling financial markets. The main areas were: hidden Markov models, models for a stock exchange, stochastic volatility, and option pricing.
2004 - 2005, Connection of pension and student loan systems
Form of participation: leader of the research team
Moneylender: Hungarian Ministry of Education,
Further info about research: The objective of the fellowship was to explore how student loan and pension systems can be interconnected to exploit their synergies.
Membership in scientific or professional bodies/organizations
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