Vállalati pénzügyek; Pénzügyi számítások; Pénzügyi modellezés; Pénzügyi kockázatok kezelése; Pénzügyi piacok; Financial derivatives; Financial risk management; Risk management and financial institutions
organization science
Vállalati kockázatkezelés, fedezés; Kockázati szabályozás; Pénzügyi infrastruktúra
Pénzügyi piacok, pénzügyi termékek, derivatívok; Nemzetközi befektetések, diverzifikáció
Major research projects
2014 - 2015, Finanszírozási likviditás és a fedező likvid eszköz portfólió együttes modellezésének kutatása
Form of participation: member of the research team
Moneylender: Nemzetközi Bankárképző Központ
Further info about research: The 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.
2013 - 2014, A központi szerződő fél kockázati felülvizsgálata, jogszabályi megfelelőség validációja
Form of participation: member of the research team
Moneylender: Keler KSzF
Further info about research: 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.
2012 - 2013, Vállalati kockázatkezelési gyakorlat
Form of participation: leader of the research team
Moneylender: ING
Further info about research: 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.
2011 - 2012, Optimal hedging in case of liquidity risk
Form of participation: member of the research team
Moneylender: MSCI
Further info about research: 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.
2010 - 2010, Feasibility Study to Examine the Potential need for a Student Lending Facility at European Level
Form of participation: member of the research team
Moneylender: EU
Further info about research: N° EAC/47/2009 Joint research project led by LSE and PPMIThe 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.
2016 - 2016, A KELER KSZF alapletét meghatározási módszertan felülvizsgálata
Form of participation: member of the research team
Moneylender: KELER KSZF
Further info about research: A KELER KSZF alapletét meghatározási módszertan változás jogszabályi megfelelőségét vizsgáltuk.
2018 - 2018, Keler KSZF kockázatkezelésében alkalmazott MS Excel és VBA applikációk felülvizsgálata
Form of participation: leader of the research team
Moneylender: Keler KSZF
Further info about research: Keler KSzF által a kockázatkezelési folyamatban alkalmazott MS Excel és VBA applikációk vizsgálata aszerint, hogy azok megfelelnek-e a kockázatkezelési módszertanban leírtaknak.
2019 - , Keler KSZF kockázatkezelési modelljeinek validálása
Form of participation: leader of the research team
Moneylender: Keler KSZF
Further info about research: Kockázatkezelési tanácsadás a Keler KSzF számára, különös tekintettel az alkalmazott módszertan megfelelőségére, valamint az európai jogszabályoknak (EMIR) való megfelelőségére.
2018 - , Felsőoktatási Intézményi Kiválóság ProgramPénzügyi és lakossági szolgáltatások
Form of participation: member of the research team
Moneylender: Innovációs és technológiai minisztérium
Further info about research: A kutatási program a magyar lakosságot érintő két problémakört, a hátrányos térségek pénzügyi integrációját célzó pénzügyi szolgáltatások és intézmények tervezését, valamint az idősek és a krónikus betegek gondozása vonatkozásában felmerülő erőforrások és a lakosság egészséggel kapcsolatos jövőképének, életstratégiáinak felmérését fogja át.A pénzügyi likviditás alprojekten belül a banki és vállalati kockázatkezeléssel foglalkozom.
Membership in scientific or professional bodies/organizations
2011 - 2017, elnökségi tag, member
Magyar Közgazdasági Társaság Pénzügy szakosztály , national
Financial risk management, Corporate hedging, Regulation of financial risks
Financial markets, Financial derivatives, International diversification
Major research projects
2014 - 2015, Financing liquidity of derivatives, modelling the joint position of the derivatives and their hedging portfolio
Form of participation: member of the research team
Moneylender: International Training Center for Bankers
Further info about research: The 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.
2013 - 2014, Validation of the risk management models of KELER CCP Ltd.
Form of participation: member of the research team
Moneylender: Keler KSzF
Further info about research: 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.
2012 - 2013, Corporate risk management in practice
Form of participation: leader of the research team
Moneylender: ING
Further info about research: 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.
2011 - 2012, Optimal hedging in case of liquidity risk
Form of participation: member of the research team
Moneylender: MSCI
Further info about research: 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.
2010 - 2010, Feasibility Study to Examine the Potential need for a Student Lending Facility at European Level
Form of participation: member of the research team
Moneylender: EU
Further info about research: N° EAC/47/2009 Joint research project led by LSE and PPMIThe 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.
2016 - 2016, Validation of the margin determination process of KELER CCP
Form of participation: member of the research team
Moneylender: KELER CCP
Further info about research: We validated the proposed methodological changes in the margin determination of KELER CCP.
2018 - 2018, Validation of the MS Excel and VBA applications in the risk management of Keler r CCP
Form of participation: leader of the research team
Moneylender: Keler CCP
Further info about research: In the framework of the project we validated the adequacy of the MS Excel and VBA application based on the approved risk management policy.
2019 - , Validation of risk management models of Keler CCP
Form of participation: leader of the research team
Moneylender: Keler CCP
Further info about research: Advisory in risk management, focusing on the validation of the risk management models and their implementations according to the EMIR regulation.
2018 - , Higher Education Institutional Excellence ProgramFinancial and public services
Form of participation: member of the research team
Moneylender: Ministry for Innovation and Technology
Further info about research: The research project includes two topics: the planning of financial intitutions and services targeting the financial inclusion of poor regions and investigation of the health care resources and personal strategies of the older and diseased population. In the framework of the financial liquidity sub-project, I deal with corporate and banking risk management.
Membership in scientific or professional bodies/organizations
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