ELTE, MS Budapest hold financial risk management event

Incubators

press release

The Department of Probability Theory and Statistics at Eötvös Loránd University and Morgan Stanley Budapest jointly organized a conference on October 21 focusing on financial risk management, says a press release sent to the Budapest Business Journal. Financial institutions are focusing greatly today on risk analysis and mathematical modeling.

One of the main focus areas of the workshop was counterparty risk, or the risk that a counterparty to a contract will not pay as obligated, which has to be calculated into the price of a deal, Morgan Stanley says.

However, as Prof. Damiano Brigo, Chair in Mathematical Finance at Imperial College London, pointed out in his keynote speech during the event, the calculations cannot be written in simple formulas. Brigo, one of the leading researchers in financial risk analysis, talked about the science and art of credit valuation adjustment, where one needs to understand the internal workings of the partner institution, its funding policies and practices, profit goals and many other factors.  

“Many people wish to standardize these calculations, but we have to understand that these are complex processes and in order to operate responsibly we need a holistic approach to modeling,” said Brigo.

“This was the first but hopefully not the last conference on the diversity of financial risk,” said András Zempléni, head of the Department of Probability Theory and Statistics at ELTE. “Our goal was to bring together leading specialists of financial institutions and researchers from academia at an international forum to broaden each other’s views and share both theoretical and practical knowledge and experience in this field.”

“This year marks the tenth anniversary of Morgan Stanley opening its Budapest office with 30 analysts. Meanwhile there is an ever-increasing focus on risk analysis implemented in pricing financial products. As a result, mathematical models required to operate in a responsible way have become increasingly complex,” said Norbert Fogarasi, GM of Morgan Stanley’s Budapest office, in his opening speech. “Our risk management division and our teams working on mathematical modeling have continuously grown in the past years, and by now hundreds of employees work in quantitative analysis teams at the Budapest office, with further growth expected. This field offers outstanding opportunities for those with mathematics, physics or even chemistry degrees, not to mention that it is exciting and intellectually challenging work.”

The Budapest office of Morgan Stanley employs hundreds of specialists in this field, according to the press statement, which is why the firm decided to team up with the university to establish a forum for exchanging the latest theoretical and practical knowledge.

“We plan this event to be just the beginning, and in future we will regularly bring together the academic and business fields to broaden each other’s views and share theoretical and practical experiences,” Fogarasi added, noting that Morgan Stanley found it important to launch a series of conferences to provide an opportunity to share new thoughts, techniques and approaches. 

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