https://m2.mtmt.hu/ hun 2026-10-24 08:00 JournalArticle 33067353 VALIDATED true 0 false 2026-10-22T16:48:34.550+0000 2023-04-17T13:10:54.939+0000 2022-08-26T12:48:03.635+0000 true 10070381 Demecs Éva /api/admin/10070381 Admin Demecs Éva (BCE 4 admin - INAKTÍV) true 2023-04-17T12:46:46.389+0000 2023-04-17T12:46:46.389+0000 2023-04-17T13:10:55.186+0000 true 10070381 Demecs Éva /api/admin/10070381 Admin Demecs Éva (BCE 4 admin - INAKTÍV) true true false true 24 24 /api/publicationtype/24 PublicationType Folyóiratcikk 1 true 24 JournalArticle true 10000059 Article true 24 24 /api/publicationtype/24 PublicationType Folyóiratcikk 1 true 24 JournalArticle /api/subtype/10000059 Szakcikk SubType Szakcikk (Folyóiratcikk) 101 true 10000059 true 1 /api/category/1 Category Tudományos true 1 Szabó, Dávid Zoltán true true /api/journal/10010478 REVIEWED CENTRAL EUROPEAN JOURNAL OF OPERATIONS RESEARCH 1435-246X 1613-9178 true false 10010478 false 10010478 true 1435-246X 1613-9178 Journal FOREIGN 31 2 393 415 393 23 2023 To efficiently assess the performance of investing in stocks rather than in a bank account for the long run, stochastic interest rate modelling is advocated. We introduce a correlated stochastic interest rate model that addresses this problem. We derive analytic formulas for general spectral risk measures in our setting, and apply our results to Value at Risk, Expected Shortfall and GlueVaR. We characterize the short- and long-term behaviour of these risk measures. We fit our model to financial markets, perform an empirical study and evaluate risk numbers for realistic scenarios in the future. Our results reveal sizeable sensitivities on parameter estimation, but we may conclude that holding stocks for less than a few decades bears significant risk. true 2022 true true true false true false GOLD 2026-10-22 true https://doi.org/10.1007/s10100-022-00814-4 1 0 1 1 0 1 1 1 0 1 1 1 1 1 0 0 1 1 1 1 0 1 1 Folyóiratcikk Journal Article 24 1 Könyvrészlet Chapter in Book 25 0 Könyv Book 23 0 Egyéb konferenciaközlemény Conference paper 31 0 Egyéb konferenciakötet Conference proceedings 32 0 Oltalmi formák Protection forms 26 0 Disszertáció Thesis 28 0 Egyéb Miscellaneous 29 0 Alkotás Achievement 22 0 Kutatási adat Research data 33 0 Folyóiratcikk Journal Article 24 0 0 0 Könyvrészlet Chapter in Book 25 0 0 0 Könyv Book 23 0 0 0 Egyéb konferenciaközlemény Conference paper 31 0 0 0 Egyéb konferenciakötet Conference proceedings 32 0 0 0 Oltalmi formák Protection forms 26 0 0 0 Disszertáció Thesis 28 0 0 0 Egyéb Miscellaneous 29 0 0 0 Alkotás Achievement 22 0 0 0 Kutatási adat Research data 33 0 0 0 2024 0 1 1 1 1 Q3 false 10076399 false false false 2022-11-24T13:48:11.456+0000 Befektetések és Vállalati Pénzügyek Tanszék (BCE / PSZGJI) 2 8 1 2 0 true Language 10002 /api/language/10002 Angol Angol English true 2 true PersonAuthorship 103242569 /api/authorship/103242569 Szabó, Dávid Zoltán [Szabó, Dávid Zoltán (Pénzügyi Matematika), szerző] Befektetések és Vállalati Pénzügyek Tanszék (BCE / PSZGJI) 1 0.5 true false false Author 10076399 /api/author/10076399 Szabó Dávid Zoltán (Pénzügyi Matematika) Szabó Dávid Zoltán true true Szabó Dávid Zoltán true false false AuthorshipType 1 /api/authorshiptype/1 Szerző 0 true 0 true false true PersonAuthorship 103242570 /api/authorship/103242570 Bihary, Zsolt [Bihary, Zsolt (Pénzügyi matematika), szerző] Befektetések és Vállalati Pénzügyek Tanszék (BCE / PSZGJI) 2 0.5 false true false Author 10051557 /api/author/10051557 Bihary Zsolt (Pénzügyi matematika) Bihary Zsolt true 10051557 true Bihary Zsolt true false false AuthorshipType 1 /api/authorshiptype/1 Szerző 0 true 0 true false true PublicationIdentifier 21620305 /api/publicationidentifier/21620305 DOI: 10.1007/s10100-022-00814-4 PlainSource 6 /api/publicationsource/6 DOI PublicationSourceType 10001 /api/publicationsourcetype/10001 DOI true true true DOI DOI https://doi.org/@@@ true true 6 true GOLD true IDENTICAL 10.1007/s10100-022-00814-4 https://doi.org/10.1007/s10100-022-00814-4 false true PublicationIdentifier 21620306 /api/publicationidentifier/21620306 WoS: 000840064400001 PlainSource 1 /api/publicationsource/1 WoS PublicationSourceType 10003 /api/publicationsourcetype/10003 Indexelő adatbázis false true true WoS WoS https://www.webofscience.com/wos/woscc/full-record/@@@ true true 1 true IDENTICAL 000840064400001 https://www.webofscience.com/wos/woscc/full-record/000840064400001 false true PublicationIdentifier 21620308 /api/publicationidentifier/21620308 CorvinusKutatasok: 7578 SwordSource 94 /api/publicationsource/94 CorvinusKutatasok PublicationSourceType 10007 /api/publicationsourcetype/10007 Repozitórium true true true CorvinusKutatasok http://unipub.lib.uni-corvinus.hu/@@@ true true 94 true GREEN true IDENTICAL 7578 http://unipub.lib.uni-corvinus.hu/7578 false true PublicationIdentifier 21627868 /api/publicationidentifier/21627868 Scopus: 85135787777 PlainSource 3 /api/publicationsource/3 Scopus PublicationSourceType 10003 /api/publicationsourcetype/10003 Indexelő adatbázis false true true Scopus Scopus http://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-@@@ true true 3 true IDENTICAL 85135787777 http://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-85135787777 true true SjrRating 11393781 /api/sjrrating/11393781 sjr:Q3 (2023) Scopus - Management Science and Operations Research CENTRAL EUROPEAN JOURNAL OF OPERATIONS RESEARCH 1435-246X 1613-9178 108 0.74 journal RatingType 10002 /api/ratingtype/10002 sjr sjr true true ClassificationExternal 1803 /api/classificationexternal/1803 Scopus - Management Science and Operations Research true 1803 true Q3 DIRECT true true Reference 33182626 /api/reference/33182626 1. 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(2023) CENTRAL EUROPEAN JOURNAL OF OPERATIONS RESEARCH 1435-246X 1613-9178 31 2 393-415<div class="JournalArticle Publication long-list"> <div class="authors"> <img title="Forrásközlemény" style="float: left" src="/frontend/resources/grid/publication-core-icon.png"> <img title="Idézőközlemény" style="float: left" src="/frontend/resources/grid/publication-citation-icon.png"> <div class="autype autype0"> <span class="author-name" mtid="10076399"><a href="/gui2/?type=authors&mode=browse&sel=10076399" target="_blank">Szabó Dávid Zoltán (<span class="authorship-author-name">Szabó Dávid Zoltán</span> <span class="authorAux-mtmt"> Pénzügyi Matematika</span>) </a> </span> <span class="author-affil"><span title="Budapesti Corvinus Egyetem">BCE</span>/<span title="Pénzügyi, Számviteli és Gazdasági Jogi Intézet">PSZGJI</span>/Befektetések és Vállalati Pénzügyek Tanszék</span> ;&nbsp;&nbsp;&nbsp; <span class="author-name" mtid="10051557"><a href="/gui2/?type=authors&mode=browse&sel=10051557" target="_blank">Bihary Zsolt (<span class="authorship-author-name">Bihary Zsolt</span> <span class="authorAux-mtmt"> Pénzügyi matematika</span>) </a> </span> <span class="author-affil"><span title="Budapesti Corvinus Egyetem">BCE</span>/<span title="Pénzügyi, Számviteli és Gazdasági Jogi Intézet">PSZGJI</span>/Befektetések és Vállalati Pénzügyek Tanszék</span> </div> </div> <div class="title"><a href="/gui2/?mode=browse&params=publication;33067353" target="_blank">The riskiness of stock versus money market investment with stochastic rates</a></div> <div> <span class="journal-title">CENTRAL EUROPEAN JOURNAL OF OPERATIONS RESEARCH</span> <span class="journal-issn">(<a target="_blank" href="https://portal.issn.org/resource/ISSN/1435-246X">1435-246X</a> <a target="_blank" href="https://portal.issn.org/resource/ISSN/1613-9178">1613-9178</a>)</span>: <span class="journal-volume">31</span> <span class="journal-issue">2</span> <span class="page"> pp 393-415 </span> <span class="year">(2023)</span> </div> <div class="pub-footer"> <span class="language" xmlns="http://www.w3.org/1999/html">Nyelv: Angol | </span> <span class="identifiers"> <span class="id identifier oa_GOLD" title=" Gold "> <a style="color:blue" title="10.1007/s10100-022-00814-4" target="_blank" href="https://doi.org/10.1007/s10100-022-00814-4"> DOI </a> </span> <span class="id identifier oa_none" title="none"> <a style="color:blue" title="000840064400001" target="_blank" href="https://www.webofscience.com/wos/woscc/full-record/000840064400001"> WoS </a> </span> <span class="id identifier oa_GREEN" title=" Green "> <a style="color:blue" title="7578" target="_blank" href="http://unipub.lib.uni-corvinus.hu/7578"> CorvinusKutatasok </a> </span> <span class="id identifier oa_none" title="none"> <a style="color:blue" title="85135787777" target="_blank" href="http://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-85135787777"> Scopus </a> </span> </span> <OnlyViewableByAuthor><div class="ratings"> <div class="journal-subject">Folyóirat szakterülete: Scopus - Management Science and Operations Research&nbsp;&nbsp;&nbsp;SJR indikátor:&nbsp;Q3</div> </div></OnlyViewableByAuthor> <div class="publication-citation" style="margin-left: 0.5cm;"> <span title="Nyilvános idézőközlemények összesen, említések nélkül" class="citingPub-count">Nyilvános idéző összesen: 1</span> | Független: 1 | Függő: 0 | Nem jelölt: 0 | WoS jelölt: 1 | WoS/Scopus jelölt:&nbsp;1 | DOI jelölt:&nbsp;1 </div> <div class="publication-citation"> <a target="_blank" href="/api/publication?cond=citations.related;eq;33067353&sort=publishedYear,desc&sort=title"> Idézett közlemények száma: 1 </a> </div> <div class="mtid"><span class="long-pub-mtid">Közlemény: 33067353</span> | <span class="status-data status-VALIDATED"> Egyeztetett </span> Forrás Idéző | <span class="type-subtype">Folyóiratcikk ( Szakcikk ) </span> | <span class="pub-category">Tudományos</span> | <span class="publication-sourceOfData">kézi felvitel</span> </div> <div class="lastModified">Utolsó módosítás: 2023.04.17. 15:10 Demecs Éva (BCE 4 admin - INAKTÍV) </div> </div></div>