Research
Ongoing researches
Peer-to-peer lending: financial services are also affected by disintermediation process, and the new business solutions reached the very core of financial intermediation as well. Peer-to-peer platforms provide an online solution to connect borrowers and lenders directly. Although the growth of the market share of direct lending is dynamic, it is not evident, what is the rationale of this new, alternative form of financing. After some introductory works in the phenomenon of P2P lending, together with my PhD student, Tímea Ölvedi, we analyzed the performance of P2P investments. We have recently focused on modelling the conditions under which platforms can be more advantageous than traditional financial intermediaries.
Financial regulation: regulation aims to protect both individual institutions and the market itself, however, incentives to protect the banking sector can cause unintended social consequencies that impacts the institutions as well. This was the case of foreign currency lending in Hungary, and now the adjustable rate mortgages hide also potencial risks.
Risk management of central counterparties: after some publications in connection with the new regulation of the market infrastucture, we work on several further questions like: how to apply anticyclical margining on portfolio level; how to handle uncertainties in the operation of a CCP; how could CCPs help in reducing business exposures.
Financial networks: systemic risk proved to be an important factor in the global crisis, so financial regulation has a special focus on this question. Core-periphery model seems to give a better description of financial networks. We are working on a new methodology to calibrate a model together with Edina Berlinger and Zoltán Pollák.
Publications
MTMT (Hungarian Scientific Data)
Journal Articles in English:
Dömötör, B., & Miskó, J. A. (2016). The regulation of capital requirements for market risk. Economy and Finance 3(3), 188-210.
Dömötör, B. (2015). Hedging under liquidity constraints. Economy and Finance, 2(1), 46-59.
Kovács, E., Dömötör, B., & Naffa, H. (2011). Investment decisions in crises—A study of private pension fund investments. Acta Oeconomica, 61(4), 389-412.
Journal Articles in Hungarian:
Dömötör, B. M., & Ölvedi, T. (2021). A személyközi hitelezés létjogosultsága a pénzügyi közvetítésben. Közgazdasági Szemle, 68(7-8), 773-793.
Bihary, Z., & Dömötör, B. (2018). Menedzserösztönzők hatása a vállalati fedezésre. Közgazdasági Szemle, 65(7-8), 701-710.
Berlinger, E., Dömötör, B., & Szűcs, B. Á. (2018). Útvonalfüggő kockázatvállalás A korábbi nyereség és a kockázatvállalás abszolút szintje közötti kapcsolat egy banki ügyfélportfólió adatbázisán. Szigma, (1-2), 57-76.
Berlinger, E., Daróczi, G., Dömötör, B., & Vadász, T. (2017). Pénzügyi hálózatok mag–periféria szerkezete: A magyar bankközi fedezetlen hitelek piaca, 2003–2012. Közgazdasági Szemle, 64(11), 1160-1185.
Berlinger, E., Dömötör, B., Illés, F., & Váradi, K. (2016). A tőzsdei elszámolóházak vesztesége. Közgazdasági Szemle, 63(9), 993-1010.
Dömötör, B., & Miskó, J. A. (2016). A piaci kockázat tőkekövetelményének szabályozása. Gazdaság és Pénzügy, 3(3), 188-210.
Dömötör, B. (2015). Fedezés likviditási kockázat mellett. Gazdaság és Pénzügy, 2(1), 47-62.
Dömötör, B., Juhász, P., & Száz, J. (2013). Devizaárfolyam-kockázat, kamatlábkockázat, vállalatfinanszírozás. A vállalat értéke és a csődvalószínűség mint sztochasztikus folyamat. Hitelintézeti Szemle, 12(1), 38-55.
Dömötör, B. (2011). A kockázat megjelenése a származtatott pénzügyi termékekben (The risk appearing in financial derivatives). Hitelintézeti Szemle, 11(4), 360-369.
Dömötör, B., & Boros, A. (2011). Összetett devizatermékek kockázatai. Hitelintézeti Szemle, 10(2), 142-160.
Dömötör, B., & Marossy, Z. (2010). A likviditási mutatószámok struktúrája (Structure of liquidity measures). Hitelintézeti szemle, 9(6), 581-603.
Book chapters in English:
Dömötör, B. & Ölvedi, T. (2021): The Financial Intermediary Role of Peer-to-Peer Lending. in Innovations in Social Finance. Transitioning beyond economic value. Forthcoming
Dömötör, B. (2019). The Hungarian “BIG SHORT”. The rational and irrationak factors of foreign denominated lending in Hungary. in: Foreign currency lending in Hungary. ed: Balázs Bodzási, Corvinus University of Budapest
Dömötör, B. & Váradi, K. (2015). Factor models. In: Mastering R for quantitative finance. Packt Publishing Ltd.
Dömötör, B. & Váradi, K. (2015). Optimal hedging. In: Mastering R for quantitative finance. Packt Publishing Ltd.
Book chapters in Hungarian:
Dömötör, B. (2019). A magyar „Big Short”. A devizahitelek elterjedésének racionális és irracionális okai in: Bodzási, B. Devizahitelezés Magyarországon. A devizahitelezés jogi és közgazdasági elemzése.
Dömötör, B. (2018). Fedezeti stratégiák a devizapiacokon. In: Száz, János (szerk.) Befektetések, kockázatok, folyamatok : Numerikus pénzügyek II. Budapest, Magyarország : Citromfű Bt. pp. 244-269.
Conference Proceedings:
Dömötör, B., & Kovacs, E. (2017). Determinants Of FX-Risk Management Evidence Of Hungary. In ECMS (pp. 113-119).
Dömötör, B., & Váradi, K. (2014). The Definition Of Stress Situations And Their Prediction Using Liquidity In The Framework Of The EMIR Regulation. In ECMS (pp. 752-757).
Dömötör, B. (2013). Modelling Optimal Hedge Ratio In The Presence Of Funding Risk. In ECMS (pp. 282-287).
Dömötör, B., & Juhász, P. (2012). Corporate Valuation Model in a Stochastic Framework. In ECMS (pp. 260-266).
Dömötör, B., & Havran, D. (2011). Risk Modeling Of Eur/Huf Exchange Rate Hedging Strategies. In ECMS (pp. 269-274).
Conference Presentations:
Gender differences and the benefits of advanced studies in financial literacy; 2023. October 19., 8th PRMIA Research Conference, Budapest, Hungary
Adjustable-rate mortgages in the era of global reflation: How to model additional default risk?; 2021. December, World Finance and Banking Symposium, Budapest, Hungary
Does alternative information matter in P2P lending?; 2021. October 20., 6th PRMIA Research Conference, online
The Financial Intermediary Role of Peer-to-peer Lending; 2020. October 21., 5th PRMIA Research Conference, online
Wrong-way risk of housholds’ loan; 2020. September 5., World Finance Conference, online
Wrong way risk of housholds’ loan.; 2019. November 15-16., 10th Annual Financial Market Liquidity Conference, Budapest, Hungary
Wrong way risk of retail loans; 2019. October 17., 4th PRMIA Research Conference, Budapest, Hungary
Path-dependent risk-taking. The relationship between previous profits and the absolute level of risk exposure in the case of a commercial bank’s clients portfolio.; 2019. June 17-18., International Risk Management Conference, Milano, Italy
Risk management and corporate size. Results of a survey; 2018. December 20., MKE 2018. évi konferencia, Budapest, Hungary
A devizahitelek elterjedésének racionális és irracionális okai; 2018. October 17., 3rd PRMIA Research Conference, Budapest, Hungary
How do manager incentives influence corporate hedging?; 2017. December 18., MKE 2017. évi konferencia, Budapest, Hungary
How do manager incentives influence corporate hedging?; 2017. November 16., 8th Annual Financial Market Liquidity Conference, Budapest, Hungary
Mi mozgatja a határidős devizapozíciókat? A magyar piac elemzése; 2017. June 14., XXXII. Magyar Operációkutatás Konferencia, Cegléd, Magyarország
Determinants of FX-risk management. Evidence of Hungary; 2017. May 23-26., 31th ECMS, Budapest, Hungary
Anticyclical margin strategies in central clearing; 2016. December 19., MKE 2016. évi konferencia, Budapest, Hungary
Anticyclical margining; 2016. November 17-18., Annual Financial Market Liquidity Conference, Budapest, Hungary
Modelling Optimal Hedge Ratio in the Presence of Funding Risk; 2013. May 27-30., 27th ECMS, Aalesund, Norvégia
Corporate Valuation Model in a Stochastic Framework; 2012. May 29-June 1. , 26th ECMS, Koblenz, Germany
Funding aspects of hedging strategies; 2011. November 10-11., 2nd Annual Financial Market Liquidity Conference, Budapest, Hungary
Risk modeling of EUR/HUF exchange rate hedging strategies; 2011. June 7-10., 25th ECMS, Krakow, Poland
Risk of Structuring: Measurement Potential of Different Models; 2011. May 28., 8th CIRCLE Conference, Duborvnik, Croatia
Pros and Cons of Financial Derivatives; 2010. May: Spring Wind Conference, Pécs, Hungary