Dario Cziráky

Dario Cziraky is a senior quant in Quantitative Risk and Stress testing team at Citibank focusing on ICAAP and risk capital models. He has over 20 years of financial services and banking experience having previously worked for PwC, Barcap, and UBS. Dario specialises in traded risk and pricing models development and stress testing.

Dario holds a PhD degree in Statistics from the London School of Economics.

Articles by Dario Cziráky

Original research

The impact of compounding on bond pricing with alternative reference rates

This paper looks at the impact of compounding on zero-coupon bond prices by considering the short rate when it follows a Gaussian diffusion process or a stochastic volatility jump-diffusion process.

12 Oct 2021