Marat Z. Kurbangaleev
- Junior Research Fellow:Financial Engineering & Risk Management Lab
- Senior Lecturer:Faculty of Economic Sciences / School of Finance
- Visiting Scholar:HSE Campus in St. Petersburg / St.Petersburg School of Economics and Management / Department of Economics
- Marat Z. Kurbangaleev has been at HSE University since 2011.
Education
- 2010
Master's
HSE University - 2010
Bachelor's
HSE University - 2008
Master's
Novosibirsk State University - 2008
Bachelor's
Novosibirsk State University
Young Faculty Support Program (Group of Young Academic Professionals)
Category "New Researchers" (2013-2014)
Student Term / Thesis Papers
- Bachelor
A. Nevskii, Performance Analysis of "Event-study-based" Trading Strategies. Faculty of Economic Sciences, 2020
A. Tumanyants, Determinants of Сross-border Banking Systems Exposure. Faculty of World Economy and International Affairs, 2020
D. Demidova, Studying Dependence between Intererst Rate and FX Risks. Faculty of Economic Sciences, 2019
O. Pankova, Measuring Default Correlations for Portfolio Credit Risk Assessment. Faculty of Economic Sciences, 2019
A. Vasilev, Studying Interdependence Between Sovereign Credit Quality and Rating Profile of National Companies in International Scale. Faculty of Economic Sciences, 2018
A. Bikbulatov, Football Matches Outcomes Prediction and Searching Optimal Bet Strategy. Faculty of Economic Sciences, 2018
L. Zevaeva, Rating Withdrawal as a Sign to Reassessment of Borrower's Credit Quality. Faculty of Economic Sciences, 2017
T. Zurabov, Price Discovery in CDS and Eurobonds of Russian Issuers. Faculty of Economic Sciences, 2017
P. Neminskaia, Studying Credit Rating Inflation Effect in Russian Market. Faculty of Economic Sciences, 2017
- Master
P. Lapshova, Modelling Credit Rating Transition Matrix. Faculty of Economic Sciences, 2020
E. Luzina, Incorporation of Hidden Orders into Assessment of Liquidity Risk in Russian Stock Market. Faculty of Economic Sciences, 2020
M. Solomatin, Predicting Financial Institutions' Credit Risk Using Sovereign Credit Quality. Faculty of Economic Sciences, 2020
F. Minnikhanov, Measuring Liquidity Risk in Limit-Order Book with Hidden Liquidity. Faculty of Economic Sciences, 2019
E. Krasnoperova, "Liquidity Illusion" in European ETFs. Faculty of Economic Sciences, 2018
Z. Selezneva, Studying Replicability of Aggregated External Credit Assessments with Public Information. Faculty of Economic Sciences, 2018
A. Yerpylev, Risk-Based Margining for Derivatives Portfolios: Close-out Modeling Approach. Faculty of Economic Sciences, 2016
Courses (2020/2021)
- IT for Financials (Master’s programme; Faculty of Economic Sciences; 2 year, 1, 2 module)Rus
- IT for Financials (Master’s programme; Faculty of Economic Sciences; 1 year, 1, 2 module)Rus
- Methodological Research Seminar (Master’s programme; Faculty of Economic Sciences; 1 year, 1, 2 module)Rus
- Research Project Seminar (Optional course (faculty); Faculty of Economic Sciences; 1-3 module)Rus
- Risk Assessment Models (Bachelor’s programme; St.Petersburg School of Economics and Management; 4 year, 3 module)Eng
- Risk Management (Bachelor’s programme; Faculty of Economic Sciences; 4 year, 1, 2 module)Rus
- Risk Management (Bachelor’s programme; Faculty of Economics, Management, and Business Informatics; 4 year, 1, 2 module)Rus
- Past Courses
Courses (2019/2020)
- IT for Financials (Master’s programme; Faculty of Economic Sciences; 1 year, 1, 2 module)Rus
- IT for Financials (Master’s programme; Faculty of Economic Sciences; 2 year, 2 module)Rus
- Research Seminar 3 (Master’s programme; Faculty of Economic Sciences; 2 year, 1-3 module)Rus
- Research Seminar "Banking" (Bachelor’s programme; Faculty of Economic Sciences; 4 year, 1-3 module)Rus
- Research Seminar "Financial Markets and Financial Institutions 3" (Master’s programme; Faculty of Economic Sciences; 1 year, 1-4 module)Rus
- Risk Assessment Models (Bachelor’s programme; St.Petersburg School of Economics and Management; 4 year, 3 module)Eng
- Risk Management (Bachelor’s programme; Faculty of Economic Sciences; 4 year, 1, 2 module)Rus
Courses (2018/2019)
- IT for Financials (Master’s programme; Faculty of Economic Sciences; 1 year, 1, 2 module)Rus
- Research Seminar "Financial Markets and Financial Institutions 3" (Master’s programme; Faculty of Economic Sciences; 1 year, 1-4 module)Rus
Publications15
- Preprint Kurbangaleev M. Z., Zinaida V Seleznyova, Lapshin V. A. Studying Replicability of Aggregated External Credit Assessments by Public Information / NRU Higher School of Economics. Series FE "Financial Economics". 2018. No. 71.
- Article Smirnov S. N., Lapshin V. A., Kurbangaleev M. Z. Deriving Implied Risk-Free Interest Rates from Bond and CDS Quotes: a Model-Independent Approach // Optimization and Engineering. 2017. Vol. 18. No. 2. P. 499-536. doi
- Article Заночкин А. Ю., Буздалин А. В., Курбангалеев М. З., Смирнов С. Н. Агрегация кредитных рейтингов как задача построения консенсуса в системе экспертных оценок // Глобальные рынки и финансовый инжиниринг. 2017. Т. 4. № 3. С. 181-207.
- Article Курбангалеев М. З., Лапшин В. А., Шепелева И. С. Согласованность котировок государственных облигаций России // Управленческий учет и финансы. 2016. Т. 45. № 1. С. 40-51.
- Preprint Kurbangaleev M. Z., Lapshin V. A., Smirnov S. N. Study of Consistency of Bond and CDS Quotes / NRU Higher School of Economics. Series FE "Financial Economics". 2015. No. 43.
- Article Лапшин В. А., Курбангалеев М. З. Анализ требований к оценке срочной структуры безрисковых ставок в финансовых задачах // Управление финансовыми рисками. 2015. Т. 41. № 1. С. 51-60.
- Article Курбангалеев М. З., Лапшин В. А., Смирнов С. Н. Идентификация несогласованности котировок облигаций и контрактов CDS с трансформацией данных, обеспечивающей корректность // Страховое дело. 2015. № 11. С. 35-51.
- Article Курбангалеев М. З., Лапшин В. А., Смирнов С. Н. Методология оценки срочной структуры безрисковых процентных ставок по котировкам облигаций и CDS различных эмитентов // Управление риском. 2015. № 4. С. 59-78.
- Article Лапшин В. А., Каушанский В. Я., Курбангалеев М. З. Оценка кривой бескупонной доходности на российском рынке облигаций // Экономический журнал Высшей школы экономики. 2015. Т. 19. № 1. С. 9-29.
- Preprint Андреев Н. А., Курбангалеев М. З., Лапшин В. А. Арбитражные возможности на рынках кредитных дефолтных свопов и облигаций / Высшая школа экономики. Серия WP16 "Финансовая инженерия, риск-менеджмент и актуарная наука". 2013. № 04.
- Preprint Андреев Н. А., Курбангалеев М. З. Реплицируемость и равенство премий за кредитный риск на рынках кредитных дефолтных свопов и облигаций на плавающую ставку / Высшая школа экономики. Серия WP16 "Финансовая инженерия, риск-менеджмент и актуарная наука". 2013.
- Preprint Lapshin V. A., Kurbangaleev M. Z. A Joint Non-Parametric Approach to the Decomposition of Bond Yields and CDS Spreads: Application of Eurozone Market Data / NRU Higher School of Economics. Series FE "Financial Economics". 2012. No. 13/FE/2012.
- Article Kurbangaleev M. Z. Modelling CDS price dynamics for determination of margin requirements // Информационные системы и математические методы в экономике (электронный научный журнал). 2012. No. 3. P. 121-127.
- Preprint Курбангалеев М. З. Определение маржинальных требований при централизованном клиринге сделок кредитного дефолтного свопа / Высшая школа экономики. Серия WP16 "Финансовая инженерия, риск-менеджмент и актуарная наука". 2012. № 01.
- Article Курбангалеев М. З., Смирнов С. Н. Система маржинальных требований для централизованного клиринга: особенности рынка кредитных дефолтных свопов // Управление риском. 2012. № 4. С. 40-46.
