Marat Z. Kurbangaleev
- Junior Research Fellow:Financial Engineering & Risk Management Lab
- Marat Z. Kurbangaleev has been at HSE University since 2011.
Young Faculty Support Program (Group of Young Academic Professionals)
Category "New Researchers" (2013-2014)
Courses (2022/2023)
- Mentor's Seminar (Master’s programme; Faculty of Economic Sciences; 1 year, 2-4 module)Rus
- Mentor's Seminar (Master’s programme; Faculty of Economic Sciences; 1 year, 1 module)Rus
- Methodological Research Seminar (Master’s programme; Faculty of Economic Sciences; 1 year, 1 module)Rus
Programming for Financiers-1 (Master’s programme; Faculty of Economic Sciences; field of study "38.04.08. Финансы и кредит", field of study "38.04.08. Финансы и кредит"; 1 year, 4 module)Rus
- Programming for Financiers-1 (Master’s programme; Faculty of Economic Sciences; 2 year, 4 module)Rus
- Programming for Financiers-1 (Mago-Lego; 4 module)Rus
- Risk Assessment Models (Optional course (faculty); 1 module)Eng
Risk Management (Bachelor’s programme; Faculty of Economic Sciences; field of study "38.03.01. Экономика", field of study "38.03.01. Экономика"; 4 year, 1, 2 module)Rus
- Risk Management (Bachelor’s programme; Faculty of Management; 4 year, 1, 2 module)Rus
- Past Courses
Courses (2021/2022)
- 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
- Risk Management (Bachelor’s programme; Faculty of Economic Sciences; 4 year, 1, 2 module)Rus
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
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.
In Media
Курбангалеев М.З., Смирнов С.Н. Как не следует использовать кредитные рейтинги // Ведомости (7th Sep 2017)
Conferences
2018
31st International Congress of Actuaries, Berlin, 4-8 June 2018.
"A robust modification of the EIOPA standard for the risk-free term structure of interest rates" (online presentation, co-authored with Smirnov S.N., Zanochkin A.Y. and Lapshin V.A.)
XIX April International Academic Conference on Economic and Social Development, Moscow, Russia, 13 April 2018
"Informational content of aggregated external credit ratings" (co-autherd with Sleznyeva Z.)
2017
Perm Winter School Annual Conference, 2017, 3 - 4 February
Speech on "Aggregation of individual credit assessments as a consensus problem in the expert system."
2014
Perm Winter School Annual Conference, Perm, Russia. 14 -15 February
Speech on "Consistency of government bond and sovereign CDS quotes: cross-market and cross-issuer analysis."
2015
- Russia Risk Conference. Moscow, Russia. 13-14 November
Speech on "Deriving a term structure of risk-free rates and credit spread from quotes of bonds and CDS." - Perm Winter School Annual Conference. Perm, Russia, 5-7 February
Speech on "Issues of margin requirements assessment for central clearing of OTC derivatives."
- XIII April International Academic Conference on Economic and Social Development, Moscow, 3 - 5 April
Speech on "Determining the margin requirement for credit default swaps with structural credit risk models." - The 2nd 3-C (China, Canada, and the US) Risk Forum & The 5th International Conference on Engineering and Risk Management (ERM). Beijing, China, 24 - 26 September 2012
Speech on "Empirical study of components of Eurozone sovereign bond and CDS spreads within joint non-parametric modeling framework."
2011
- Conference "FinMod-2011". Perm, Russia. 30 September 2011
Speech on "Modelling CDS price dynamics for determination of margin requirements."