Ilya Dergunov
- Associate Professor:Faculty of Economic Sciences / School of Finance
- Ilya Dergunov has been at HSE University since 2022.
Education and Degrees
- 2019
PhD
Goethe University Frankfurt - 2010
Master's in Economics
University of Bonn - 2008
Degree in Mathematical Methods in Economics
Ulyanovsk State University
Courses (2023/2024)
- Mentor's Seminar (Master’s programme; Faculty of Economic Sciences; 2 year, 1-4 module)Rus
- Mentor's Seminar (Master’s programme; Faculty of Economic Sciences; 1 year, 2-4 module)Rus
- Methodological Research Seminar (Master’s programme; Faculty of Economic Sciences; 1 year, 1 module)Rus
Quantitative Finance (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", field of study "38.04.08. Финансы и кредит"; 2 year, 2 module)Eng
- Quantitative Finance (Mago-Lego; 2 module)Eng
- Quantitative Finance (Master’s programme; Faculty of Economic Sciences; 1 year, 2 module)Eng
- Theory of Finance (Mago-Lego; 3 module)Eng
Theory of Finance (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", field of study "38.04.08. Финансы и кредит"; 1 year, 3 module)Eng
- Past Courses
Courses (2022/2023)
- Mentor's Seminar (Master’s programme; Faculty of Economic Sciences; 1 year, 2-4 module)Rus
Methodological Research Seminar (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, 1, 2 module)Eng
Theory of Finance (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", field of study "38.04.08. Финансы и кредит", field of study "38.04.08. Финансы и кредит"; 1 year, 3 module)Eng
- Theory of Finance (Mago-Lego; 3 module)Eng
Publications2
- Article Dergunov I., Meinerding C., Schlag C. Extreme Inflation and Time-Varying Expected Consumption Growth // Management Science. 2023. Vol. 69. No. 5. P. 2547-3155. doi (in press)
- Article Dergunov I., Curatola G. International capital markets with interdependent preferences: Theory and empirical evidence // Journal of Economic Behavior and Organization. 2023. Vol. 212. P. 403-421. doi (in press)
Working papers
- Optimistic and pessimistic disagreement and the cross section of stock returns (2021)
with Giuliano Curatola (Siena) and Christian Schlag (Goethe)
We propose to decompose total disagreement of professional forecasters into the disagreement among optimists and pessimists and show empirically that both disagreement measures are priced and command dierent risk premia, with a negative (positive) premium for pessimistic (optimistic) disagreement. - The Capital Structure and Productivity Channels of Hedge Fund Activism (2021)
with Antje Berndt (ANU)
Paper offers insight into the impact of hedge fund activism on credit default swap (CDS)
and corporate bond market investors. - Risk Aversion in Corporate Bond Markets (2022)
with Antje Berndt (ANU), Jean Helwege (UC Riverside)
We examine the time variation of risk aversion in corporate bond markets and its relationship with monetary policy, using data from 1974 to 2020.
Employment history
Sep 2022 - present
Assistant Professor, HSE University
Oct 2019 - June 2022
Australian National University, Canberra, Australia
Postdoctoral Fellow in Finance
May 2014 - Sep 2019
Research Center SAFE, Goethe University Frankfurt, Germany
Research Assistant in Macro Finance Research Area
Nov 2012 - April 2013
The Fraunhofer Institute for Industrial Mathematics ITWM
Internship at the Department of Financial Mathematics, Kaiserslautern, Germany
Nov 2010 - Sep 2011
OJSC Siberian Coal and Energy Company (SUEK)
Economist, Department of Financial analysis and Cash Flow budgeting, Moscow, Russia