MURAT MAZIBAS, PhD CFA FRM

Transcription

1 MURAT MAZIBAS, PhD CFA FRM Borsa Istanbul, Tuncay Artun Cad. W: +90(0) Emirgan, 34467, Istanbul, Turkey M: +90(0) SENIOR QUANTITATIVE INVESTMENT MANAGEMENT SPECIALIST Capital Markets Quantitative Finance Portfolio/Fund Management An experienced quantitative finance specialist with an exceptional professional (CFA & FRM) and academic (multiple PhD & Masters) track record in quantitative topics including financial econometrics, mathematical finance, financial analysis, fund management and economics. Currently runs projects on a wide-variety of areas including establishing energy, metal and other commodity markets, enhancing current and designing new derivative contracts and indexes, advisory and business collaborations with global exchanges and connecting the markets. Has got 16 years of experience in financial markets in a variety of capacities (regulatory side, buy-side, sellside and academia). He worked at Turkish Treasury and Banking Regulatory and Supervisory Agency until After completing master and PhD programmes in the UK, he worked as an Assistant Professor of Finance at Xfi Center for Finance & Investment in the University of Exeter. Provided quantitative consultancy to global banks, asset management companies, hedge funds and sovereign wealth funds in the UK, US and Canada. Joined Borsa Istanbul in A published researcher in applied quantitative finance and econometrics and referee to international journals including Journal of Banking and Finance and International Journal of Forecasting. RECENT CAREER EXPERIENCE ASSOCIATION OF CAPITAL MARKET PROFESSIONALS (TR) Deputy Chairman February 2014 Present Board Member and Deputy Chairman of SPP that is a member of European Federation of Financial Analysts Societies (EFFAS). BORSA ISTANBUL (TR) Director, Head of Research & Business Development May Present I head the department that conducts academic & professional research, domestic & international business development activities and research studies on the development of new products and markets, and on the improvement of existing markets and systems; tracks the performances and life-cycles of existing products. Some of the projects I currently run are: Establishment of the Turkish Energy Exchange (spot), energy derivatives market (electricity, natural gas, petroleum products, coal, carbon), metal derivatives market, commodity exchange (spot), commodities derivatives markets (agriculture, mining etc). Establishment of the Financial Technology Center & Center of Applied Research in Finance. Leading professional & academic research activities and organizing research events. Research and development of derivative products on commodities (i.e. metal, electricity, natural gas, petroleum products, coal, carbon, agricultural products). Assessments and proposals toward to improvements in the market microstructure of fixed income, stocks, future and options markets. Development of new products, derivative contracts and indexes (e.g. BIST data analytics, CfD, Islamic finance products) Business and product development projects within the scope of Nasdaq-OMX partnership (e.g. corporate services, market connectivity, advisory services, market access, marketing Nasdaq-OMX products). Coordination of the activities towards to the Istanbul Financial Centre project. Market connectivity and access projects (e.g. Egypt, Euroclear, Japan, South Korea).

2 MURAT MAZIBAS, PhD CFA FRM - Page 2 Managing Editor, Borsa Istanbul Review (BIR) September 2014 Present Borsa İstanbul Review produced and hosted by Elsevier provides a scholarly platform for empirical financial studies including but not limited to financial markets and institutions, financial economics, investor behavior, financial centers and market structures, corporate finance, recent economic and financial trends. It covers capital markets, derivatives and banking in developed and emerging economies. Director, Head of Business & Product Development April 2013 May 2014 I head the department that conducts business development activities and research studies on the development of new products and markets, and on the improvement of existing markets and systems; track the performances and life-cycles of existing products; and ensure the necessary coordination with both in-house business units and external stakeholders. I currently run the following projects: Establishment of the Turkish Energy Exchange (spot), energy derivatives market (electricity, natural gas, petroleum products, coal, carbon), metal derivatives market, commodity exchange (spot), commodities derivatives markets (agriculture, mining etc), Research and development of derivative products on commodities (i.e. metal, electricity, natural gas, petroleum products, coal, carbon, agricultural products), Assessments and proposals toward to improvements in the market microstructure of fixed income, stocks, future and options markets. Development of new products, derivative contracts and indexes (e.g. CfD, Islamic finance products) Program management and business and product development projects within the scope of NASDAQ- OMX strategic partnership (e.g. Corporate services, market connectivities, advisory services, market access, marketing and reselling Nasdaq-OMX products). Coordination of the activities towards to the Istanbul International Financial Centre project. Market connectivity and access projects (e.g. Egypt, Euroclear, Japan, South Korea). UNIVERSITY OF EXETER, XFI CENTER FOR FINANCE AND INVESTMENT (UK) Asst. Professor of Finance & Appleby Research Fellow in Portfolio Management Aug March 2013 I hold a research chair funded by a global investment management company and do academic and professional research and development in the following areas: strategic & tactical asset allocation, portfolio construction/optimization, manager/asset selection, portfolio performance measurement, behavioural portfolio models, implementation of hedge fund strategies in passive and active portfolio management, contributions of alternative assets to total portfolio, better return-risk forecasts, active/passive index development, benchmark index creation, constructing improved beta systematic portfolios, search for alpha, portfolio risk-return analytics, high/mid/low frequency portfolio management and hedge fund performance measurement. OLD MUTUAL ASSET MANAGERS (UK) Quantitative Consultant July Dec.2011 I assessed and further developed forecast capabilities of trading, portfolio construction and risk models used in long-only and long-short equity investments by the quantitative research and quantitative strategy groups. Volatility forecast: single and double decay EWMA, constant correlation, Bayesian shrinkage and Eigen factor adjustments, multivariate wavelet de-noising and regime switching models. Portfolio optimization: portfolio construction with different formulations of the optimization problem. Analyses: Out-of-sample forecast performance evaluation, analysis and grouping of equity factors, finding new latent factors, analysis of the drivers of the volatility in the factors (e.g. time series and stability diagnostics), stability and turnover of VCV matrices and calibration of the volatility models. UNIVERSITY OF EXETER, XFI CENTER FOR FINANCE AND INVESTMENT (UK) PhD Researcher in Quantitative Finance Oct July 2012 I did academic research on alternative dynamic portfolio construction, optimization and risk measurement models, financial and volatility forecast models, and hedge fund return replication. I published 4 articles and prepared 3 other articles for publication.

3 MURAT MAZIBAS, PhD CFA FRM - Page 3 Portfolio optimization: Range-based mean-variance, M-CVaR, M-CDaR and Omega optimization frameworks, EVT, Monte Carlo simulation and Copula methods, and risk profile analysis. Portfolio construction/allocation: static & dynamic portfolios for individual hedge fund strategies, fund of hedge funds, long-only and long/short FX, equity, fixed income and commodity portfolios. Volatility models/forecast: multivariate GARCH, multifactor volatility, Markov regime switching (switching mean, variance, range and correlation), long memory, one and two factor range- and returnbased volatility models. Hedge funds return replication: optimization-based replication (proposed), factor-based (multifactor) replication and distribution matching approaches. Predicting bank failure and stock market direction with Artificial Neural Networks. BANKING REGULATION AND SUPERVISION AGENCY OF TURKEY (TURKISH FCA) Head of Risk & Quantitative Research Group Banking Specialist I managed a quant and analyst group. The main responsibilities of the group were to Jan Sept.2008 research, develop and maintain quantitative risk and financial analytics, early warning systems, research, develop, implement, maintain and validate market risk (e.g. VaR, CVaR, EVT), credit risk (e.g. PD, LGD, EAD, CVA, IRB, CreditVaR) and operational risk models (e.g. LDA, Fuzzy Logic, EVT, OpVaR, AMA), economic capital (e.g. RAROC) and regulatory capital calculations (e.g. IMA, A-IRB, F- IRB, AMA, SM) and asset pricing and valuation models, educate internal & external clients about the advanced quantitative techniques, models and strategies, conduct stress tests, scenario analysis and impact studies, analyze, monitor, report and take action on banks' financial risk, liquidity and capital conditions, run Basel-II/CAD project and to propose and draft risk and internal control regulations, prepare and present financial stability, financial risk and macroeconomic assessment reports, contribute to the supervision of banks' financial, risk, liquidity and capital conditions, formulate strategies at firm and financial sector level. Quantitative Analyst / Strategist - Banking Specialist My main responsibilities were to Sept.2000-Dec.2005 research, develop and maintain quantitative risk and financial analytics, early warning systems, research, develop, implement, maintain and validate market, credit and operational risk models, economic and regulatory capital calculations and asset pricing and valuation models, train internal & external clients about the advanced quantitative techniques, models and strategies, conduct regular top-down and bottom-up fundamental, risk profile (market, credit, liquidity, interest rate and operational risks), capital adequacy, asset-liability management, loan portfolio management, earnings, profitability, equity valuations and solvency analysis of the portfolio of individual banks, rate the banks and bank groups, analyze systemic risks, the banking industry and related sectors, and assess the effects of macroeconomic developments on the banks solvency, profitability and risk factors. prepare and present regular/interim/on demand solvency, financial analyst, financial risk, financial stability and macroeconomic assessment reports. monitor, report and take action on banks' risk profile, financial, liquidity and capital conditions, propose financial and risk management strategies to the bank executives on how to manage their risks, formulate and back test strategies towards to the individual firms as well as whole financial system, conduct stress tests, scenario analysis and impact studies, identify needs for new regulatory and supervisory actions, draft and propose new regulations. PRIME MINISTRY, UNDERSECRETARIAT OF TREASURY (TR) Economist - Associate Treasury Expert Dec.1998-Aug.2000 My main responsibilities were to analyze, monitor, report and take action on banks' financial, risk, liquidity and capital conditions, to propose financial and risk management strategies to the bank executives on how to manage their risks and to formulate strategies towards to the individual firms as well as whole financial system. I prepared the preliminary banking sector reform program and worked closely with IMF, World Bank, top government officers and top bank managers in formulating implementation strategies. I increased the effectiveness of the bank enforcement systems by developing a new enforcement database.

4 MURAT MAZIBAS, PhD CFA FRM - Page 4 PROFESSIONAL QUALIFICATIONS Chartered Financial Analyst (CFA), CFA Institute, awarded Sept Financial Risk Manager (FRM), Global Association of Risk Professionals (GARP), awarded Apr Banking Specialist, Banking Regulation and Supervision Agency of Turkey, awarded Dec EDUCATION PhD in Quantitative Finance, University of Exeter, Xfi Center for Finance and Investment, Exeter, UK. (Dec. 2011). PhD in Financial Mathematics, Middle East Technical University, Institute of Applied Mathematics, Turkey (in English) (exp.2015) Chartered Financial Analyst (CFA) Program, CFA Institute, ( ), awarded Sept Financial Risk Manager (FRM) Program, GARP, (2010), awarded Apr MSc in Financial Analysis & Fund Management, Exeter University, Xfi Center for Finance & Investment, Exeter, United Kingdom (Sept. 2008). Graduated with distinction. Ranked 1 out of 30. MSc in Econometrics, Gazi University, Department of Econometrics, Turkey (Sept.2005). Graduated with distinction. Ranked 1 out of 25. BSc in Economics, Istanbul University, Department of Economics (in English), Turkey (June 1998). Graduated with distinction. Ranked 2 out of 475. OTHER SKILLS Computer/Programming: MATLAB, Excel, MS Office, E-Views, RATS, SPSS, Stata, NeuroSolutions. Financial Databases: WRDS, Datastream, Reuters. Language: Turkish (Native), English (Fluent). AWARDS AND HONOURS Winner of Overseas Research Student Award Scheme (ORSAS) ( ) Winner of University of Exeter Research Scholarships ( ) University of Exeter, MSc in Financial Analysis & Fund Management, honours degree & first row (2008) Winner of British Council Chevening Scholarship ( ) Gazi University, MSc in Econometrics - honours degree & first row (2005) Banking Regulation & Supervision Agency honours degree & first row in qualification exams (2002) Prime Ministry, Treasury Undersecretariat - first row in entrance exams (1998) Istanbul University, BSc in Economics - honours degree & second row (1998) Commerce & Finance High School - honours degree & first row (1993) Winner of a number of other prestigious scholarships. Articles Published In Refereed Journals APPENDIX: SELECTED PUBLICATIONS Mazibas, M. & Harris, R.D.F. (2013) Dynamic Hedge Fund Portfolio Construction: A Semi-Parametric Approach to Optimization, Journal of Banking and Finance 37, Mazibas, M. & Harris, R.D.F. (2010) Dynamic Hedge Fund Portfolio Construction: A Comparison of Alternative Volatility Forecast Approaches, International Review of Financial Analysis, 19 (5), Mazibas, M. & Ban, U. (2009) Bank Failure Prediction with Artificial Neural Networks: A Comparative Application to Turkish Banking System, Journal of Economics, Business & Finance 24(282), Mazibas, M. & Küçüközmen, C.C. (2005). Hedge Funds, Journal of Finance Political & Economic Comments 42, Mazibas, M. (2003) Operational Risk and Turkish Banking System, Journal of Economics, Business & Finance 18(203),

5 MURAT MAZIBAS, PhD CFA FRM - Page 5 Articles Published In Books Mazibas, M. & Harris, R.D.F. (2011) Factor-Based Hedge Fund Replication with Risk Constraints, ed. Gregoriou, G. & Kooli, M., Hedge Fund Replication, Palgrave-MacMillan UK, Mazibas, M. & C. Kucukozmen (2007) Forecasting the Change and Direction of Change in ISE Stock Indices: A Neural Network Application, Proceedings Book of the Fourth International Conference on Business, Management and Economics, Yasar University. Mazibas, M. (2005) Modelling and Forecasting Volatility in Istanbul Stock Exchange Markets: An Application with Asymmetrical GARCH Models, National Econometrics & Statistics Congress Proceedings Book, Society of Econometricians. Mazibas, M. (2004) Modelling and Forecasting Volatility and Asymmetrical Price Movements in Istanbul Stock Exchange: GARCH Modelling, Proceedings Book of VIII. National Finance Symposium.