Mazibas, Murat


  • 31 Citations
  • 2 h-Index

Research output per year

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Personal profile


Dr Mazibas is a dedicated researcher with a combination of academic and industry experience. Dr Mazibas has got 15+ years of experience in banking, capital markets and investment management industry. He has specialized in research, development and implementation in quantitative finance, investment management, risk modelling and quantitative trading/investment.

On the industry side, he worked for the Treasury, the Turkish FCA (banking regulator), a financial markets operator (Istanbul Stock Exchange) and global asset and fund managers in different capacities from an economist, quantitative analyst to the head of quant research and head of research and development.

Previously, Dr Mazibas established and successfully managed a large multi-disciplined quant group in the Turkish FCA. He also delivered projects on developing risk models, financial and asset pricing models, analysis tools and techniques and financial analytics. He inspected and validated banks’ asset pricing and risk measurement models. Along with a number of international and national research, development and implementation projects on the banking system, he successfully managed the Basel-II project in Turkey.

Recently, Dr Mazibas spearheaded and successfully developed new businesses on a wide variety of areas including establishing energy, metal and other commodity markets, Financial Technology Centre, Centre for Applied Research in Finance and Turkish Energy Exchange; developing order book analytics and execution algos for algorithmic trading. He also managed the research on market microstructure, macro-econometrics, algorithmic trading, high/mid/low-frequency trading, and volatility modelling among others.

On the academic side, Dr Mazibas holds a BSc degree in Economics (Istanbul University), an MSc degree in Econometrics (Gazi University), another MSc degree in Financial Analysis and Fund Management (University of Exeter), a PhD degree in Finance (University of Exeter), also completed coursework of two other PhD programs: PhD in Financial Mathematics and PhD in Econometrics. During his degrees, he received highly prestigious scholarships and graduated with highest honours.

Along with academic degrees, Dr Mazibas also earned prestigious CFA and FRM charters along with banking specialist charter.

In the academia, Dr Mazibas worked as the Appleby Research Fellow in Portfolio Management at the University of Exeter.

He acted as the Managing Editor of Borsa Istanbul Review, a peer-reviewed international finance journal produced and hosted by Elsevier.  He is a regular referee for international journals including Journal of Banking and Finance and International Journal of Forecasting.


Dr Mazibas is a published researcher in applied mathematics, quantitative finance and econometrics.

Dr Mazibas’ research interests are in the following areas: investment management, banking, quantitative portfolio management, asset pricing, volatility modelling, financial econometrics, quantitative behavioural modelling, market microstructure, risk modelling/management, macro-econometrics, quantitative/algorithmic trading.

Education/Academic qualification

Doctor of Philosophy, University of Exeter

5 Oct 200812 Dec 2011

Award Date: 12 Dec 2011

Master of Science, University of Exeter

21 Sep 200724 Sep 2008

Award Date: 24 Nov 2008

Master of Science, Gazi University

8 Sep 20038 Sep 2005

Award Date: 8 Sep 2005

Bachelor of Economics

21 Sep 199426 Jun 1998

Award Date: 6 Aug 1998

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Research Output

  • 31 Citations
  • 2 h-Index
  • 4 Article
  • 1 Chapter (peer-reviewed)

Understanding the Recent Growth in Consumer Loans and Credit Cards in Emerging Markets: Evidence from Turkey

Mazibas, M. & Tuna, Y., 2017, In : Emerging Markets Finance and Trade. 53, 10, p. 2333-2346 14 p.

Research output: Contribution to journalArticle

Open Access
  • 1 Citation (Scopus)
    114 Downloads (Pure)

    Dynamic hedge fund portfolio construction: A semi-parametric approach

    Harris, R. D. F. & Mazibas, M., Jan 2013, In : Journal of Banking and Finance. 37, 1, p. 139-149 11 p.

    Research output: Contribution to journalArticle

  • 19 Citations (Scopus)

    Factor-based hedge fund replication with risk constraints

    Harris, R. D. F. & Mazibas, M., 2011, Hedge Fund Replication. Gregoriou, G. N. & Kooli, M. (eds.). United Kingdom: Palgrave Macmillan, p. 30-47 18 p.

    Research output: Chapter in Book/Report/Conference proceedingChapter (peer-reviewed)

  • Dynamic hedge fund portfolio construction

    Harris, R. D. F. & Mazibas, M., Dec 2010, In : International Review of Financial Analysis. 19, 5, p. 351-357 7 p.

    Research output: Contribution to journalArticle

  • 11 Citations (Scopus)

    Banka başarısızlıklarının yapay sinir ağlarıyla tahmini: Türk bankacılık sistemi üzerine karşılaştırmalı bir uygulama

    Translated title of the contribution: Bank Failure Prediction with Artificial Neural Networks: A Comparative Application to Turkish Banking System Mazibas, M. & Ban, U., Sep 2009, In : Iktisat Isletme ve Finans. 24, 282, p. 27-53 27 p., 2.

    Research output: Contribution to journalArticle

  • Thesis

    Dynamic Hedge Fund Portfolio Risk Measurement : An Application

    Author: Mazibas, M., 2008

    Supervisor: Harris, R. D. F. (External person) (Supervisor)

    Student thesis: Master's ThesisMaster of Science

    Dynamic Portfolio Construction and Portfolio Risk Measurement

    Author: Mazibas, M., 2011

    Supervisor: Harris, R. D. F. (External person) (Supervisor)

    Student thesis: Doctoral ThesisDoctor of Philosophy

    Measurement of Operational Risks with Stochastic Models in Turkish Banking System

    Author: Mazibas, M., 2005

    Supervisor: Kilickaplan, S. (External person) (Supervisor)

    Student thesis: Master's ThesisMaster of Science