Murat Mazibas

University of Dundee

Associate Professor of Banking and Finance

1-3 Perth Road

Nethergate

Dundee, Scotland DD1 4HN

United Kingdom

http://https://www.dundee.ac.uk/people/murat-mazibas

University of Exeter Business School

Murat Mazibas

Streatham Court

Xfi Building, Rennes Dr.

Exeter, EX4 4JH

United Kingdom

  • University of Dundee

  • University of Exeter Business School

SCHOLARLY PAPERS

21

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Top 37,640

in Total Papers Downloads

2,916

TOTAL CITATIONS

11

Scholarly Papers (21)

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Stock market volatility, volatility modeling, volatility forecasting, GARCH, asymmetric price movements, leverage effects. Hisse senedi piyasası volatilitesi, volatilite, volatilite modellemesi, volatilite öngörüsü, GARCH, asimetrik hareketler, kaldıraç etkisi, doğrusal olmayan modelleme

2.

Operasyonel Risk Yönetimi Ve Türk Bankacılık Sistemi (Operational Risk Management and Turkish Banking System)

Number of pages: 10 Posted: 04 Aug 2017
Murat Mazibas
University of Dundee
Downloads 231 (286,837)
Citation 1

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Operational Risk Management, Turkish Banking System, Risk Management System, Risk Regulations, Türk Bankacılık Sistemi, Operasyonel Risk Yönetimi

3.

İMKB Piyasasındaki Volatilitenin Ve Asimetrik Fiyat Hareketlerinin Modellenmesi Ve Öngörülmesi: GARCH Uygulaması (Modelling and Forecasting of Volatility and Asymmetrical Price Movements in ISE Market: A GARCH Implementation)

VIII Ulusal Finans Sempozyumu Bildiriler Kitabı (Proceedings Book of VIII. National Finance Symposium), 2004
Number of pages: 27 Posted: 07 Aug 2017
Murat Mazibas
University of Dundee
Downloads 206 (318,623)
Citation 1

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Volatilite, volatilite modellemesi, GARCH, asimetrik hareketler, kaldıraç etkisi, volatility modelling, volatility forecast, leverage effects, ISE, IMKB

4.

Finansal Riskten Korunma Fonları (Hedge Funds)

Finans-Politik ve Ekonomik Yorumlar
Number of pages: 23 Posted: 03 Aug 2017
Murat Mazibas and Coskun Küçüközmen
University of Dundee and Middle East University
Downloads 149 (426,885)

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Hedge funds, global investment funds, international capital flows, hot money, financial crisis, uluslararası yatırım fonları, uluslararası sermaye akımları, sıcak para, finansal kriz.

5.

Operasyonel Riskin Olculmesi Ve Stokastik Modellenmesi (Operational Risk Measurement and Stochastic Modelling)

Number of pages: 128 Posted: 27 Jul 2017
Murat Mazibas
University of Dundee
Downloads 144 (436,425)

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operational risk, operational risk measurement, Advanced Measurement Approaches, Operational VaR, stochastic modeling, Loss Distribution Approaches, actuarial mathematical models, quantification of operational risk, operasyonel RMD, Kayıp Dağılımları Yöntemi, aktüeryal matematik modelleme

6.

Cryptocurrency Replication Using Machine Learning

Number of pages: 29 Posted: 26 Aug 2023
Richard D. F. Harris, Murat Mazibas and Dooruj Rambaccussing
University of Bristol, School of Accounting and FinanceUniversity of Bristol, School of Accounting and Finance, University of Dundee and University of Dundee
Downloads 141 (443,905)

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Portfolio replication, Cryptocurrencies, Machine learning algorithms

7.

Factor-Based Hedge Fund Replication with Risk Constraints

Harris R.D.F., Mazibas M. (2012) Factor-Based Hedge Fund Replication with Risk Constraints. In: Gregoriou G.N., Kooli M. (eds) Hedge Fund Replication. Palgrave Macmillan, London, University of Exeter Business School Working Paper, 2011
Number of pages: 20 Posted: 27 Jul 2017
Richard D. F. Harris and Murat Mazibas
University of Bristol, School of Accounting and FinanceUniversity of Bristol, School of Accounting and Finance and University of Dundee
Downloads 135 (459,732)

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Hedge fund replication; Hedge fund portfolio optimization; CVaR; CDaR, Upper and lower partial moments.

8.

Operasyonel Riske Basel Yaklaşımı: Üç Yapısal Blok Çerçevesinde Bir Değerlendirme (Basel Approach to Operational Risk: Three Pillars of Operational Risk)

Banking Regulation and Supervision Authority Research Paper Series, 2005/1
Number of pages: 26 Posted: 26 Jul 2017
Murat Mazibas
University of Dundee
Downloads 132 (468,182)

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operational risk, Basel-II, Pillar 1, Pillar 2, Pillar 3, supervisory review process, operasyonel risk management, regulatory capital charge

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Turkish banking system, bank failure prediction, failed bank classification, bank failure, neural networks, Multilayer Perceptron Networks, Generalized Feed Forward Network, discriminant analysis, logistic regression analysis, Türk bankacılık sistemi, banka finansal başarısızlığı, yapay sinir ağları

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operational risk measurement, Advanced Measurement Approaches, Operational VaR, stochastic modeling, Extreme Value Theory, quantification of operational risk, operasyonel RMD, Kayıp Dağılımları Yöntemi, Uç Değer Teorisi

11.

Operasyonel Risk Veritabanı Modellemesi (Operational Risk Database Modelling)

Banking Regulation and Supervision Authority Research Paper Series, 2006/2
Number of pages: 60 Posted: 26 Jul 2017
Murat Mazibas
University of Dundee
Downloads 117 (514,241)
Citation 1

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operational risk database, risk quantification, operational risk data, operasyonel risk verisi, operasyonel risk veritabanı

12.

The Behavioural Characteristics of Fund Managers

Number of pages: 22 Posted: 28 Mar 2025
Richard D. F. Harris and Murat Mazibas
University of Bristol, School of Accounting and FinanceUniversity of Bristol, School of Accounting and Finance and University of Dundee
Downloads 106 (553,740)

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Behavioural finance, Cumulative prospect theory, Hierarchical Bayesian estimation, Mutual funds, Professional investors

13.

Operational Risk Measurement: Loss Distributions Approaches (Operasyonel Risk Ölçümü: Kayıp Dağılımları Modellemesi)

Number of pages: 23 Posted: 26 Jul 2017
Murat Mazibas
University of Dundee
Downloads 102 (569,519)

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operational risk, operational risk measurement, Advanced Measurement Approaches, Operational VaR, stochastic modeling, Loss Distribution Approaches, actuarial mathematical models, quantification of operational risk, operasyonel risk, operasyonel risk ölçümü, ileri ölçüm yaklaşımları, operasyonel RMD

14.

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

Emerging Markets Finance and Trade, Forthcoming
Number of pages: 15 Posted: 03 Feb 2015 Last Revised: 06 Aug 2017
Murat Mazibas and Yusuf Tuna
University of Dundee and Istanbul Commerce University
Downloads 102 (577,543)
Citation 3

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consumer loans, credit cards, variance decomposition, impulse response, Granger causality test.

15.

Operational Risk Measurement: Fuzzy Logic Modelling (Operasyonel Risk Ölçümü: Bulanık Mantık Modellemesi)

Number of pages: 29 Posted: 26 Jul 2017
Murat Mazibas
University of Dundee
Downloads 91 (613,630)
Citation 1

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Operational risk measurement, quantification of operational risk, fuzzy logic, fuzzy logic models, Operasyonel risk ölçümü, bulanık akıl, bulanık akıl modeli, risklerin sayısallaştırılması

16.

Operasyonel Risklerin Aktüeryal Matematik Modellerle Ölçümü (Operational Risk Measurement: Actuarial Mathematical Models)

Number of pages: 6 Posted: 26 Jul 2017
Murat Mazibas
University of Dundee
Downloads 91 (617,816)

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operational risk, operational risk measurement, Advanced Measurement Approaches, Operational VaR, stochastic modeling, Loss Distribution Approaches, actuarial mathematical models, quantification of operational risk, operasyonel RMD, Kayıp Dağılımları Yöntemi, aktüeryal matematik modelleme

17.

Operasyonel Riske Basel Yaklaşımı: Risk Verilerine İlişkin Bir Değerlendirme (The Basel Approach to Operational Risk: An Assessment on Operational Risk Data)

Banking Regulation and Supervision Authority Research Paper Series, 2005/2
Number of pages: 25 Posted: 26 Jul 2017
Murat Mazibas
University of Dundee
Downloads 88 (626,492)

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operational risk database, risk quantification, operational risk data, operasyonel risk verisi, operasyonel risk veritabanı

18.

Türk Bankacılık Sisteminde Operasyonel Risk Veri Tabanının Oluşturulması (Developing an Operational Risk Database in Turkish Banking System)

Banking Regulation and Supervision Authority Research Paper Series, 2006/3
Number of pages: 25 Posted: 26 Jul 2017
Murat Mazibas
University of Dundee
Downloads 66 (737,921)
Citation 1

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operational risk database, risk quantification, operational risk data, operasyonel risk verisi, operasyonel risk veritabanı

19.

Operasyonel Risk Ile Kurumsal Yönetişimin Kesişim Alanı (The Intersection of Operational Risk and Corporate Governance)

Banking Regulation and Supervision Authority Research Paper Series, 2005/6
Number of pages: 21 Posted: 26 Jul 2017
Murat Mazibas
University of Dundee
Downloads 58 (788,638)

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Operational risk, operational risk management, corporate governance, risk management, integrated risk management, Operasyonel risk, operasyonel risk yönetimi, kurumsal yönetim, risk yönetimi, bütünleşik risk yönetimi.

20.

Operational Risk Measurement in Banks: An Application of Extreme Value Theory (Bankalarda Operasyonel Riskin Ölçümü: Uç Değer Teorisi Uygulaması)

Institute of Applied Mathematics Working Paper, 2007
Number of pages: 37 Posted: 07 Aug 2017
Coskun Küçüközmen and Murat Mazibas
Middle East University and University of Dundee
Downloads 56 (802,568)

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Extreme Value Theory, Operational Risk Measurement, LDA, Expected Shortfall, Conditional Value at Risk, Uç Değer Teorisi, Operasyonel Risk Ölçümü, Kayıp Dağılımı Modelleri, Beklenen Açık, Operasyonel Riske Maruz Değer, RMD

21.

Forecasting the Change and Direction of Change in Ise Sector Indices: An Artificial Neural Network Application

Institute of Applied Mathematics Working Paper, 2007
Number of pages: 21 Posted: 27 Jul 2017
Murat Mazibas and Coskun Küçüközmen
University of Dundee and Middle East University
Downloads 47 (871,984)

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forecasting, stock indices, neural networks, Istanbul Stock Exchange, ISE sector indices.