Thumbnail

Mihail Turlakov

Currently, Mihail Turlakov is the head of XVA/CVA desk at Sberbank CIB. Mihail has about 10 years’ experience in financial industry in credit, FX and quantitative trading areas. He has worked on developing new business areas, modelling and trading while at RBS, Deutsche, WestLB and Sberbank. Before moving on to a financial career, Mihail worked as a theoretical physics researcher at the Departments of Physics in Cambridge and Oxford Universities in United Kingdom. He received his Ph.D. in theoretical condensed matter physics from University of Illinois at Urbana-Champaign in United States in 2000.

Follow Mihail

Articles by Mihail Turlakov

Leverage and uncertainty

By extending the Kelly criterion to a simple probabilistic model with an additional tail risk outcome associated with uncertainty, this paper looks beyond risk and evaluates how uncertainty constrains optimal leverage.

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: