Once, there was a Time Lord who called himself the Master. Brilliant, even by the high standards of his own race; he was charming, almost hypnotic in some regenerations, but also sadistic, egotistical, obsessive, vain, proud, and more than a little bit insane. The Master died his final death, and his story ended there.
Koschei's began, on one level, with the Master; on another, with the Time War. Desperate to win, the Time Lords decided that, because of his brilliance and his ruthlessness and, yes, even his own special sort of insanity, the Master would be the perfect soldier for the Time War. But because of his insanity and the crimes of his past, they couldn't let him run around as he was, liable to desert them, or worse, turn on them. They locked away his memories, as a form of insurance. They took his past and they took his name, and they left him with a job to do, and with the desire to fight, an urge to winwinwinwin that manifested in a constant beat pounding though his mind.
They called him Soldier. He created strategies, he found the holes in theirs; he was sent out to do dangerous tasks. He never fought against them, or against the job he hated, obedient, even if he'd never mastered respectful. He trusted them, despite his anger at the situation. And he fought. Ruthless, intelligent, he did the one thing he knew he could do right -- he fought the war to win.
But there was always more to him than there was supposed to be, more than just a job and a title. He couldn't find a name that sounded right, so he called himself the one that came closest. He was careful to recall the stories that trickled through his mind, stories that might be memory or mythology but were the closest thing to a past he had, reciting and repeating them until they came out the same every telling. He was never officially allowed a TARDIS of his own, but he bonded strongly with the one he'd fight with, until she was his in everything but name.
He didn't have much, but he clung to what was his.