Kevkhishvili Rusudan

Affiliation and department：
Homepage URL (1)： https://www.kevkhishvili.com/

Research field (2)： Applied mathematics and statistics , Money and finance

Research keywords (4)： Financial Engineering , Credit Risk , Stochastic Processes , Derivative Security Pricing

Research theme for competitive and other funds (3)：

2023 - 2026 An Analysis of Bond Price Formation Process Considering Stock and Bond Market Liquidity Risks
2021 - 2023 Detection of Changes in Dynamics of Diffusion Processes with Applications to Credit Risk Analysis
2017 - 2019 A Study of Approximation and Transformation of Markov Processes and their Applications to Credit Risk Management

Papers (4)：

Rusudan Kevkhishvili. A new approach to detecting change in credit quality. Journal of Risk. 2022. 24. 5. 51-73
Masahiko Egami, Rusudan Kevkhishvili. Time reversal and last passage time of diffusions with applications to credit risk management. Finance and Stochastics. 2020. 24. 3. 795-825
Masahiko Egami, Rusudan Kevkhishvili. A direct solution method for pricing options in regime-switching models. Mathematical Finance. 2020. 30. 2. 547-576
Masahiko Egami, Rusudan Kevkhishvili. An analysis of simultaneous company defaults using a shot noise process. JOURNAL OF BANKING & FINANCE. 2017. 80. 135-161

MISC (5)：

Masahiko Egami, Rusudan Kevkhishvili. Post-Last Exit Time Process and its Application to Loss-Given-Default Distribution. 2024
Masahiko Egami, Rusudan Kevkhishvili. A Forward-Looking Measure of Credit Risk. SSRN Electronic Journal. 2023
Masahiko Egami, Rusudan Kevkhishvili. On Decomposition of the Last Passage Time of Diffusions. 2022
Rusudan Kevkhishvili. 信用リスクの研究におけるノイズ. ACADEMIC GROOVE Vol.1 SIGNAL-Humanities and Social Sciences. 2019
Masahiko Egami, Rusudan Kevkhishvili. Analysis of CDS Spread Fluctuations with an Application to the Negative Basis Arbitrage. SSRN Electronic Journal. 2019

Lectures and oral presentations (19)：

A Forward-Looking Measure of Credit Risk
(Japanese Association of Financial Econometrics and Engineering (JAFEE) 60th Conference (2023 Winter Meeting) 2024)
A Forward-Looking Measure of Credit Risk
(Nippon Finance Association 5th Fall Conference 2023)
Last Passage Time and its Applications in Risk Management
(The 10th International Congress on Industrial and Applied Mathematics (ICIAM2023) 2023)
On Decomposition of the Last Passage Time of Diffusions
(SIAM Conference on Financial Mathematics and Engineering (FM23) 2023)
Last Passage Time of Diffusions and Loss-given-Default Distribution
(The 2023 Spring National Conference of Operations Research Society of Japan 2023)

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Education (3)：

2016 - 2019 Kyoto University Graduate School of Economics Division of Economics
2014 - 2016 Kyoto University Graduate School of Economics Division of Economics
2010 - 2014 Kyoto University Faculty of Economics Department of Economics and Management

Professional career (1)：

博士(経済学) (京都大学)

Work history (2)：

2022/04 - 現在 Kyoto University Graduate School of Economics Senior Lecturer (Tenure-track)
2019/04 - 2022/03 Kyoto University Graduate School of Economics Senior Lecturer

Awards (2)：

2016/03 - Graduate School of Economics, Kyoto University Excellent Master's Thesis Award
2014/03 - Faculty of Economics, Kyoto University Excellent Undergraduate Thesis Award

Association Membership(s) (3)：

Japanese Association of Financial Econometrics and Engineering (JAFEE) , Society for Industrial and Applied Mathematics (SIAM) , Nippon Finance Association

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