Rusudan Kevkhishvili

CV - English 

CV - 日本語 

Research Interests

Financial Engineering: Credit Risk Modeling, Derivative Pricing

Applied Probability: Markov Processes, Diffusion Processes

Education

• Apr, 2016 - Mar, 2019      Doctor of Economics,   Kyoto University (Graduate School of Economics)                              

• Apr, 2014 - Mar, 2016      Master of Economics,   Kyoto University (Graduate School of Economics)             

• Apr, 2010 - Mar, 2014      Bachelor of Economics,   Kyoto University (Faculty of Economics, Department of Economics and Management)

Employment History

• Apr, 2022 - Present           Graduate School of Economics, Kyoto University, Tenure-track Senior Lecturer.

• Apr, 2019 - Mar, 2022       Graduate School of Economics, Kyoto University, Senior Lecturer.

Teaching

• Graduate

Financial Engineering 1:  Spring Semester 2019-2024 (Graduate School of Economics, Kyoto University)

Financial Engineering I: Spring Semester 2019-2024 (Graduate School of Management, Kyoto University)

Group Work:  Fall Semester 2019-2024 (Graduate School of Economics, Kyoto University)

• Undergraduate

Financial Engineering: Spring Semester 2024  (Faculty of Economics, Kyoto University)

Derivative Securities: Fall Semester 2023 (Faculty of Economics, Kyoto University)

Corporate Finance:  Spring Semester 2019-2022 (Faculty of Economics, Kyoto University)

Introductory Seminar:  Spring Semester 2020-2021 (Faculty of Economics, Kyoto University)

Readings in Humanities and Social Sciences (Economics, English) A-E1:  Spring Semester 2022, 2024 (Liberal Arts and Sciences Course, Kyoto University)

Readings in Humanities and Social Sciences (Economics, English) B-E1:  Fall Semester 2019, 2023 (Liberal Arts and Sciences Course, Kyoto University)

Refereed Journal Publications

• A New Approach to Detecting Change in Credit Quality 

Journal of Risk 24 (5), 51-73, 2022.  [PDF]   [Open Access]

• Time Reversal and Last Passage Time of Diffusions with Applications to Credit Risk Management (with M. Egami)   

Finance and Stochastics 24 (3), 795-825, 2020.  [PDF]

• A Direct Solution Method for Pricing Options in Regime-Switching Models (with M.  Egami)                                                       

　 Mathematical Finance 30(2), 547-576, 2020.  [PDF]

• An Analysis of Simultaneous Company Defaults Using a Shot Noise Process (with M. Egami)                                                                  

　 Journal of Banking and Finance 80, 135-161, 2017.  [PDF]

Preprints

• A Forward-Looking Measure of Credit Risk (2023) (with M. Egami) [SSRN]  

• On Decomposition of the Last Passage Time of Diffusions (2024) (with M. Egami)  [Arxiv]  

• Post-Last Exit Time Process and its Application to Loss-Given-Default Distribution (2024) (with M. Egami) [Arxiv] 

Conference Presentations and Invited Talks (indicated with *)

• Japanese Association of Financial Econometrics and Engineering (JAFEE) 60th Conference (2023 Winter Meeting), The University of Tokyo, February 17, 2024.

• Nippon Finance Association 5th Fall Conference, Virtual, November 11, 2023.

• The 10th International Congress on Industrial and Applied Mathematics (ICIAM2023), Tokyo, August 21, 2023.

• SIAM Conference on Financial Mathematics and Engineering (FM23), Philadelphia, June 6, 2023.

• The 2023 Spring National Conference of Operations Research Society of Japan, Chuo University, March 8, 2023.

• Japanese Association of Financial Econometrics and Engineering (JAFEE) 58th Conference (2022 Winter Meeting), Tohoku University, February 19, 2023.

• Nippon Finance Association The 30th Anniversary Annual Conference, Aoyama Gakuin University, June 5, 2022.

• SIAM Conference on Financial Mathematics and Engineering (FM21), Virtual, June 2, 2021.

• Nippon Finance Association 2nd Fall Conference, Virtual, December 5, 2020. 

• Nippon Finance Association 28th Annual Conference, Virtual, June 13, 2020.

• *Nakanoshima Workshop: Problems in Financial Engineering and Mathematical/ Quantitative Finance 2019, Center for Mathematical Modeling and Data Science, Osaka University, November 29, 2019.

• *TMU Workshop on Finance, Tokyo Metropolitan University,  September 25, 2019.

• Workshop on Recent Developments in Econometric Theory and Its Applications 2019, Institute of Economic Research, Kyoto University, March 5, 2019.

• The 30th Asian Finance Association Annual Meeting, Tokyo, June 26, 2018.    

• The 40th Conference on Stochastic Processes and their Applications-SPA 2018, Gothenburg, Sweden, June 12, 2018.

• TMU Workshop on Finance 2017, Tokyo Metropolitan University, August 29, 2017.

• *Mathematical Finance Seminar, Department of Mathematical Sciences, Ritsumeikan University,  August 24, 2017.

• *The 22nd Economic Workshop of Young Researchers, Kobe University, July 5, 2017.

• International Conference on Financial Risks and Uncertainties 2017, Ishigaki, Okinawa, June 17, 2017.

• Lunchtime Workshop BBL, Graduate School of Economics, Kyoto University, June 7, 2017. 

• Nippon Finance Association 25th Annual Conference, Chiba Institute of Technology, June 3, 2017.

• Lunchtime Workshop BBL, Graduate School of Economics, Kyoto University, April 21, 2016.

Research Grants

• P.I.,  Grant-in-Aid for Early-Career Scientists  No. 23K12501,  Japan Society for the Promotion of Science, 2023-2025.  [LINK]

• P.I.,  Grant-in-Aid for Early-Career Scientists  No. 21K13324,  Japan Society for the Promotion of Science, 2021-2023.  [LINK] 

• P.I., Grant-in-Aid for JSPS Fellows  No. 17J06948,  Japan Society for the Promotion of Science,   2017-2018.  [LINK]

• Research Fellowship of Japan Society for the Promotion of Science (JSPS) for Young Scientists (DC2), 2017-2018.