Rusudan Kevkhishvili

Senior Lecturer

Graduate School of Economics, Kyoto University

Yoshida-Honmachi, Sakyo-Ku, Kyoto, 606-8501 Japan

Email: kevkhishvili.rusudan.2x@kyoto-u.ac.jp

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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, 2019 - Present Graduate School of Economics, Kyoto University, Senior Lecturer.


Teaching

  • Graduate

Financial Engineering 1: Spring Semester 2019-2021 (Graduate School of Economics, Kyoto University)

Financial Engineering I: Spring Semester 2019-2021 (Graduate School of Management, Kyoto University)

Group Work: Fall Semester 2019-2021 (Graduate School of Economics, Kyoto University)


  • Undergraduate

Corporate Finance: Spring Semester 2019-2021 (Faculty of Economics, Kyoto University)

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

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


Refereed Journal Publications

  • 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 New Approach to Detecting Change in Credit Quality (2021) [SSRN]

  • A New Approach to Estimating Loss-Given-Default Distribution (2020) (with M. Egami) [Arxiv]

  • Analysis of CDS Spread Fluctuations with an Application to the Negative Basis Arbitrage (2019) (with M. Egami) [SSRN]


Conference Presentations and Invited Talks (indicated with *)

  • 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. 21K13324 , Japan Society for the Promotion of Science, 2021-2022. [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.