KEVKHISHVILI Rusudan

Last Update: 2021/06/03 13:48:27

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Name(Kanji/Kana/Abecedarium Latinum)
KEVKHISHVILI Rusudan/ケブヘイッシュウィリ ルースダン/Kevkhishvili, Rusudan
Primary Affiliation(Org1/Job title)
Graduate Schools Economics/Senior Lecturer/ Junior Associate Professor
Academic Organizations You are Affiliated to in Japan
Organization name(Japanese) Organization name(English)
日本ファイナンス学会 Nippon Finance Association
Academic Organizations Overaseas You are Affiliated to
Organization name Country
Society for Industrial and Applied Mathematics (SIAM)
American Risk and Insurance Association
Academic Degree
Field(Japanese) Field(English) University(Japanese) University(English) Method
修士(経済学) 京都大学
博士(経済学) 京都大学
Academic Resume (Graduate Schools)
University(Japanese) University(English) Faculty(Japanese) Faculty(English) Major(Japanese) Major(English) Degree
京都大学 大学院経済学研究科修士課程経済学専攻 修了
京都大学 大学院経済学研究科博士後期課程経済学専攻 修了
High School
Highschool Kana
Tbilisi Public School №51
Language of Instruction
Language(japanese) Language(english) Code
日本語 Japanese jpn
英語 English eng
グルジア語 Georgian kat
ロシア語 Russian rus
Personal Website(s) (URL(s))
URL
https://www.kevkhishvili.com/
ORCID ID
https://orcid.org/0000-0003-4568-0081
researchmap URL
https://researchmap.jp/rusudan
Research Topics
(Japanese)
確率過程(主にマルコフ過程)によるクレジットリスクのモデリング及び派生証券の価格付け
(English)
Credit risk modeling and derivative pricing using stochastic processes (mainly Markov processes)
Overview of the research
(Japanese)
ファイナンス分野に関連する確率過程の理論研究と、その成果の応用によるデータ分析を行っている。これまでに、主に連続なパスをもつマルコフ過程を研究し、ファイナンスの問題へ応用してきた。主な応用例としては、同時デフォルト確率モデル、最適停止問題による派生証券価格付けやCDSスプレッドのモデリング手法が挙げられる。現在、マルコフ過程の更なる理論研究によってクレジットリスク管理手法の高度化と企業のデフォルトに関する研究を行っている。
(English)
I have been conducting theoretical research regarding stochastic processes related to finance and have been applying the results using data analysis. Mainly, I have studied Markov processes with continuous paths and applied theoretical results to financial problems such as simultaneous default probability models, derivative pricing via optimal stopping problems, and CDS spread modeling. Currently, I am researching credit risk management methods and topics related to company defaults by conducting further theoretical research regarding Markov processes.
Fields of research (key words)
Key words(Japanese) Key words(English)
ファイナンス工学 Financial Engineering
クレジットリスク Credit Risk
派生証券の価格付け Derivative Pricing
マルコフ過程 Markov Processes
Published Papers
Author Author(Japanese) Author(English) Title Title(Japanese) Title(English) Bibliography Bibliography(Japanese) Bibliography(English) Publication date Refereed paper Language Publishing type Disclose
Masahiko Egami, Rusudan Kevkhishvili Masahiko Egami, Rusudan Kevkhishvili Masahiko Egami, Rusudan Kevkhishvili Time reversal and last passage time of diffusions with applications to credit risk management Time reversal and last passage time of diffusions with applications to credit risk management Time reversal and last passage time of diffusions with applications to credit risk management Finance and Stochastics, 24, 3, 795-825 Finance and Stochastics, 24, 3, 795-825 Finance and Stochastics, 24, 3, 795-825 2020/05/18 Refereed English Research paper(scientific journal) Disclose to all
Masahiko Egami, Rusudan Kevkhishvili Masahiko Egami, Rusudan Kevkhishvili Masahiko Egami, Rusudan Kevkhishvili A direct solution method for pricing options in regime‐switching models A direct solution method for pricing options in regime‐switching models A direct solution method for pricing options in regime‐switching models Mathematical Finance, 30, 2, 547-576 Mathematical Finance, 30, 2, 547-576 Mathematical Finance, 30, 2, 547-576 2020/04 Refereed English Research paper(scientific journal) Disclose to all
Masahiko Egami, Rusudan Kevkhishvili Masahiko Egami, Rusudan Kevkhishvili Masahiko Egami, Rusudan Kevkhishvili An analysis of simultaneous company defaults using a shot noise process An analysis of simultaneous company defaults using a shot noise process An analysis of simultaneous company defaults using a shot noise process JOURNAL OF BANKING & FINANCE, 80, 135-161 JOURNAL OF BANKING & FINANCE, 80, 135-161 JOURNAL OF BANKING & FINANCE, 80, 135-161 2017/07 Refereed English Research paper(scientific journal) Disclose to all
Title language:
Misc
Author Author(Japanese) Author(English) Title Title(Japanese) Title(English) Bibliography Bibliography(Japanese) Bibliography(English) Publication date Refereed paper Language Publishing type Disclose
Masahiko Egami, Rusudan Kevkhishvili Masahiko Egami, Rusudan Kevkhishvili Masahiko Egami, Rusudan Kevkhishvili A New Approach to Estimating Loss-Given-Default Distribution A New Approach to Estimating Loss-Given-Default Distribution A New Approach to Estimating Loss-Given-Default Distribution arXiv arXiv arXiv 2020/09 English Internal/External technical report, pre-print, etc. Disclose to all
Rusudan Kevkhishvili ケヴヘイッシュウィリルースダン Rusudan Kevkhishvili 信用リスクの研究におけるノイズ 信用リスクの研究におけるノイズ 信用リスクの研究におけるノイズ ACADEMIC GROOVE Vol.1 SIGNAL−Humanities and Social Sciences ACADEMIC GROOVE Vol.1 SIGNAL−Humanities and Social Sciences ACADEMIC GROOVE Vol.1 SIGNAL−Humanities and Social Sciences 2019/11 Japanese Article, review, commentary, editorial, etc.(other) Disclose to all
Masahiko Egami, Rusudan Kevkhishvili Masahiko Egami, Rusudan Kevkhishvili Masahiko Egami, Rusudan Kevkhishvili Analysis of CDS Spread Fluctuations with an Application to the Negative Basis Arbitrage Analysis of CDS Spread Fluctuations with an Application to the Negative Basis Arbitrage Analysis of CDS Spread Fluctuations with an Application to the Negative Basis Arbitrage SSRN Electronic Journal SSRN Electronic Journal SSRN Electronic Journal 2019/07 English Internal/External technical report, pre-print, etc. Disclose to all
Title language:
Conference Activities & Talks
Title Title(Japanese) Title(English) Conference Conference(Japanese) Conference(English) Promotor Promotor(Japanese) Promotor(English) Date Language Assortment Disclose
A New Approach to Estimating Loss-Given-Default Distribution A New Approach to Estimating Loss-Given-Default Distribution A New Approach to Estimating Loss-Given-Default Distribution SIAM Conference on Financial Mathematics and Engineering (FM21) SIAM Conference on Financial Mathematics and Engineering (FM21) SIAM Conference on Financial Mathematics and Engineering (FM21) SIAM Activity Group on Financial Mathematics and Engineering SIAM Activity Group on Financial Mathematics and Engineering 2021/06/02 English Oral presentation(general) Disclose to all
A New Approach to Estimating Loss-Given-Default Distribution A New Approach to Estimating Loss-Given-Default Distribution A New Approach to Estimating Loss-Given-Default Distribution NFA 2nd Fall Conference 日本ファイナンス学会第2回秋季研究大会 NFA 2nd Fall Conference 日本ファイナンス学会 日本ファイナンス学会 2020/12/05 English Oral presentation(general) Disclose to all
Analysis of CDS Spread Fluctuations with an Application to the Negative Basis Arbitrage Analysis of CDS Spread Fluctuations with an Application to the Negative Basis Arbitrage Analysis of CDS Spread Fluctuations with an Application to the Negative Basis Arbitrage The 28th NFA Annual Conference 日本ファイナンス学会第28回大会 The 28th NFA Annual Conference 日本ファイナンス学会 日本ファイナンス学会 2020/06/13 English Oral presentation(general) Disclose to all
Analysis of CDS Spread Fluctuations with an Application to the Negative Basis Arbitrage[Invited] Analysis of CDS Spread Fluctuations with an Application to the Negative Basis Arbitrage [Invited] Analysis of CDS Spread Fluctuations with an Application to the Negative Basis Arbitrage [Invited] 「金融工学・数理計量ファイナンスの諸問題 2019」中之島ワークショップ 「金融工学・数理計量ファイナンスの諸問題 2019」中之島ワークショップ 大阪大学数理・データ科学教育研究センター(MMDS) 金融・保険部門 大阪大学数理・データ科学教育研究センター(MMDS) 金融・保険部門 2019/11/29 Japanese Oral presentation(invited, special) Disclose to all
Analysis of CDS Spread Fluctuations with an Application to the Negative Basis Arbitrage[Invited] Analysis of CDS Spread Fluctuations with an Application to the Negative Basis Arbitrage [Invited] Analysis of CDS Spread Fluctuations with an Application to the Negative Basis Arbitrage [Invited] TMU Workshop on Finance 2019 TMU Workshop on Finance 2019 TMU Workshop on Finance 2019 首都大学東京金融工学研究センター 首都大学東京金融工学研究センター 2019/09/25 English Oral presentation(invited, special) Disclose to all
An Analysis of Simultaneous Company Defaults Using a Shot Noise Process, A Study of Quoted CDS Spreads Using a Shot Noise Process in a Structural Framework An Analysis of Simultaneous Company Defaults Using a Shot Noise Process, A Study of Quoted CDS Spreads Using a Shot Noise Process in a Structural Framework An Analysis of Simultaneous Company Defaults Using a Shot Noise Process, A Study of Quoted CDS Spreads Using a Shot Noise Process in a Structural Framework Workshop on Recent Developments in Econometric Theory and Its Applications 2019 Workshop on Recent Developments in Econometric Theory and Its Applications 2019 Workshop on Recent Developments in Econometric Theory and Its Applications 2019 2019/03/05 Japanese Oral presentation(general) Disclose to all
On the Optimal Stopping Problem of Linear Diffusions in Regime-switching Models On the Optimal Stopping Problem of Linear Diffusions in Regime-switching Models On the Optimal Stopping Problem of Linear Diffusions in Regime-switching Models The 30th Asian Finance Association Annual Meeting The 30th Asian Finance Association Annual Meeting The 30th Asian Finance Association Annual Meeting Asian Finance Association Asian Finance Association 2018/06/26 English Oral presentation(general) Disclose to all
On the Optimal Stopping Problem of Linear Diffusions in Regime-switching Models On the Optimal Stopping Problem of Linear Diffusions in Regime-switching Models On the Optimal Stopping Problem of Linear Diffusions in Regime-switching Models The 40th Conference on Stochastic Processes and their Applications-SPA 2018 The 40th Conference on Stochastic Processes and their Applications-SPA 2018 The 40th Conference on Stochastic Processes and their Applications-SPA 2018 2018/06/12 English Oral presentation(general) Disclose to all
An Application of Time Reversal to Credit Risk Management An Application of Time Reversal to Credit Risk Management An Application of Time Reversal to Credit Risk Management TMU Workshop on Finance 2017 TMU Workshop on Finance 2017 TMU Workshop on Finance 2017 首都大学東京 金融工学研究センター 首都大学東京 金融工学研究センター 2017/08/29 English Oral presentation(general) Disclose to all
An Application of Time Reversal to Credit Risk Management[Invited] An Application of Time Reversal to Credit Risk Management [Invited] An Application of Time Reversal to Credit Risk Management [Invited] Mathematical Finance Seminar, Department of Mathematical Sciences, Ritsumeikan University 数理ファイナンスセミナー Mathematical Finance Seminar, Department of Mathematical Sciences, Ritsumeikan University 立命館大学数理科学科 立命館大学数理科学科 2017/08/24 Japanese Public discourse, seminar, tutorial, course, lecture and others Disclose to all
An Application of Time Reversal to Credit Risk Management An Application of Time Reversal to Credit Risk Management An Application of Time Reversal to Credit Risk Management International Conference on Financial Risks and Uncertainties 2017 International Conference on Financial Risks and Uncertainties 2017 International Conference on Financial Risks and Uncertainties 2017 2017/06/17 English Oral presentation(general) Disclose to all
An Analysis of Simultaneous Company Defaults Using a Shot Noise Process An Analysis of Simultaneous Company Defaults Using a Shot Noise Process An Analysis of Simultaneous Company Defaults Using a Shot Noise Process Nippon Finance Association 25th Annual Conference 日本ファイナンス学会第25回大会 Nippon Finance Association 25th Annual Conference 2017/06/03 Japanese Oral presentation(general) Disclose to all

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Title language:
Awards
Title(Japanese) Title(English) Organization name(Japanese) Organization name(English) Date
京都大学経済学部優秀卒業論文賞 Faculty of Economics Outstanding Undergraduate Thesis Award 京都大学 Kyoto University 2014/03/25
京都大学大学院経済学研究科優秀修士論文賞 Graduate School of Economics Outstanding Master Thesis Award 京都大学 Kyoto University 2016/03/23
External funds: competitive funds and Grants-in-Aid for Scientific Research (Kakenhi)
Type Position Title(Japanese) Title(English) Period
科学研究費補助金 特別研究員奨励費 Representative マルコフ過程の研究とクレジットリスクへの応用 A Study of Approximation and Transformation of Markov Processes and their Applications to Credit Risk Management 2017/04/26-2019/03/31
若手研究 Representative 拡散過程のダイナミクスにおける変化の検出と信用リスク分析への応用 2021/04/01-2023/03/31
Teaching subject(s)
Name(Japanese) Name(English) Term Department Period
グループワーク Group Work 後期 経済学研究科 2019/04-2020/03
外国文献研究(経・英)B-E1 Readings in Humanities and Social Sciences (Economics, English)B-E1 後期 全学共通科目 2019/04-2020/03
ファイナンス工学1 Financial Engineering 1 前期 経済学研究科 2019/04-2020/03
ファイナンス工学 I Financial Engineering I 前期 経営管理教育部 2019/04-2020/03
経営財務 Corporate Finance 前期 経済学部 2019/04-2020/03
グループワーク Group Work 後期 経済学研究科 2020/04-2021/03
入門演習9 Introductory seminar 前期 経済学部 2020/04-2021/03
ファイナンス工学1 Financial Engineering 1 前期 経済学研究科 2020/04-2021/03
ファイナンス工学Ⅰ Financial Engineering I 前期 経営管理教育部 2020/04-2021/03
経営財務 Corporate Finance 前期 経済学部 2020/04-2021/03
グループワーク Group Work 後期 経済学研究科 2021/04-2022/03
入門演習9 Introductory seminar 前期 経済学部 2021/04-2022/03
ファイナンス工学1 Financial Engineering 1 前期 経済学研究科 2021/04-2022/03
ファイナンス工学Ⅰ Financial Engineering I 前期 経営管理教育部 2021/04-2022/03
経営財務 Corporate Finance 前期 経済学部 2021/04-2022/03

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School management (title, position)
Title Period
国際高等教育院 企画評価専門委員会 少人数教育特別部会 委員 2020/04/01-2021/03/31
国際高等教育院 企画評価専門委員会 少人数教育特別部会 委員 2021/04/01-2022/03/31
Faculty management (title, position)
Title Period
学生委員会 委員 2020/04/01-2021/03/31
ハラスメント窓口相談員 2020/04/01-2021/09/30
施設運営委員会 委員 2020/10/01-2021/03/31