Basic Information

Faculty

• 経済学部

Professional Memberships

• From Dec. 2022, To Present

  Japanese Association of Financial Econometrics and Engineering (JAFEE)
• From Jan. 2021, To Dec. 2024

  Society for Industrial and Applied Mathematics (SIAM)
• From May 2017, To Present

  Nippon Finance Association

Academic Degree

• 修士（経済学）(京都大学)
• 博士（経済学）(京都大学)

Academic Resume (Graduate Schools)

• 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

• High School

  Tbilisi Public School №51

Research History

• From Apr. 2019, To Mar. 2022

  Kyoto University, Graduate School of Economics, Senior Lecturer
• From Apr. 2022, To Present

  Kyoto University, Graduate School of Economics, Senior Lecturer (Tenure-track)

Language of Instruction

• Japanese
• English
• Georgian
• Russian

ID,URL

• ORCID ID

  0000-0003-4568-0081

• J-Global ID

  201901003856279140

• External link

  https://www.kevkhishvili.com/

Website(s) (URL(s))

• https://www.kevkhishvili.com/

researchmap URL

• https://researchmap.jp/rusudan

Research

Research Topics, Overview of the research

• Research Topics

  Credit and liquidity risk modeling and derivative pricing using stochastic processes (mainly Markov processes)

• Overview of the research

  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 and liquidity risk management methods and topics related to company defaults by conducting further theoretical research regarding Markov processes.

Research Interests

• liquidity risk
• diffusion processes
• Financial Engineering
• Credit Risk
• Stochastic Processes
• Derivative Security Pricing

Research Areas

• Natural sciences, Applied mathematics and statistics, Markov Processes, Diffusion
• Humanities & social sciences, Money and finance, Financial Engineering, Credit Risk, Derivative Security Pricing

Papers

• On decomposition of the last passage time of diffusions

  Masahiko Egami; Rusudan Kevkhishvili

  Stochastic Processes and their Applications, Apr. 2025, Peer-reviewed

  
• A new approach to detecting change in credit quality

  Rusudan Kevkhishvili

  Journal of Risk, 12 Jul. 2022, Peer-reviewed

  Access this paper :

  
• Time reversal and last passage time of diffusions with applications to credit risk management

  Masahiko Egami; Rusudan Kevkhishvili

  Finance and Stochastics, 18 May 2020, Peer-reviewed

  
• A direct solution method for pricing options in regime‐switching models

  Masahiko Egami; Rusudan Kevkhishvili

  Mathematical Finance, Apr. 2020, Peer-reviewed

  
• An analysis of simultaneous company defaults using a shot noise process

  Masahiko Egami; Rusudan Kevkhishvili

  JOURNAL OF BANKING & FINANCE, Jul. 2017, Peer-reviewed

  

Misc.

• A Forward-Looking Measure of Credit Risk

  Masahiko Egami; Rusudan Kevkhishvili

  SSRN Electronic Journal, Jun. 2023

  
• Post-Last Exit Time Process and its Application to Loss-Given-Default Distribution

  Masahiko Egami; Rusudan Kevkhishvili

  Mar. 2024

  
• 信用リスクの研究におけるノイズ

  Rusudan Kevkhishvili

  ACADEMIC GROOVE Vol.1 SIGNAL−Humanities and Social Sciences, Nov. 2019, Lead author

  

Presentations

• Decomposition of the Last Passage Time of Diffusions and its Financial Application

  Rusudan Kevkhishvili

  Nakanoshima Workshop: Problems in Financial Engineering and Mathematical/ Quantitative Finance 2024, 29 Nov. 2024, Center for Mathematical Modeling and Data Science,Osaka University, Invited

  
• On Decomposition of the Last Passage Time of Diffusions and its Financial Application

  Rusudan Kevkhishvili

  TMU Workshop on Finance 2024, 26 Sep. 2024, Research Center for Quantitative Finance, Tokyo Metropolitan University, Invited

  
• Post-Last Exit Time Process and its Application to Loss-Given-Default Distribution

  Rusudan Kevkhishvili

  FMA2024 Workshop on Financial Modeling and Analysis, 05 Sep. 2024

  
• Post-Last Exit Time Process and its Application to Loss-Given-Default Distribution

  Kevkhishvili Rusudan

  Modeling and Learning of Stochastic Dynamics, RIMS Symposium, 11 Jul. 2024, Research Institute for Mathematical Sciences (RIMS), Kyoto University, Invited

  
• Post-Last Exit Time Process and its Application to Loss-Given-Default Distribution

  Kevkhishvili Rusudan

  International Workshop on Sustainable Finance and Related Issues, 06 Jul. 2024, KIER (Kyoto University) and Research Center for Quantitative Finance (Tokyo Metropolitan University), Invited

  
• Post-Last Exit Time Process and its Application to Loss-Given-Default Distribution

  Rusudan Kevkhishvili

  大阪大学 数理・データ科学セミナー 金融・保険セミナーシリーズ 第145回, 30 May 2024, Center for Mathematical Modeling and Data Science (MMDS), Osaka University, Invited

  
• A Forward-Looking Measure of Credit Risk

  Rusudan Kevkhishvili

  Japanese Association of Financial Econometrics and Engineering (JAFEE) 60th Conference (2023 Winter Meeting), 17 Feb. 2024, Japanese Association of Financial Econometrics and Engineering (JAFEE)

  
• A Forward-Looking Measure of Credit Risk

  KEVKHISHVILI RUSUDAN

  Nippon Finance Association 5th Fall Conference, 11 Nov. 2023, Nippon Finance Association

  
• Last Passage Time and its Applications in Risk Management

  KEVKHISHVILI RUSUDAN

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

  
• On Decomposition of the Last Passage Time of Diffusions

  Rusudan Kevkhishvili

  SIAM Conference on Financial Mathematics and Engineering (FM23), 06 Jun. 2023, SIAM Activity Group on Financial Mathematics and Engineering

  
• Last Passage Time of Diffusions and Loss-given-Default Distribution

  KEVKHISHVILI RUSUDAN

  The 2023 Spring National Conference of Operations Research Society of Japan, 08 Mar. 2023, Operations Research Society of Japan

  
• A New Approach to Estimating Loss-Given-Default Distribution

  Rusudan Kevkhishvili

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

  
• A New Approach to Detecting Change in Credit Quality

  Rusudan Kevkhishvili

  Nippon Finance Association The 30th Anniversary Annual Conference, 05 Jun. 2022, Nippon Finance Association

  
• A New Approach to Estimating Loss-Given-Default Distribution

  ケヴヘイッシュウィリ ルースダン

  SIAM Conference on Financial Mathematics and Engineering (FM21), 02 Jun. 2021, SIAM Activity Group on Financial Mathematics and Engineering

  
• A New Approach to Estimating Loss-Given-Default Distribution

  RUSUDAN KEVKHISHVILI

  NFA 2nd Fall Conference, 05 Dec. 2020, 日本ファイナンス学会

  
• Analysis of CDS Spread Fluctuations with an Application to the Negative Basis Arbitrage

  Rusudan Kevkhishvili

  The 28th NFA Annual Conference, 13 Jun. 2020, Nippon Finance Association

  
• Analysis of CDS Spread Fluctuations with an Application to the Negative Basis Arbitrage

  Rusudan Kevkhishvili

  「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, 29 Nov. 2019, 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, Invited

  
• Analysis of CDS Spread Fluctuations with an Application to the Negative Basis Arbitrage

  Rusudan Kevkhishvili

  TMU Workshop on Finance 2019, 25 Sep. 2019, Tokyo Metropolitan University Research Center for Quantitative Finance, Invited

  
• 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

  Rusudan Kevkhishvili

  Workshop on Recent Developments in Econometric Theory and Its Applications 2019, 05 Mar. 2019

  
• On the Optimal Stopping Problem of Linear Diffusions in Regime-switching Models

  Rusudan Kevkhishvili

  The 30th Asian Finance Association Annual Meeting, 26 Jun. 2018, Asian Finance Association

  
• On the Optimal Stopping Problem of Linear Diffusions in Regime-switching Models

  Rusudan Kevkhishvili

  The 40th Conference on Stochastic Processes and their Applications-SPA 2018, 12 Jun. 2018

  
• An Application of Time Reversal to Credit Risk Management

  Rusudan Kevkhishvili

  TMU Workshop on Finance 2017, 29 Aug. 2017, Research Center for Quantitative Finance, Tokyo Metropolitan University

  
• An Application of Time Reversal to Credit Risk Management

  Rusudan Kevkhishvili

  Mathematical Finance Seminar, Department of Mathematical Sciences, Ritsumeikan University, 24 Aug. 2017, 立命館大学数理科学科, Invited

  
• An Application of Time Reversal to Credit Risk Management

  Rusudan Kevkhishvili

  International Conference on Financial Risks and Uncertainties 2017, 17 Jun. 2017

  
• An Analysis of Simultaneous Company Defaults Using a Shot Noise Process

  Rusudan Kevkhishvili

  Nippon Finance Association 25th Annual Conference, 03 Jun. 2017

  

Awards

• 25 Mar. 2014

  Kyoto University, Faculty of Economics Outstanding Undergraduate Thesis Award
• 23 Mar. 2016

  Kyoto University, Graduate School of Economics Outstanding Master Thesis Award

External funds: Kakenhi

• Detection of Changes in Dynamics of Diffusion Processes with Applications to Credit Risk Analysis

  Grant-in-Aid for Early-Career Scientists

  Basic Section 07060:Money and finance-related

  Kyoto University

  KEVKHISHVILI RUSUDAN

  From 01 Apr. 2021, To 31 Mar. 2024, Granted

  信用リスク;拡散過程;最終通過時刻;パラメータ変化;検出;リスク管理;信用力;信用力変化;アラーム

  https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-21K13324/
• An Analysis of Bond Price Formation Process Considering Stock and Bond Market Liquidity Risks

  Grant-in-Aid for Early-Career Scientists

  Basic Section 07060:Money and finance-related

  Kyoto University

  KEVKHISHVILI RUSUDAN

  From 01 Apr. 2023, To 31 Mar. 2026, Granted

  流動性リスク;社債価格;最終利回り;ディーラー;信用リスク

  https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-23K12501/

Education

Teaching subject(s)

• From 01 Apr. 2024, To 31 Mar. 2025

  Financial Engineering I

  6221, Spring, Graduate School of Management, 2
• From 01 Apr. 2024, To 31 Mar. 2025

  Group Work

  A104, Fall, Graduate School of Economics, 2
• From 01 Apr. 2024, To 31 Mar. 2025

  Financial Engineering 1

  A530, Spring, Graduate School of Economics, 2
• From 01 Apr. 2024, To 31 Mar. 2025

  Financial Engineering

  6179, Spring, Faculty of Economics, 2
• From 01 Apr. 2024, To 31 Mar. 2025

  Readings in Humanities and Social Sciences (Economics, English)A-E1

  HA08, Spring, Institute for Liberal Arts and Sciences, 2
• From 01 Apr. 2023, To 31 Mar. 2024

  Financial Engineering 1

  A530, Spring, Graduate School of Economics, 2
• From 01 Apr. 2023, To 31 Mar. 2024

  Group Work

  A104, Fall, Graduate School of Economics, 2
• From 01 Apr. 2023, To 31 Mar. 2024

  Derivative Securities

  6178, Fall, Faculty of Economics, 2
• From 01 Apr. 2023, To 31 Mar. 2024

  Financial Engineering I

  6221, Spring, Graduate School of Management, 2
• From 01 Apr. 2023, To 31 Mar. 2024

  Readings in Humanities and Social Sciences (Economics, English)B-E1

  HA09, Fall, Institute for Liberal Arts and Sciences, 2
• From 01 Apr. 2022, To 31 Mar. 2023

  Corporate Finance

  6110, Spring, Faculty of Economics, 2
• From 01 Apr. 2022, To 31 Mar. 2023

  Group Work

  A104, Fall, Graduate School of Economics, 2
• From 01 Apr. 2022, To 31 Mar. 2023

  Financial Engineering 1

  A530, Spring, Graduate School of Economics, 2
• From 01 Apr. 2022, To 31 Mar. 2023

  Readings in Humanities and Social Sciences (Economics, English)A-E1

  HA08, Spring, Institute for Liberal Arts and Sciences, 2
• From 01 Apr. 2022, To 31 Mar. 2023

  Financial Engineering I

  6221, Spring, Graduate School of Management, 2
• From Apr. 2019, To Mar. 2020

  Group Work

  Fall, 経済学研究科
• From Apr. 2019, To Mar. 2020

  Readings in Humanities and Social Sciences (Economics, English)B-E1

  Fall, 全学共通科目
• From Apr. 2019, To Mar. 2020

  Financial Engineering 1

  Spring, 経済学研究科
• From Apr. 2019, To Mar. 2020

  Financial Engineering I

  Spring, 経営管理教育部
• From Apr. 2019, To Mar. 2020

  Corporate Finance

  Spring, 経済学部
• From Apr. 2020, To Mar. 2021

  Group Work

  Fall, 経済学研究科
• From Apr. 2020, To Mar. 2021

  Introductory seminar

  Spring, 経済学部
• From Apr. 2020, To Mar. 2021

  Financial Engineering 1

  Spring, 経済学研究科
• From Apr. 2020, To Mar. 2021

  Financial Engineering I

  Spring, 経営管理教育部
• From Apr. 2020, To Mar. 2021

  Corporate Finance

  Spring, 経済学部
• From Apr. 2021, To Mar. 2022

  Group Work

  Fall, 経済学研究科
• From Apr. 2021, To Mar. 2022

  Introductory seminar

  Spring, 経済学部
• From Apr. 2021, To Mar. 2022

  Financial Engineering 1

  Spring, 経済学研究科
• From Apr. 2021, To Mar. 2022

  Financial Engineering I

  Spring, 経営管理教育部
• From Apr. 2021, To Mar. 2022

  Corporate Finance

  Spring, 経済学部

Administration

School management (title, position)

• From 01 Apr. 2024, To 31 Mar. 2025

  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
• From 01 Apr. 2023, To 31 Mar. 2024

  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
• From 01 Apr. 2022, To 31 Mar. 2023

  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
• From 01 Apr. 2020, To 31 Mar. 2021

  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
• From 01 Apr. 2021, To 31 Mar. 2022

  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

Faculty management (title, position)

• From 01 Apr. 2022, To 31 Mar. 2023

  経済学研究科 教科委員会 委員

Academic, Social Contribution

Committee Memberships

• From Aug. 2023, To Present

  国際担当理事, 日本金融・証券計量・工学学会 (JAFEE)

Academic Contribution

• Academic Journal with Dialogue "TOI TOU TOI" Vol.0

  Peer review

  Center for the Promotion of Interdisciplinary Education and Research, Kyoto University

  

Social Contribution

• 女子高生・車座フォーラム2024

  Lecturer

  Kyoto University, 女子高生・車座フォーラム2024, From 01 Dec. 2024, To 01 Dec. 2024

  
• ファイナンス工学の手法を用いたリ スク管理

  Lecturer

  Kyoto University Executive Leadership Program (ELP), 若手研究者交流会, 京都大学橘会館, From 16 Nov. 2024, To 16 Nov. 2024

  
• 27th Women's Federation for World Peace Japan (WFWP) Foreign Students’ Japanese Speech Contest of Osaka City・Judge

  Other

  Women’s Federation For World Peace, 27th Women's Federation for World Peace Japan (WFWP) Foreign Students’ Japanese Speech Contest of Osaka City, Osaka, From 13 Jul. 2024, To 13 Jul. 2024

  
• WFWP 国際協力シンポジウム ～国際平和デーによせて～

  Panelist

  世界平和女性連合(WFWP), 「考えよう 地球は一つの家族」, From 21 Oct. 2023, To 21 Oct. 2023

  
• WFWP Women's Forum Osaka

  Commentator

  Women's Federation for World Peace Japan (WFWP), 国際平和デーによせて「アフガンに命の水を」, From 23 Sep. 2023, To 23 Sep. 2023

  
• 2023 Women's Federation for World Peace Japan (WFWP) Foreign Students’ Japanese Speech Contest・Judge

  Other

  Women's Federation for World Peace Japan (WFWP), 第２６回 WFWP女子留学生日本語弁論大阪市大会, From 22 Jul. 2023, To 22 Jul. 2023