Rusudan Kevkhishvili
Associate Professor
Faculty of Economics and Business, Hokkaido University
Kita9 Nishi7, Kita-ku, Sapporo 060-0809, Japan
Nationality: Georgia (country profile by World Bank)
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 2025 - Present Faculty of Economics and Business, Hokkaido University, Associate Professor.
Apr 2022 - Mar 2025 Graduate School of Economics, Kyoto University, Senior Lecturer.
Apr 2019 - Mar 2022 Graduate School of Economics, Kyoto University, Senior Lecturer.
Teaching
Graduate
Special Study of Management Science A: Spring Semester 2025 (Graduate School of Economics and Business, Hokkaido University)
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
On Decomposition of the Last Passage Time of Diffusions (with M. Egami)
Stochastic Processes and their Applications 182, 104563, 2025. [Open Access]
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]
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 *)
*Winter Workshop on Operations Research, Finance and Mathematics, 2025, Otaru City, Hokkaido, February 20, 2025.
*Nakanoshima Workshop: Problems in Financial Engineering and Mathematical/ Quantitative Finance 2024, Center for Mathematical Modeling and Data Science, Osaka University, November 29, 2024.
*TMU Workshop on Finance 2024, Tokyo Metropolitan University, September 26, 2024.
FMA2024 Workshop on Financial Modeling and Analysis, RIMS, Kyoto University, September 5, 2024.
*Modeling and Learning of Stochastic Dynamics, RIMS, Kyoto University, July 11, 2024.
*International Workshop on Sustainable Finance and Related Issues, Miyakojima, July 6, 2024.
*Mathematical Modeling and Data Science Seminar, 145th Finance and Insurance Seminar Series, Osaka University, May 30, 2024.
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.