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Kevkhishvili Rusudan

Faculty of Economics and Business　Modern Economics and Management　Management AnalysisAssociate Professor

Researcher basic information

■ Degree
  • 博士（経済学）, Kyoto University, Mar. 2019
■ URL
researchmap URLホームページURL■ Various IDs
ORCID IDJ-Global ID■ Research Keywords and Fields
Research Keyword
  • Mathematical Finance
  • Financial Engineering
  • Credit Risk
  • liquidity risk
  • Stochastic Processes
  • diffusion processes
  • Derivative Security Pricing
Research Field
  • Humanities & Social Sciences, Money and finance, Mathematical Finance, Financial Engineering, Credit Risk, Liquidity Risk, Derivative Security Pricing
  • Natural Science, Applied mathematics and statistics, Markov Processes, Diffusion
■ Educational Organization

Career

■ Career
Career
  • Apr. 2025 - Present
    Hokkaido University, Faculty of Economics and Business, Associate Professor, Japan
  • Apr. 2022 - Mar. 2025
    Kyoto University, Graduate School of Economics, Senior Lecturer, Japan
  • Apr. 2019 - Mar. 2022
    Kyoto University, Graduate School of Economics, Senior Lecturer, Japan
Educational Background
  • Apr. 2016 - Mar. 2019, Kyoto University, Graduate School of Economics, Division of Economics, Doctor of Economics, Japan
  • Apr. 2014 - Mar. 2016, Kyoto University, Graduate School of Economics, Division of Economics, Master of Economics, Japan
  • Apr. 2010 - Mar. 2014, Kyoto University, Faculty of Economics, Department of Economics and Management, Bachelor of Economics, Japan
Committee Memberships
  • Apr. 2025 - Present
    The Operations Research Society of Japan, Hokkaido Branch Management Committee
  • Aug. 2023 - Present
    日本金融・証券計量・工学学会 (JAFEE), 国際担当理事, Others

Research activity information

■ Awards
  • Mar. 2016, Graduate School of Economics, Kyoto University, Excellent Master's Thesis Award
  • Mar. 2014, Faculty of Economics, Kyoto University, Excellent Undergraduate Thesis Award
■ Papers
■ Other Activities and Achievements
■ Lectures, oral presentations, etc.
  • Company Risk Assessment with Joint Analysis of Credit and Liquidity Risks
    Rusudan Kevkhishvili
    Winter Workshop on Operations Research, Finance and Mathematics, 2026, 23 Feb. 2026, Research Center for Quantitative Finance (Tokyo Metropolitan University), The Operations Research Society of Japan (Hokkaido Branch), English, Oral presentation
    19 Feb. 2026 - 23 Feb. 2026, Otaru City, Hokkaido, Japan, 42719423, [Invited], [International presentation]
  • Company Risk Assessment with Joint Analysis of Credit and Liquidity Risks
    Rusudan Kevkhishvili
    Joint Finance Conference of Hiroshima University of Economics and Tokyo Metropolitan University, 11 Jan. 2026, Research Center for Quantitative Finance, Tokyo Metropolitan University, Oral presentation
    11 Jan. 2026 - 12 Jan. 2026, Hiroshima, Japan, 42719423, [Invited], [Domestic Conference]
  • Company Risk Assessment with Joint Analysis of Credit and Liquidity Risks
    Rusudan Kevkhishvili
    UQ-Osaka Workshop on Financial Mathematics and Economics, 02 Oct. 2025, UQ Global Partnerships and the School of Mathematics and Physics (University of Queensland), Graduate School of Engineering Science (University of Osaka), English, Oral presentation
    29 Sep. 2025 - 03 Oct. 2025, University of Queensland, St Lucia Campus, Australia, 42719423, [Invited], [International presentation]
  • Company Risk Assessment with Explicit Consideration of Equity Market Liquidity Risk
    Rusudan Kevkhishvili
    The Operations Research Society of Japan Hokkaido Branch Research Meeting, 06 Aug. 2025, The Operations Research Society of Japan Hokkaido Branch, Oral presentation
    06 Aug. 2025 - 06 Aug. 2025, Nemuro City, Hokkaido, Japan, 42719423, [Invited]
  • Company Risk Assessment with Explicit Consideration of Equity Market Liquidity Risk
    Rusudan Kevkhishvili
    International Workshop on Quantitative Finance 2025, 05 Jul. 2025, Research Center for Quantitative Finance, Tokyo Metropolitan University, English, Oral presentation
    05 Jul. 2025 - 06 Jul. 2025, Ishigaki City, Okinawa, Japan, 42719423, [Invited], [International presentation]
  • Analysis of liquidity risk and credit risk using financial engineering techniques
    Rusudan Kevkhishvili
    The Operations Research Society of Japan Hokkaido Branch Research Meeting, 27 Jun. 2025, The Operations Research Society of Japan Hokkaido Branch, Japanese, Oral presentation
    27 Jun. 2025 - 27 Jun. 2025, Otaru University of Commerce Sapporo Satellite, Japan, [Invited], [Domestic Conference]
  • ファイナンス工学の手法を用いた信用リスク分析
    Rusudan Kevkhishvili
    Securities Research Seminar (Osaka Institute), 12 Apr. 2025, Japan Securities Research Institute (JSRI), Japanese, Public discourse
    Japan
  • Decomposition of the Last Passage Time of Diffusions and its Financial Application
    Rusudan Kevkhishvili
    Winter Workshop on Operations Research, Finance and Mathematics, 2025, 20 Feb. 2025, Research Center for Quantitative Finance, Tokyo Metropolitan University; The Operations Research Society of Japan, Hokkaido Branch, English, Oral presentation
    19 Feb. 2025 - 23 Feb. 2025, Otaru City, Hokkaido, Japan, [Invited], [International presentation]
  • 不確実性のモデリングとデータ分析を用いたリスク管理
    Rusudan Kevkhishvili
    Kyodai 100 Person Paper, Jan. 2025, Center for the Promotion of Interdisciplinary Education and Research, Kyoto University, Japanese, Poster presentation
    27 Jan. 2025 - 31 Jan. 2025, Kyoto University, Japan
  • 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, Oral presentation
    29 Nov. 2024 - 29 Nov. 2024, Osaka University Nakanoshima Center, Japan, [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, Oral presentation
    26 Sep. 2024 - 27 Sep. 2024, Tokyo, Japan, [Invited], [International presentation]
  • 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, Oral presentation
    04 Sep. 2024 - 06 Sep. 2024, Research Institute for Mathematical Sciences, Kyoto University, Japan
  • 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, Oral presentation
    09 Jul. 2024 - 12 Jul. 2024, Kyoto University, Japan, [Invited], [International presentation]
  • 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), Oral presentation
    06 Jul. 2024 - 07 Jul. 2024, Miyakojima, Japan, [Invited], [International presentation]
  • 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, Public discourse
    30 May 2024 - 30 May 2024, Osaka University, Japan, 42719423, [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), Oral presentation
    17 Feb. 2024 - 18 Feb. 2024, The University of Tokyo, Japan, 42719423
  • A Forward-Looking Measure of Credit Risk
    KEVKHISHVILI RUSUDAN
    Nippon Finance Association 5th Fall Conference, 11 Nov. 2023, Nippon Finance Association, English, Oral presentation
    11 Nov. 2023 - 11 Nov. 2023, Virtual, 42719423;32568252
  • Last Passage Time and its Applications in Risk Management
    KEVKHISHVILI RUSUDAN
    The 10th International Congress on Industrial and Applied Mathematics (ICIAM2023), 21 Aug. 2023, English, Invited oral presentation
    20 Aug. 2023 - 25 Aug. 2023, Tokyo, Japan, [International presentation]
  • 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, English, Poster presentation
    06 Jun. 2023 - 09 Jun. 2023, Philadelphia, United States, 32568252, [International presentation]
  • 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, Japanese, Oral presentation
    07 Mar. 2023 - 08 Mar. 2023, Chuo University, Japan, 32568252
  • 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, Oral presentation
    18 Feb. 2023 - 19 Feb. 2023, Tohoku University, Japan, 32568252
  • 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, Oral presentation
    Aoyama Gakuin University, Japan, 32568252
  • 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, English, Oral presentation
    [International presentation]
  • 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, English, Oral presentation
    05 Dec. 2020 - 05 Dec. 2020
  • 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, English, Oral presentation
    13 Jun. 2020 - 14 Jun. 2020
  • 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, Japanese, Invited oral presentation
    28 Nov. 2019 - 29 Nov. 2019, [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, English, Invited oral presentation
    25 Sep. 2019 - 25 Sep. 2019, [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, Japanese, Oral presentation
    Institute of Economic Research, Kyoto University, [Domestic Conference]
  • 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, English, Oral presentation
    [International presentation]
  • 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, English, Oral presentation
    [International presentation]
  • 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, English, Oral presentation
    Tokyo Metropolitan University, [International presentation]
  • 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, Japanese, Public discourse
    [Invited], [Domestic Conference]
  • An Application of Time Reversal to Credit Risk Management
    Rusudan Kevkhishvili
    International Conference on Financial Risks and Uncertainties 2017, 17 Jun. 2017, English, Oral presentation
    Ohama Nobumoto memorial hall in Ishigaki-shi, Okinawa, [International presentation]
  • An Analysis of Simultaneous Company Defaults Using a Shot Noise Process
    Rusudan Kevkhishvili
    Nippon Finance Association 25th Annual Conference, 03 Jun. 2017, Japanese, Oral presentation
    [Domestic Conference]
■ Affiliated academic society
  • Apr. 2025 - Present
    The Operations Research Society of Japan
  • Dec. 2022 - Present
    Japanese Association of Financial Econometrics and Engineering (JAFEE)
  • May 2017 - Present
    Nippon Finance Association
  • Jan. 2021 - Dec. 2024
    Society for Industrial and Applied Mathematics (SIAM)
■ Research Themes
  • An Analysis of Bond Price Formation Process Considering Stock and Bond Market Liquidity Risks
    KAKENHI
    Apr. 2023 - Mar. 2026
    KEVKHISHVILI RUSUDAN
    Japan Society for the Promotion of Science, Grant-in-Aid for Early-Career Scientists, Kyoto University, Principal investigator, 23K12501
  • Detection of Changes in Dynamics of Diffusion Processes with Applications to Credit Risk Analysis
    Grants-in-Aid for Scientific Research Grant-in-Aid for Early-Career Scientists
    Apr. 2021 - Mar. 2023
    KEVKHISHVILI RUSUDAN
    研究実施計画通り、(1) 企業の信用力（具体的には、自己資本と負債の関係）を表す拡散過程のダイナミクスにおける変化を検出するモデルと(2)そのパラメータ推定方法の研究を行った。企業の信用力は債務の返済能力を表し、信用力の変化を検出することは信用リスク管理の上で重要な課題である。本研究では、観察不可能な変数を導入せずに、観測可能なデータと明確な関係をもつメカニズムで拡散過程のパラメータが変化するモデルを考案した。また、市場データや財務諸表に基づく計算負荷の小さいパラメータ推定方法を確立した。


    第一に、業歴の長い大企業の信用力変化を長期的なプロセスとしてモデリングし、信用力を表す拡散過程が長期均衡水準を上回る回数に応じて均衡水準自体が変化する内生的メカニズムを構築した。本メカニズムによって、信用力変化時点の検出及び均衡水準の変化がもたらす信用力変化の数値化は可能である。本研究の成果をまとめた論文は日本ファイナンス学会第30回記念大会の発表論文として受理された。


    更に、企業の発行済株式の真の価値と時価総額を分けて扱い、後者の変動を記述する拡散過程のパラメータが観察可能な市場環境に応じて（市場参加者の行動に基づく明確なメカニズムで）変化するモデルを構築した。本モデルを用いて、発行済株式の真の価値の分布を導出し、市場データに基づくパラメータ推定方法を考案した。本モデルは市場参加者の行動を考慮した上で企業の内在的財務状況を捉えており、自己資本の真の価値の変化を検出することによって信用力の変化を検出する方法を提供している。
    Japan Society for the Promotion of Science, Grant-in-Aid for Early-Career Scientists, Kyoto University, Principal investigator, 21K13324
  • A Study of Approximation and Transformation of Markov Processes and their Applications to Credit Risk Management
    Grants-in-Aid for Scientific Research Grant-in-Aid for JSPS Fellows
    Apr. 2017 - Mar. 2019
    KEVKHISHVILI RUSUDAN
    市場でquoteされているCDSスプレッドの動きを説明しうる新しい指標（EMS）を考案した。デフォルト相関を考慮する本指標は前年度の同時デフォルト確率モデル（前年度〔雑誌論文〕参照）に基づいて作成した。2008-2009年の工業用マテリアル業界の三社を分析した結果、EMSにより20日又は30日先のCDSスプレッドの動きを事前に説明できることが判明した。2008年のリーマンショックのような危機的状況を早い段階で察知するモデルは、実務上非常に重要であり、本研究はこの点に貢献できると考えられる。更に、2014－2016年において異なる業界の二社を分析し、EMSはCDSスプレッドの動き（上昇又は減少）に対して先見性をもつことが確認できた。


    マルコフ転換を含む最適停止問題の一般的な確率的解法を与える前年度の研究を発展させた（備考論文1参照）。特に、先行研究で使われる“guess and verify”方法（問題の解を構成してからその最適性を証明する方法であり、応用範囲が限られている）を使わずに、最適停止問題を解く一般的な手順を確立した。本研究をまとめた論文は2019年1月にMathematical Finance（査読付学術誌）に受理された。


    企業の資産価値が安全レベルから逸脱し、デフォルトへ向かう状況の分析ツールを提供する前年度の研究の実証分析を発展させた（備考論文2参照）。具体的には、クレジットリスクの高い領域とそうでない領域の境界点の最終通過時刻に関する情報がクレジットリスク管理の上で有益であることを詳しく示した。特に、財務状況が悪化した状況において、デフォルト確率が短期的に下がった場合でも、最終通過時刻の分布は高いリスクの存在を示唆できることが判明した。このように、本研究の分析ツールを用いて、企業はより正確にリスクを把握し、債務超過を回避できる可能性が高まると期待される。
    Japan Society for the Promotion of Science, Grant-in-Aid for JSPS Fellows, Kyoto University, 17J06948
■ Academic and Social Contribution Activities/Other
Industrial Property RightsSocial Contribution Activities
  • 燃料価格デザイン等検討委員会委員
    25 Dec. 2025 - 31 Mar. 2026
    Informant
    札幌市水素・再生可能エネルギー推進協議会事務局
  • 「北海道経済を活性化させるためのプラン」プレゼン発表会審査員
    20 Nov. 2025 - 20 Nov. 2025
    Commentator, Others
    北海道大学経済学部同窓会
    北海道経済を活性化させるためのプラン
    北海道大学
    College students
  • ジョージアの今、政権交代と世代間格差、ロシアとの関係
    28 Jan. 2025 - 28 Jan. 2025
    Lecturer
    公益財団法人京都SKYセンター
    ハートピア京都
    General, Civic organization
  • 女子高生・車座フォーラム2024
    01 Dec. 2024 - 01 Dec. 2024
    Lecturer
    Kyoto University
    女子高生・車座フォーラム2024
    High school students
    京都大学を目指す女子高校生を対象にしたフォーラム
  • ファイナンス工学の手法を用いたリ スク管理
    16 Nov. 2024 - 16 Nov. 2024
    Lecturer
    Kyoto University Executive Leadership Program (ELP)
    若手研究者交流会
    京都大学橘会館
    Researchers, General
  • 27th Women's Federation for World Peace Japan (WFWP) Foreign Students’ Japanese Speech Contest of Osaka City・Judge
    13 Jul. 2024 - 13 Jul. 2024
    Others
    Women’s Federation For World Peace
    27th Women's Federation for World Peace Japan (WFWP) Foreign Students’ Japanese Speech Contest of Osaka City
    Osaka
  • WFWP 国際協力シンポジウム ～国際平和デーによせて～
    21 Oct. 2023 - 21 Oct. 2023
    Panelist
    世界平和女性連合(WFWP)
    「考えよう 地球は一つの家族」
  • WFWP Women's Forum Osaka
    23 Sep. 2023 - 23 Sep. 2023
    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」
  • 2023 Women's Federation for World Peace Japan (WFWP) Foreign Students’ Japanese Speech Contest・Judge
    22 Jul. 2023 - 22 Jul. 2023
    Others
    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