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KEVKHISHVILI RUSUDAN  KEVKHISHVILI RUSUDAN

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KEVKHISHVILI Rusudan  KEVKHISHVILI RUSUDAN

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Researcher Number 60896083
Other IDs
Affiliation (Current) 2025: 北海道大学, 経済学研究院, 准教授
Affiliation (based on the past Project Information) *help 2021 – 2024: 京都大学, 経済学研究科, 講師
Review Section/Research Field
Principal Investigator
Basic Section 07060:Money and finance-related
Keywords
Principal Investigator
信用リスク / 株式市場 / 債券市場 / ディーラー / 最終利回り / 株式価値 / 社債価格 / 流動性リスク / 信用力変化 / 最終通過時刻 … More / リスク管理 / アラーム / 検出 / パラメータ変化 / 拡散過程 / 信用力 Less
  • Research Projects

    (2 results)
  • Research Products

    (20 results)
  • Co-Researchers

    (1 People)
  •  An Analysis of Bond Price Formation Process Considering Stock and Bond Market Liquidity RisksPrincipal Investigator

    • Principal Investigator
      KEVKHISHVILI RUSUDAN
    • Project Period (FY)
      2023 – 2025
    • Research Category
      Grant-in-Aid for Early-Career Scientists
    • Review Section
      Basic Section 07060:Money and finance-related
    • Research Institution
      Kyoto University
  •  Detection of Changes in Dynamics of Diffusion Processes with Applications to Credit Risk AnalysisPrincipal Investigator

    • Principal Investigator
      KEVKHISHVILI Rusudan
    • Project Period (FY)
      2021 – 2023
    • Research Category
      Grant-in-Aid for Early-Career Scientists
    • Review Section
      Basic Section 07060:Money and finance-related
    • Research Institution
      Kyoto University

All 2025 2024 2023 2022 2021

All Journal Article Presentation

  • [Journal Article] On decomposition of the last passage time of diffusions2025

    • Author(s)
      Masahiko Egami and Rusudan Kevkhishvili
    • Journal Title

      Stochastic Processes and their Applications

      Volume: 182 Pages: 1-18

    • DOI

      10.1016/j.spa.2025.104563

    • Peer Reviewed / Open Access
    • Data Source
      KAKENHI-PROJECT-23K01467, KAKENHI-PROJECT-23K12501
  • [Journal Article] A new approach to detecting change in credit quality2022

    • Author(s)
      Kevkhishvili Rusudan
    • Journal Title

      Journal of Risk

      Volume: 24 Pages: 51-73

    • DOI

      10.21314/jor.2022.032

    • Peer Reviewed / Open Access
    • Data Source
      KAKENHI-PROJECT-21K13324
  • [Presentation] Decomposition of the Last Passage Time of Diffusions and its Financial Application2025

    • Author(s)
      Rusudan Kevkhishvili
    • Organizer
      Winter Workshop on Operations Research, Finance and Mathematics, 2025
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-23K12501
  • [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2025

    • Author(s)
      Rusudan Kevkhishvili
    • Organizer
      京都大学研究ポスター発表大会「京大100人論文」
    • Data Source
      KAKENHI-PROJECT-23K12501
  • [Presentation] On Decomposition of the Last Passage Time of Diffusions and its Financial Application2024

    • Author(s)
      Rusudan Kevkhishvili
    • Organizer
      TMU Workshop on Finance 2024
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-23K12501
  • [Presentation] Post-Last Exit Time Process and its Application to Loss-Given-Default Distribution2024

    • Author(s)
      Rusudan Kevkhishvili
    • Organizer
      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(大阪大学)
    • Invited
    • Data Source
      KAKENHI-PROJECT-23K12501
  • [Presentation] Post-Last Exit Time Process and its Application to Loss-Given-Default Distribution2024

    • Author(s)
      Rusudan Kevkhishvili
    • Organizer
      Modeling and Learning of Stochastic Dynamics (RIMS Symposium)
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-23K12501
  • [Presentation] A Forward-Looking Measure of Credit Risk2024

    • Author(s)
      Kevkhishvili Rusudan
    • Organizer
      第60回 2023年度冬季 JAFEE(日本金融・証券計量・工学学会)大会
    • Data Source
      KAKENHI-PROJECT-21K13324
  • [Presentation] Post-Last Exit Time Process and its Application to Loss-Given-Default Distribution2024

    • Author(s)
      Rusudan Kevkhishvili
    • Organizer
      International Workshop on Sustainable Finance and Related Issues
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-23K12501
  • [Presentation] A Forward-Looking Measure of Credit Risk2024

    • Author(s)
      Kevkhishvili Rusudan
    • Organizer
      第60回 2023年度冬季 JAFEE(日本金融・証券計量・工学学会)大会
    • Data Source
      KAKENHI-PROJECT-23K12501
  • [Presentation] Post-Last Exit Time Process and its Application to Loss-Given-Default Distribution2024

    • Author(s)
      Rusudan Kevkhishvili
    • Organizer
      FMA2024 Workshop on Financial Modeling and Analysis
    • Data Source
      KAKENHI-PROJECT-23K12501
  • [Presentation] Decomposition of the Last Passage Time of Diffusions and its Financial Application2024

    • Author(s)
      Rusudan Kevkhishvili
    • Organizer
      金融工学・数理計量ファイナンスの諸問題 2024(中之島ワークショップ)
    • Invited
    • Data Source
      KAKENHI-PROJECT-23K12501
  • [Presentation] A New Approach to Estimating Loss-Given-Default Distribution2023

    • Author(s)
      Kevkhishvili Rusudan
    • Organizer
      第58回(2022年度冬季)JAFEE(日本金融・証券計量・工学学会)大会
    • Data Source
      KAKENHI-PROJECT-21K13324
  • [Presentation] On Decomposition of the Last Passage Time of Diffusions2023

    • Author(s)
      Kevkhishvili Rusudan
    • Organizer
      SIAM Conference on Financial Mathematics and Engineering (FM23)
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-21K13324
  • [Presentation] A Forward-Looking Measure of Credit Risk2023

    • Author(s)
      Kevkhishvili Rusudan
    • Organizer
      日本ファイナンス学会第5回秋季研究大会
    • Data Source
      KAKENHI-PROJECT-23K12501
  • [Presentation] A Forward-Looking Measure of Credit Risk2023

    • Author(s)
      Kevkhishvili Rusudan
    • Organizer
      日本ファイナンス学会第5回秋季研究大会
    • Data Source
      KAKENHI-PROJECT-21K13324
  • [Presentation] Last Passage Time and its Applications in Risk Management2023

    • Author(s)
      Kevkhishvili Rusudan
    • Organizer
      The 10th International Congress on Industrial and Applied Mathematics ICIAM 2023
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-21K13324
  • [Presentation] 拡散過程の最終通過時刻とデフォルト時損失率の分布2023

    • Author(s)
      Kevkhishvili Rusudan
    • Organizer
      日本オペレーションズ・リサーチ学会2023年春季研究発表会
    • Data Source
      KAKENHI-PROJECT-21K13324
  • [Presentation] A New Approach to Detecting Change in Credit Quality2022

    • Author(s)
      Rusudan Kevkhishvili
    • Organizer
      日本ファイナンス学会第30回記念大会
    • Data Source
      KAKENHI-PROJECT-21K13324
  • [Presentation] A New Approach to Estimating Loss-Given-Default Distribution2021

    • Author(s)
      Rusudan Kevkhishvili
    • Organizer
      SIAM Conference on Financial Mathematics and Engineering (FM21)
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-21K13324
  • 1.  EGAMI Masahiko
    # of Collaborated Projects: 0 results
    # of Collaborated Products: 1 results

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