Professional Experience

• • Senior Economist

    Board of Governors of the Federal Reserve System

  • 2009 - present

• • Senior Quantitative Finance Analyst

    Bank of America

  • 2005 - 2009

• • Quantitative Analyst

    KeyBank

  • 2000 - 2005

Publications

• Pykhtin, Michael (2012). "Model Foundations of the Basel III Standardised CVA Charge," Risk, vol. 25, no. 7, pp. 60-66.
• Pykhtin, Michael (2012). "General Wrong-Way Risk and Stress Calibration of Exposure," Journal of Risk Management in Financial Institutions, vol. 5, no. 3, pp. 234-251.
• Pykhtin, Michael (2012). "Economic and Regulatory Capital for Counterparty Credit Risk," in Ong, Michael ed., Managing and Measuring Capital. London: Risk Books.
• Pykhtin, Michael (2011). "Counterparty Risk Capital and CVA," Risk, vol. 24, no. 8, pp. 66-71.
• Pykhtin, Michael (2011). "Counterparty Risk Management and Valuation," in Bielecki, Tomasz, Damiano Brigo and Frederic Patras eds., Credit Risk Frontiers, Chapter 16. Hoboken: John Wiley & Sons.
• Pykhtin, Michael (2010). "Collateralized Credit Exposure," in Canabarro, Eduardo ed., Counterparty Credit Risk. London: Risk Books.
• Pykhtin, Michael (2010). "Counterparty Credit Risk," in Cont, Rama ed., Encyclopedia of Quantitative Finance. London: John Wiley & Sons.
• Pykhtin, Michael, and Dan Rosen (2010). "Pricing Counterparty Risk at the Trade Level and CVA Allocations," Journal of Credit Risk, vol. 6, no. 4, pp. 3-38.
• Pykhtin, Michael (2009). "Modeling Credit Exposure for Collateralized Counterparties," Journal of Credit Risk, vol. 5, no. 4, pp. 3-27.
• Pykhtin, Michael, and Steven Zhu (2007). "A Guide to Modelling Counterparty Credit Risk," GARP Risk Review, July 2007, pp. 16-22.
• Pykhtin, Michael, and Steven Zhu (2006). "Measuring Counterparty Credit Risk for Trading Products Under Basel II," in Ong, Michael ed., The Basel Handbook, 2nd Edition. London: Risk Books.
• Pykhtin, Michael (2005). Counterparty credit risk modelling: Risk management, pricing and regulation. London: Risk Books.
• Pykhtin, Michael (2004). "Economic Capital for Securitisations," in Dev, Ashish ed., Economic Capital. London: Risk Books.
• Pykhtin, Michael (2004). "Asymptotic Model of Economic Capital for Securitisations," in Perraudin, William ed., Structured Credit Products. London: Risk Books.
• Pykhtin, Michael (2004). "Multi-Factor Adjustment," Risk, vol. 17, no. 3, pp. 85-90.
• Pykhtin, Michael, and Ashish Dev (2003). "Residual Risk in Auto Leases," Risk, October 2003, pp. S10-S16.
• Pykhtin, Michael (2003). "Unexpected Recovery Risk," Risk, August 2003, pp. 74-78.
• Pykhtin, Michael, and Ashish Dev (2003). "Coarse-Grained CDOs," Risk, January 2003, pp. 113-116.
• Pykhtin, Michael, and Ashish Dev (2002). "Credit Risk in Asset Securitisations: An Analytical Model," Risk, May 2002, pp. S16-S20.
• Pykhtin, Michael, and Ashish Dev (2002). "Analytical Approach to Credit Risk Modelling," Risk, March 2002, pp. S26-S32.

Presentations

• conference

  Dec. 3-7, 2012

  ICBI: Risk Minds (Amsterdam, Netherlands)

• conference

  Nov. 13-14, 2012

  Incisive Media: Risk USA (New York, NY)

• conference

  Oct. 10-12, 2012

  WBS: Fixed Income (Vienna, Austria)

• conference

  June 4-7, 2012

  ICBI: Risk Minds USA (Boston, MA)

• conference

  May 17-18, 2012

  Marcus Evans: CVA, Funding and Valuation for Derivatives (New York, NY)

• conference

  May 14-16, 2012

  PRMIA: Global Risk (New York, NY)

• conference

  April 24-25, 2012

  CFP: Risk & Regulation (New York, NY)

• conference

  Feb. 1-3, 2012

  Marcus Evans: CVA and Counterparty Risk (London, UK)

• conference

  Dec. 5-9, 2011

  ICBI: Risk Minds (Geneva, Switzerland)

• conference

  Sept. 19-23, 2011

  ICBI: Risk Capital (Frankfurt, Germany)

• conference

  July 12-14, 2011

  Incisive Media: Quant Congress USA (New York, NY)

• conference

  June 13-17, 2011

  ICBI: Risk Minds USA (Boston, MA)

• conference

  April 4-6, 2011

  Incisive Media: Risk Europe (Brussels, Belgium)

• conference

  Dec. 6-10, 2010

  ICBI: Risk Minds (Geneva, Switzerland)

• conference

  Nov. 1-3, 2010

  Incisive Media: Risk USA (New York, NY)

• conference

  May 10-13, 2010

  ICBI: Risk Minds USA (Boston, MA)

• conference

  March 25-26, 2010

  Institut Louis Bachelier: 3rd Financial Risks International Forum (Paris, France)

• conference

  Nov. 20, 2009

  Columbia University: 16th Annual Workshop on Derivative Securities & Risk Management (New York, NY)

• conference

  Sept. 28-30, 2009

  University of Nice: Recent Advancements in the Theory and Practice of Credit Derivatives (Nice, France)

• conference

  July 14-15, 2009

  Incisive Media: Quant Congress USA (New York, NY)

• conference

  June 3-5, 2009

  Incisive Media: Risk Europe (Frankfurt, Germany)

• seminar

  Feb. 25, 2009

  Fields Institute: Quantitative Finance Seminar Series (Toronto, Canada)

• conference

  Dec. 8-12, 2008

  ICBI: Risk Minds (Geneva, Switzerland)

• conference

  Oct. 28-29, 2008

  Incisive Media: Credit Risk Summit (London, UK)

• conference

  July 8-9, 2008

  Incisive Media: Quant Congress USA (New York, NY)

• conference

  Feb. 25-28, 2008

  GARP: Risk Management Convention (New York, NY)

• conference

  July 10-12, 2007

  Incisive Media: Quant Congress USA (New York, NY)

• conference

  May 21-22, 2007

  Markus Evans: Capital Allocation (New York, NY)

Other Activities