Meet the Researchers
Michael V. Pykhtin
[email protected]
Education
- Ph.D., Physics, University of Pennsylvania, 1999
- M.S., Physics and Applied Mathematics, Moscow Institute of Physics and Technology, 1991
- Counterparty Credit Risk
- Portfolio Credit Risk
Manager
Board of Governors of the Federal Reserve System
2013 - presentSenior Economist
Board of Governors of the Federal Reserve System
2009 - 2013Senior Quantitative Finance Analyst
Bank of America
2005 - 2009Quantitative Analyst
KeyBank
2000 - 2005
- Weighting for leverage
Michael Pykhtin
Risk (2024) - Looking beyond SA-CCR
Michael Pykhtin
Risk (2023) - Margin in Derivatives Trading
Leif Andersen and Michael Pykhtin
Risk Books (2018) - Does Initial Margin Eliminate Counterparty Risk?
Leif Andersen, Michael Pykhtin, and Alexander Sokol
Risk (2017) - Rethinking the Margin Period of Risk
Leif Andersen, Michael Pykhtin, and Alexander Sokol
Journal of Credit Risk (2017)
https://doi.org/10.21314/JCR.2016.218 - The Non-Internal-Model Method for Counterparty Credit Risk
Michael Pykhtin
Counterparty Risk Management: Measurement, Pricing and Regulation (2014) - Counterparty Risk Management - Measurement, Pricing and Regulation
Eduardo Canabarro and Michael Pykhtin eds.
Risk Books (2014) - Exposure Under Systemic Impact
Michael Pykhtin and Alexander Sokol
Risk (2013) - Systemic Wrong-way Risk
Michael Pykhtin and Alexander Sokol
Managing Systemic Exposure (2013) - Model Foundations of the Basel III Standardised CVA Charge
Michael Pykhtin
Risk (2012) - Economic and Regulatory Capital for Counterparty Credit Risk
Michael Pykhtin
Managing and Measuring Capital (2012) - General Wrong-Way Risk and Stress Calibration of Exposure
Michael Pykhtin
Journal of Risk Management in Financial Institutions (2012) - Counterparty Risk Capital and CVA
Michael Pykhtin
Risk (2011) - Counterparty Risk Management and Valuation
Michael Pykhtin
Credit Risk Frontiers, Chapter 16 (2011)
https://doi.org/10.1002/9781118531839.ch16 - Pricing Counterparty Risk At The Trade Level And Credit Valuation Adjustment Allocations
Michael Pykhtin and Dan Rosen
Journal of Credit Risk (2010)
See also » FRB Working Paper (2010) - Collateralized Credit Exposure
Michael Pykhtin
Counterparty Credit Risk: Measurement, Pricing and Hedging (2010) - Counterparty Credit Risk
Michael Pykhtin
Encyclopedia of Quantitative Finance (2010)
https://doi.org/10.1002/9780470061602.eqf09033 - Modeling Credit Exposure for Collateralized Counterparties
Michael Pykhtin
Journal of Credit Risk (2009) - A Guide to Modelling Counterparty Credit Risk
Michael Pykhtin and Steven Zhu
GARP Risk Review (2007) - Measuring Counterparty Credit Risk for Trading Products under Basel II
Michael Pykhtin and Steven Zhu
Basel Handbook: A Guide for Financial Practitioners, 2nd ed. (2006) - Counterparty Credit Risk Modelling: Risk Management, Pricing and Regulation
Michael Pykhtin
Risk Books (2005) - Multi-Factor Adjustment
Michael Pykhtin
Risk (2004) - Economic Capital for Securitisations
Michael Pykhtin
Economic Capital (2004) - Asymptotic Model of Economic Capital for Securitisations
Michael Pykhtin
Structured Credit Products (2004) - Residual Risk in Auto Leases
Michael Pykhtin and Ashish Dev
Risk (2003) - Unexpected Recovery Risk
Michael Pykhtin
Risk (2003) - Coarse-grained CDOs
Michael Pykhtin and Ashish Dev
Risk (2003) - Credit Risk in Asset Securitisations: an Analytical Model
Michael Pykhtin and Ashish Dev
Risk (2002) - Analytical Approach to Credit Risk Modelling
Michael Pykhtin and Ashish Dev
Risk (2002)
conference
Dec. 3-7, 2018ICBI: Risk Minds (Amsterdam, Netherlands)
Impact of the Uncleared Margin Rules on Regulatory Capital
conference
Sept. 26-28, 2018WBS: Quantitative Finance (Nice, France)
The Revised Basel CVA Framework
conference
July 9-12, 2018Incisive Media: Quant Summit USA (New York, NY)
Impact of the Uncleared Margin Rules on Regulatory Capital
conference
June 19, 2018ISDA: Trading Book Capital: Market and Counterparty Risk (New York, NY)
Credit Valuation Adjustment (CVA)
conference
May 14-18, 2018ICBI: Quant Minds (Lisbon, Portugal)
Revised Basel CVA Framework
conference
May 14-18, 2018ICBI: Quant Minds (Lisbon, Portugal)
Impact of the Uncleared Margin Rules on Regulatory Capital
seminar
March 22, 2018Imperial College (London, UK)
Credit Exposure in the Presence of Initial Margin
conference
March 21-23, 2018WBS: Initial Margin and XVA (London, UK)
Revised Basel CVA Framework
conference
March 6-7, 2018GARP: Risk Convention (New York, NY)
Revised Basel CVA Framework
seminar
March 2, 2018Université Catholique de Louvain (Louvain-la-Neuve, Belgium)
Credit Exposure in the Presence of Initial Margin
conference
Dec. 4-8, 2017ICBI: Risk Minds (Amsterdam, Netherlands)
Revised Basel CVA Framework
conference
Oct. 25-26, 2017Incisive Media: Risk USA (New York, NY)
The Impact of the New Margin Rules on Regulatory Capital
conference
Oct. 18-20, 2017WBS: Fixed Income (Florence, Italy)
The Impact of the New Margin Rules on Regulatory Capital
conference
July 11-12, 2017Incisive Media: Quant Summit USA (New York, NY)
Does Initial Margin Eliminate Counterparty Risk?
conference
May 8-12, 2017ICBI: Global Derivatives (Barcelona, Spain)
Does Initial Margin Eliminate Counterparty Risk?
conference
March 22-24, 2017WBS: Initial Margin and XVA (London, UK)
Does Initial Margin Eliminate Counterparty Risk?
conference
Dec. 5-9, 2016ICBI: Risk Minds (Amsterdam, Netherlands)
Does Initial Margin Eliminate Counterparty Risk?
conference
Oct. 12-14, 2016WBS: Fixed Income (Berlin, Germany)
Does Initial Margin Eliminate Counterparty Risk?
conference
July 11-14, 2016Incisive Media: Quant Summit USA (New York, NY)
The Impact of the BCBS-IOSCO Margin Requirements on Credit Exposure
conference
May 9-13, 2016ICBI: Global Derivatives (Budapest, Hungary)
Counterparty Credit Exposure In The Presence Of Dynamic Initial Margin
conference
April 13-14, 2016Incisive Media: Quant Summit Europe (London, UK)
The Impact of the BCBS-IOSCO Margin Requirements on Credit Exposure
conference
March 16-18, 2016WBS: Initial Margin and XVA (London, UK)
Accounting for Dynamic Initial Margin in Credit Exposure Models
conference
Dec. 7-11, 2015ICBI: Risk Minds (Amsterdam, Netherlands)
Accounting for Dynamic Initial Margin in Credit Exposure Models
conference
Nov. 3-4, 2015CFP: Quant Risk Americas (New York, NY)
Accounting for Dynamic Initial Margin in Credit Exposure Models
conference
Oct. 7-9, 2015WBS: Fixed Income (Paris, France)
Modeling Credit Exposure for Margined Counterparties
conference
June 15-19, 2015ICBI: Risk Minds Americas (Miamy, FL)
Modeling Credit Exposure for Margined Counterparties
conference
June 2-4, 2015Model Risk Management (Toronto, Canada)
Modeling Credit Exposure for Margined Counterparties
conference
May 18-22, 2015ICBI: Global Derivatives (Amsterdam, Netherlands)
Modeling Credit Exposure for Margined Counterparties
conference
May 6-8, 2015WBS: Fixed Income USA (New York, NY)
Modeling Credit Exposure for Margined Counterparties
conference
Dec. 8-12, 2014ICBI: Risk Minds (Amsterdam, Netherlands)
Modeling Credit Exposure for Margined Counterparties
conference
Oct. 28-29, 2014CFP: Quant Risk Americas (New York, NY)
Model Foundations of SA-CCR (formerly NIMM)
conference
Sept. 24-26, 2014WBS: Fixed Income (Barcelona, Spain)
Model Foundations of SA-CCR (formerly NIMM)
conference
July 16-18, 2014Incisive Media: Quant Congress USA (New York, NY)
Model Foundations of SA-CCR (formerly NIMM)
conference
June 16-20, 2014ICBI: Risk Minds Americas (Miami, FL)
Model Foundations of SA-CCR (formerly NIMM)
conference
May 28-30, 2014WBS: Fixed Income USA (New York, NY)
Model Foundations of SA-CCR (formerly NIMM)
conference
April 1-3, 2014Incisive Media: Quant Europe (London, UK)
Model Foundations of SA-CCR (formerly NIMM)
conference
Dec. 2-6, 2013ICBI: Risk Minds (Amsterdam, Netherlands)
The Non-Internal Model Method for Counterparty Credit Risk
conference
Oct. 16-18, 2013WBS: Fixed Income (Munich, Germany)
Systemic Wrong-Way Risk
conference
June 17-21, 2013ICBI: Risk Minds USA (Boston, MA)
Modeling Credit Exposure to Systemically Important Counterparties
conference
March 20-22, 2013WBS: CVA (London, UK)
Counterparty Credit Risk Capital and CVA
conference
Dec. 3-7, 2012ICBI: Risk Minds (Amsterdam, Netherlands)
Modeling Credit Exposure to Systemically Important Counterparties
conference
Nov. 13-14, 2012Incisive Media: Risk USA (New York, NY)
Counterparty Credit Risk Capital under Wrong-Way Risk
conference
Oct. 10-12, 2012WBS: Fixed Income (Vienna, Austria)
Counterparty Credit Risk Capital and CVA
conference
June 4-7, 2012ICBI: Risk Minds USA (Boston, MA)
Counterparty Credit Risk Capital under Wrong-Way Risk
conference
May 17-18, 2012Marcus Evans: CVA, Funding and Valuation for Derivatives (New York, NY)
CVA and Basel III: CVA Variation Charge
conference
May 14-16, 2012PRMIA: Global Risk (New York, NY)
Modeling Counterparty Credit Exposure
conference
April 24-25, 2012CFP: Risk & Regulation (New York, NY)
Effective Quantification and Measurement of Credit Valuation Adjustment
conference
Feb. 1-3, 2012Marcus Evans: CVA and Counterparty Risk (London, UK)
Integrating CVA into counterparty credit risk capital models
conference
Dec. 5-9, 2011ICBI: Risk Minds (Geneva, Switzerland)
Counterparty Credit Risk Capital and Credit Valuation Adjustment
conference
Sept. 19-23, 2011ICBI: Risk Capital (Frankfurt, Germany)
Counterparty Credit Risk Capital and Credit Valuation Adjustment
conference
July 12-14, 2011Incisive Media: Quant Congress USA (New York, NY)
Counterparty Credit Risk Capital and Credit Valuation Adjustment
conference
June 13-17, 2011ICBI: Risk Minds USA (Boston, MA)
Counterparty Credit Risk Capital and Credit Valuation Adjustment
conference
April 4-6, 2011Incisive Media: Risk Europe (Brussels, Belgium)
Calibrating Counterparty Credit Risk Models through Stressed Periods
conference
Dec. 6-10, 2010ICBI: Risk Minds (Geneva, Switzerland)
Calibrating Counterparty Credit Risk Models through Stressed Periods
conference
Nov. 1-3, 2010Incisive Media: Risk USA (New York, NY)
Examining Conceptual Foundation and Potential Impact of Stressed Calibration of Counterparty Exposure Models
conference
May 10-13, 2010ICBI: Risk Minds USA (Boston, MA)
Pricing Counterparty Credit Risk at the Trade Level
conference
March 25-26, 2010Institut Louis Bachelier: 3rd Financial Risks International Forum (Paris, France)
Counterparty Credit Risk Analytics
conference
Nov. 20, 2009Columbia University: Workshop on Derivative Securities & Risk Management (New York, NY)
Modeling Counterparty Credit Exposure in the Presence of Margin Agreements
conference
Sept. 28-30, 2009University of Nice: Recent Advancements in the Theory and Practice of Credit Derivatives (Nice, France)
Modeling Counterparty Credit Exposure in the Presence of Margin Agreements
conference
July 14-15, 2009Incisive Media: Quant Congress USA (New York, NY)
Modeling Counterparty Credit Exposure in the Presence of Margin Agreements
conference
June 3-5, 2009Incisive Media: Risk Europe (Frankfurt, Germany)
Modeling Counterparty Credit Exposure in the Presence of Margin Agreements
seminar
Feb. 25, 2009Fields Institute: Quantitative Finance Seminar Series (Toronto, Canada)
Modeling Credit Exposure for Collateralized Counterparties
conference
Dec. 8-12, 2008ICBI: Risk Minds (Geneva, Switzerland)
Modelling Credit Exposure for Collateralized Counterparties
conference
Oct. 28-29, 2008Incisive Media: Credit Risk Summit (London, UK)
Advancing Models for Counterparty Portfolio Risk
conference
July 8-9, 2008Incisive Media: Quant Congress USA (New York, NY)
Pricing Counterparty Credit Risk at the Trade Level
conference
Feb. 25-28, 2008GARP: Risk Management Convention (New York, NY)
Pricing Counterparty Credit Risk for OTC Derivative Transactions
conference
July 10-12, 2007Incisive Media: Quant Congress USA (New York, NY)
Measuring Up Counterparty Credit Risk
conference
May 21-22, 2007Markus Evans: Capital Allocation (New York, NY)
Modeling Downturn LGD in the Context of Basel II
conference
Feb. 1-2, 2005GARP: Risk Management Convention (New York, NY)
Defining the Level of Exposure and Calculating Economic Capital for Effective Counterparty Risk Management
conference
Dec. 7-10, 2004ICBI: Risk Management (Geneva, Switzerland)
Multi-Factor Adjustment
conference
Oct. 27-28, 2003Incisive Media: Credit Risk Summit (New York, NY)
Unexpected Recovery Risk
conference
Sept. 17-18, 2003Incisive Media: Capital Allocation (New York, NY)
Allocating Capital to Tranches of Asset Securitizations
conference
June 25-26, 2003Incisive Media: Asset-Liability Management (New York, NY)
Techniques for Effectively Allocating Capital to Market and Credit Risk
conference
June 10-11, 2003Incisive Media: Risk USA (Boston, MA)
An Evaluation of Common Capital Allocation Methodologies
conference
April 1-4, 2003ICBI: ABS Summit (Geneva, Switzerland)
Credit Risk in Portfolio Securitizations
conference
Dec. 9-10, 2002Incisive Media: Capital Allocation (New York, NY)
Modelling Correlations between Default Events and Recoveries
conference
Nov. 4-5, 2002Incisive Media: Quantitative Finance (New York, NY)
Credit Risk in Asset Securitizations
conference
Oct. 1-2, 2002RMA: Basel II Forum (Chicago, IL)
Role of Correlations in Basel Models
seminar
March 22, 2002Case Western Reserve University (Cleveland, OH)
Analytical Approach to Credit Risk Modeling
Awards
- 2018
Risk Magazine
Quant of the Year
- 2014
Risk Magazine
Quant of the Year
Conference Organization
November 18-19, 2005 | Eltville, Germany
Basel Committee on Banking Supervision: Concentration Risk in Credit Portfolios
Program Committee
Editor
- Associate Editor, Journal of Credit Risk, 2007 - present
Referee
- Risk Magazine
- Journal of Credit Risk
- Journal of Risk
- Journal of Risk Model Validation
- Finance and Stochastics
- Journal of Risk Management in Financial Institutions
- European Journal of Operational Research
- Wilmott Magazine