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TheEconomists

Photo of Michael V. Pykhtin
202-912-4312
michael.v.pykhtin@frb.gov
Education
  • Ph.D., Physics, University of Pennsylvania, 1999
  • M.S., Physics and Applied Mathematics, Moscow Institute of Physics and Technology, 1991
  • Current Research Topics

  • Counterparty Credit Risk
  • Portfolio Credit Risk
    • 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
  • Canabarro, Eduardo, and Michael Pykhtin eds. (2014). Counterparty Risk Management - Measurement, Pricing and Regulation. London: Risk books.
  • Pykhtin, Michael (2014). "The Non-Internal-Model Method for Counterparty Credit Risk," in Canabarro, Eduardo, Michael Pykhtin eds., Counterparty Risk Management - Measurement, Pricing and Regulation. London: Risk books.
  • Pykhtin, Michael, and Alexander Sokol (2013). "Exposure Under Systemic Impact," Risk, vol. 26, no. 9, pp. 100-105.
  • Pykhtin, Michael, and Alexander Sokol (2013). "Systemic Wrong-Way Risk," in Galizia, Federico ed., Managing Systemic Exposure. London, United Kingdom: Risk Books.
  • 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.
  • conference

    Oct. 28-29, 2014

    CFP: Quant Risk Americas (New York, NY)

    Model Foundations of SA-CCR (formerly NIMM)

  • conference

    Sept. 24-26, 2014

    WBS: Fixed Income (Barcelona, Spain)

    Model Foundations of SA-CCR (formerly NIMM)

  • conference

    July 16-18, 2014

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

    Model Foundations of SA-CCR (formerly NIMM)

  • conference

    June 16-20, 2014

    ICBI: Risk Minds Americas (Miami, FL)

    Model Foundations of SA-CCR (formerly NIMM)

  • conference

    May 28-30, 2014

    WBS: Fixed Income USA (New York, NY)

    Model Foundations of SA-CCR (formerly NIMM)

  • conference

    April 1-3, 2014

    Incisive Media: Quant Europe (London, UK)

    Model Foundations of SA-CCR (formerly NIMM)

  • conference

    Dec. 2-6, 2013

    ICBI: Risk Minds (Amsterdam, Netherlands)

    The Non-Internal Model Method for Counterparty Credit Risk

  • conference

    Oct. 16-18, 2013

    WBS: Fixed Income (Munich, Germany)

    Systemic Wrong-Way Risk

  • conference

    June 17-21, 2013

    ICBI: Risk Minds USA (Boston, MA)

    Modeling Credit Exposure to Systemically Important Counterparties

  • conference

    March 20-22, 2013

    WBS: CVA (Lomdon, UK)

    Counterparty Credit Risk Capital and CVA

  • conference

    Dec. 3-7, 2012

    ICBI: Risk Minds (Amsterdam, Netherlands)

    Modeling Credit Exposure to Systemically Important Counterparties

  • conference

    Nov. 13-14, 2012

    Incisive Media: Risk USA (New York, NY)

    Counterparty Credit Risk Capital under Wrong-Way Risk

  • conference

    Oct. 10-12, 2012

    WBS: Fixed Income (Vienna, Austria)

    Counterparty Credit Risk Capital and CVA

  • conference

    June 4-7, 2012

    ICBI: Risk Minds USA (Boston, MA)

    Counterparty Credit Risk Capital under Wrong-Way Risk

  • conference

    May 17-18, 2012

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

    CVA and Basel III: CVA Variation Charge

  • conference

    May 14-16, 2012

    PRMIA: Global Risk (New York, NY)

    Modeling Counterparty Credit Exposure

  • conference

    April 24-25, 2012

    CFP: Risk & Regulation (New York, NY)

    Effective Quantification and Measurement of Credit Valuation Adjustment

  • conference

    Feb. 1-3, 2012

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

    Integrating CVA into counterparty credit risk capital models

  • conference

    Dec. 5-9, 2011

    ICBI: Risk Minds (Geneva, Switzerland)

    Counterparty Credit Risk Capital and Credit Valuation Adjustment

  • conference

    Sept. 19-23, 2011

    ICBI: Risk Capital (Frankfurt, Germany)

    Counterparty Credit Risk Capital and Credit Valuation Adjustment

  • conference

    July 12-14, 2011

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

    Counterparty Credit Risk Capital and Credit Valuation Adjustment

  • conference

    June 13-17, 2011

    ICBI: Risk Minds USA (Boston, MA)

    Counterparty Credit Risk Capital and Credit Valuation Adjustment

  • conference

    April 4-6, 2011

    Incisive Media: Risk Europe (Brussels, Belgium)

    Calibrating Counterparty Credit Risk Models through Stressed Periods

  • conference

    Dec. 6-10, 2010

    ICBI: Risk Minds (Geneva, Switzerland)

    Calibrating Counterparty Credit Risk Models through Stressed Periods

  • conference

    Nov. 1-3, 2010

    Incisive Media: Risk USA (New York, NY)

    Examining Conceptual Foundation and Potential Impact of Stressed Calibration of Counterparty Exposure Models

  • conference

    May 10-13, 2010

    ICBI: Risk Minds USA (Boston, MA)

    Pricing Counterparty Credit Risk at the Trade Level

  • conference

    March 25-26, 2010

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

    Counterparty Credit Risk Analytics

  • conference

    Nov. 20, 2009

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

    Modeling Counterparty Credit Exposure in the Presence of Margin Agreements

  • conference

    Sept. 28-30, 2009

    University 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, 2009

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

    Modeling Counterparty Credit Exposure in the Presence of Margin Agreements

  • conference

    June 3-5, 2009

    Incisive Media: Risk Europe (Frankfurt, Germany)

    Modeling Counterparty Credit Exposure in the Presence of Margin Agreements

  • seminar

    Feb. 25, 2009

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

    Modeling Credit Exposure for Collateralized Counterparties

  • conference

    Dec. 8-12, 2008

    ICBI: Risk Minds (Geneva, Switzerland)

    Modelling Credit Exposure for Collateralized Counterparties

  • conference

    Oct. 28-29, 2008

    Incisive Media: Credit Risk Summit (London, UK)

    Advancing Models for Counterparty Portfolio Risk

  • conference

    July 8-9, 2008

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

    Pricing Counterparty Credit Risk at the Trade Level

  • conference

    Feb. 25-28, 2008

    GARP: Risk Management Convention (New York, NY)

    Pricing Counterparty Credit Risk for OTC Derivative Transactions

  • conference

    July 10-12, 2007

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

    Measuring Up Counterparty Credit Risk

  • conference

    May 21-22, 2007

    Markus Evans: Capital Allocation (New York, NY)

    Modeling Downturn LGD in the Context of Basel II

Awards

  • 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
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Last update: October 6, 2014