Photo of Michael V. Pykhtin

Michael V. Pykhtin

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
  • Manager

    Board of Governors of the Federal Reserve System

    2013 - present
  • Senior Economist

    Board of Governors of the Federal Reserve System

    2009 - 2013
  • Senior Quantitative Finance Analyst

    Bank of America

    2005 - 2009
  • Quantitative Analyst

    KeyBank

    2000 - 2005
  • 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, 2018

    ICBI: Risk Minds (Amsterdam, Netherlands)

    Impact of the Uncleared Margin Rules on Regulatory Capital

  • conference

    Sept. 26-28, 2018

    WBS: Quantitative Finance (Nice, France)

    The Revised Basel CVA Framework

  • conference

    July 9-12, 2018

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

    Impact of the Uncleared Margin Rules on Regulatory Capital

  • conference

    June 19, 2018

    ISDA: Trading Book Capital: Market and Counterparty Risk (New York, NY)

    Credit Valuation Adjustment (CVA)

  • conference

    May 14-18, 2018

    ICBI: Quant Minds (Lisbon, Portugal)

    Revised Basel CVA Framework

  • conference

    May 14-18, 2018

    ICBI: Quant Minds (Lisbon, Portugal)

    Impact of the Uncleared Margin Rules on Regulatory Capital

  • seminar

    March 22, 2018

    Imperial College (London, UK)

    Credit Exposure in the Presence of Initial Margin

  • conference

    March 21-23, 2018

    WBS: Initial Margin and XVA (London, UK)

    Revised Basel CVA Framework

  • conference

    March 6-7, 2018

    GARP: Risk Convention (New York, NY)

    Revised Basel CVA Framework

  • seminar

    March 2, 2018

    Université Catholique de Louvain (Louvain-la-Neuve, Belgium)

    Credit Exposure in the Presence of Initial Margin

  • conference

    Dec. 4-8, 2017

    ICBI: Risk Minds (Amsterdam, Netherlands)

    Revised Basel CVA Framework

  • conference

    Oct. 25-26, 2017

    Incisive Media: Risk USA (New York, NY)

    The Impact of the New Margin Rules on Regulatory Capital

  • conference

    Oct. 18-20, 2017

    WBS: Fixed Income (Florence, Italy)

    The Impact of the New Margin Rules on Regulatory Capital

  • conference

    July 11-12, 2017

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

    Does Initial Margin Eliminate Counterparty Risk?

  • conference

    May 8-12, 2017

    ICBI: Global Derivatives (Barcelona, Spain)

    Does Initial Margin Eliminate Counterparty Risk?

  • conference

    March 22-24, 2017

    WBS: Initial Margin and XVA (London, UK)

    Does Initial Margin Eliminate Counterparty Risk?

  • conference

    Dec. 5-9, 2016

    ICBI: Risk Minds (Amsterdam, Netherlands)

    Does Initial Margin Eliminate Counterparty Risk?

  • conference

    Oct. 12-14, 2016

    WBS: Fixed Income (Berlin, Germany)

    Does Initial Margin Eliminate Counterparty Risk?

  • conference

    July 11-14, 2016

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

    The Impact of the BCBS-IOSCO Margin Requirements on Credit Exposure

  • conference

    May 9-13, 2016

    ICBI: Global Derivatives (Budapest, Hungary)

    Counterparty Credit Exposure In The Presence Of Dynamic Initial Margin

  • conference

    April 13-14, 2016

    Incisive Media: Quant Summit Europe (London, UK)

    The Impact of the BCBS-IOSCO Margin Requirements on Credit Exposure

  • conference

    March 16-18, 2016

    WBS: Initial Margin and XVA (London, UK)

    Accounting for Dynamic Initial Margin in Credit Exposure Models

  • conference

    Dec. 7-11, 2015

    ICBI: Risk Minds (Amsterdam, Netherlands)

    Accounting for Dynamic Initial Margin in Credit Exposure Models

  • conference

    Nov. 3-4, 2015

    CFP: Quant Risk Americas (New York, NY)

    Accounting for Dynamic Initial Margin in Credit Exposure Models

  • conference

    Oct. 7-9, 2015

    WBS: Fixed Income (Paris, France)

    Modeling Credit Exposure for Margined Counterparties

  • conference

    June 15-19, 2015

    ICBI: Risk Minds Americas (Miamy, FL)

    Modeling Credit Exposure for Margined Counterparties

  • conference

    June 2-4, 2015

    Model Risk Management (Toronto, Canada)

    Modeling Credit Exposure for Margined Counterparties

  • conference

    May 18-22, 2015

    ICBI: Global Derivatives (Amsterdam, Netherlands)

    Modeling Credit Exposure for Margined Counterparties

  • conference

    May 6-8, 2015

    WBS: Fixed Income USA (New York, NY)

    Modeling Credit Exposure for Margined Counterparties

  • conference

    Dec. 8-12, 2014

    ICBI: Risk Minds (Amsterdam, Netherlands)

    Modeling Credit Exposure for Margined Counterparties

  • 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 (London, 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

  • conference

    Feb. 1-2, 2005

    GARP: Risk Management Convention (New York, NY)

    Defining the Level of Exposure and Calculating Economic Capital for Effective Counterparty Risk Management

  • conference

    Dec. 7-10, 2004

    ICBI: Risk Management (Geneva, Switzerland)

    Multi-Factor Adjustment

  • conference

    Oct. 27-28, 2003

    Incisive Media: Credit Risk Summit (New York, NY)

    Unexpected Recovery Risk

  • conference

    Sept. 17-18, 2003

    Incisive Media: Capital Allocation (New York, NY)

    Allocating Capital to Tranches of Asset Securitizations

  • conference

    June 25-26, 2003

    Incisive Media: Asset-Liability Management (New York, NY)

    Techniques for Effectively Allocating Capital to Market and Credit Risk

  • conference

    June 10-11, 2003

    Incisive Media: Risk USA (Boston, MA)

    An Evaluation of Common Capital Allocation Methodologies

  • conference

    April 1-4, 2003

    ICBI: ABS Summit (Geneva, Switzerland)

    Credit Risk in Portfolio Securitizations

  • conference

    Dec. 9-10, 2002

    Incisive Media: Capital Allocation (New York, NY)

    Modelling Correlations between Default Events and Recoveries

  • conference

    Nov. 4-5, 2002

    Incisive Media: Quantitative Finance (New York, NY)

    Credit Risk in Asset Securitizations

  • conference

    Oct. 1-2, 2002

    RMA: Basel II Forum (Chicago, IL)

    Role of Correlations in Basel Models

  • seminar

    March 22, 2002

    Case 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
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Last Update: August 2, 2024