Michael Pykhtin

Federal Reserve Board

Michael Pykhtin is a manager in the quantitative risk management section at the US Federal Reserve Board. Prior to joining the FRB in 2009 as a senior economist, Pykhtin was a senior quantitative analyst at Bank of America, responsible for developing new counterparty risk methodologies for the bank’s portfolio of over-the-counter derivatives. Prior to joining Bank of America in 2005, he was a quantitative analyst at KeyCorp, responsible for developing models of portfolio credit risk and economic capital for the bank’s portfolio of loans and structured credit products.

Pykhtin has edited Counterparty Credit Risk Modelling (Risk Books, 2005), which was the first book entirely devoted to counterparty risk, and he is also a contributing author to several recent edited collections. Pykhtin has published extensively in leading industry journals, including Risk, the Journal of Credit Risk and Journal of Risk Management in Financial Institutions. He has been an associate editor of the Journal of Credit Risk since 2007. Pykhtin is the recipient of Risk’s Quant of the Year award for 2014. He holds a PhD in physics from the University of Pennsylvania and an MS degree in physics and applied mathematics from Moscow Institute of Physics and Technology.

Book contributions by Michael Pykhtin

Margin in Derivatives Trading

Edited by Leif Andersen and Michael Pykhtin

Counterparty Risk Management: Measurement, Pricing and Regulation

Edited by Eduardo Canabarro and Michael Pykhtin

Articles by Michael Pykhtin

Cutting Edge

Weighting for leverage

A credit exposure model for leveraged collateralised counterparties is presented

13 Jun 2024

Cutting Edge

Looking beyond SA-CCR

An alternative calculation of exposure at default that handles complex portfolios is presented

14 Dec 2022

Original research

Rethinking the margin period of risk

The authors describe a new framework for modeling collateralized exposure under an International Swaps and Derivatives Association Master Agreement with a Credit Support Annex.

20 Jan 2017

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Alternatively you can request an individual account here