Michael Pykhtin

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

http://www.federalreserve.gov/econresdata/michael-v-pykhtin.htm

SCHOLARLY PAPERS

6

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CITATIONS
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Top 14,230

in Total Papers Citations

36

Scholarly Papers (6)

1.

A Guide to Modeling Counterparty Credit Risk

GARP Risk Review, July/August 2007
Number of pages: 7 Posted: 16 Jan 2008 Last Revised: 04 Mar 2008
Steven H. Zhu and Michael Pykhtin
Banc of America Merrill Lynch and Board of Governors of the Federal Reserve System
Downloads 28,563 (58)
Citation 32

Abstract:

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Credit Risk, Credit Exposure, Credit Value Adjustment, Netting and Margin Agreement

2.

Measuring Counterparty Credit Risk for Trading Products under Basel II

BASEL II HANDBOOK, Michael Ong, ed., RISK Books, 2006
Number of pages: 22 Posted: 01 Nov 2006 Last Revised: 22 Jan 2016
Michael Pykhtin and Steven H. Zhu
Board of Governors of the Federal Reserve System and Banc of America Merrill Lynch
Downloads 7,686 (692)
Citation 11

Abstract:

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Basel II, Collateral, Credit Exposure, Regulatory Capital and Counterparty Credit Risk

3.

Rethinking Margin Period of Risk

Number of pages: 35 Posted: 22 Jan 2016
Leif B. G. Andersen, Michael Pykhtin and Alexander Sokol
Bank of America Merrill Lynch, Board of Governors of the Federal Reserve System and CompatibL
Downloads 1,732 (9,032)
Citation 8

Abstract:

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Margin Period of Risk, Swaps, Collateral, Credit Exposure, CVA

4.

Credit Exposure in the Presence of Initial Margin

Number of pages: 20 Posted: 08 Jul 2016 Last Revised: 09 May 2017
Leif B. G. Andersen, Michael Pykhtin and Alexander Sokol
Bank of America Merrill Lynch, Board of Governors of the Federal Reserve System and CompatibL
Downloads 1,104 (18,385)
Citation 17

Abstract:

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margin period of risk, initial margin, credit exposure, uncleared margin rules, kernel regression

5.

Pricing Counterparty Risk at the Trade Level and CVA Allocations

FEDS Working Paper No. 10, Journal of Credit Risk, 6(4), 2010, pages 3-38
Number of pages: 40 Posted: 09 Mar 2011
Michael Pykhtin and Dan Rosen
Board of Governors of the Federal Reserve System and (IIE) Institute of International Education
Downloads 1,021 (20,634)
Citation 15

Abstract:

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CVA, counterparty risk, derivatives, credit exposure, Euler allocations, simulation, wrong-way risk

6.

Rethinking the Margin Period of Risk

Journal of Credit Risk, Vol. 13, No. 1, 2017
Number of pages: 45 Posted: 23 Jan 2017
Leif B. G. Andersen, Michael Pykhtin and Alexander Sokol
Bank of America Merrill Lynch, Board of Governors of the Federal Reserve System and CompatibL
Downloads 3 (620,272)
Citation 9
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Abstract:

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collateralized positions; initial margin; collateralized exposure; bilateral trading relationships.