| Time reversal and last passage time of diffusions with applications to credit risk management M Egami, R Kevkhishvili Finance and Stochastics 24 (3), 795-825, 2020 | 7 | 2020 |
| An analysis of simultaneous company defaults using a shot noise process M Egami, R Kevkhishvili Journal of Banking & Finance 80, 135-161, 2017 | 6 | 2017 |
| A direct solution method for pricing options in regime‐switching models M Egami, R Kevkhishvili Mathematical Finance 30 (2), 547-576, 2020 | 3 | 2020 |
| A Forward-Looking Measure of Credit Risk M Egami, R Kevkhishvili Available at SSRN 3420656, 2023 | | 2023 |
| On Decomposition of the Last Passage Time of Diffusions M Egami, R Kevkhishvili arXiv preprint arXiv:2210.01321, 2022 | | 2022 |
| A new approach to detecting change in credit quality R Kevkhishvili Journal of Risk 24 (5), 51-73, 2022 | | 2022 |
| A New Approach to Estimating Loss-Given-Default Distribution M Egami, R Kevkhishvili arXiv preprint arXiv:2009.00868, 2020 | | 2020 |
| A study of approximations and transformations of Markov processes and their applications to credit risk analysis R Kevkhishvili 京都大学, 2019 | | 2019 |
