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.