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Pavel Shevchenko

  • Title: Professor
  • Positions:
    • Professor - Department of Applied Finance and Actuarial Studies
    • Co-Director - Centre for Financial Risk
  • Qualifications: MSc, PhD

Contact Details

Areas of Expertise

  • risk management
  • financial mathematics and insurance mathematics
  • operational risk, credit risk, portfolio asset allocation
  • pricing financial derivatives
  • mortality modelling and retirement income products
  • claims reserving, modelling commodities and FX markets
  • modelling extreme events, dependence modelling, state-space models
  • Monte Carlo methods, optimal stochastic control

Profile

Pavel Shevchenko has been a Professor in the Department of Applied Finance and Actuarial Studies at Macquarie University since August 2016. Prior to joining Macquarie University, he worked at CSIRO Australia (1999-2016) holding the position of a Senior Principal Research Scientist (2012-2016). Since 1999, Prof Shevchenko has worked in the area of financial risk, leading research and industry commercial projects on: modelling of operational and credit risks; longevity and mortality, retirement products; option pricing; insurance; modelling commodities and foreign exchange; and the development of relevant numerical methods and software. He received a MSc from the Moscow Institute of Physics and Technology in 1994 and a PhD from the University of New South Wales in 1999. He is currently an Adjunct Professor at the University of New South Wales and University of Technology Sydney. He is also associate editor of international journals (RISKS and Journal of Operational Risk) and member of the Retirement Incomes Working Group in the Institute of Actuaries of Australia. Prof Shevchenko has published extensively in academic journals, consulted for major financial institutions, and is a frequent presenter at industry and academic conferences.His publication records include one research monograph, two co-authored research monographs, over 60 journal papers, and over 80 technical reports.

GoogleScholar profile: http://scholar.google.com.au/citations?user=fizvQI4AAAAJ&hl=en&oi=ao

In Macquarie University, Prof Shevchenko is also

Education

  • PhD, 1999: (University of New South Wales)
  • MSc with Honours, 1994: (Moscow Institute of Physics and Technology, and Kapitza Institute for Physical Problems of Russian Academy of Sciences)

Research grants

  • Australian Research Council (ARC) discovery grant "Frontiers in inference about risk" (DP160103489), 2016-2019,$370,000: A/Prof Penev (UNSW) and Prof Shevchenko.
  • External (fully commercial) CSIRO projects (over $9 mln industry funding during 2005-2016), where Prof Shevchenko played key roles, include projects for Commonwealth bank, Suncorp bank, Suncorp Group, Westpac bank, National Australia Bank, Australia & New Zealand bank, StGeorge bank, Insurance Australia Group, Department of Human Services, Australian Energy Market Operator, Qantas, and development of CSIRO option pricing commercial software Reditus sold as plugin libraries for GFI Fenics FX.
  • CSIRO-Monash $9 mln superannuation research cluster (2013-2016). In the cluster, Prof Shevchenko was leading projects on mortality/longevity modelling, life-cycle utility models and retirement products for applications in pension industry. The cluster involved seven industry partners (pension funds, asset management and annuity providers) and several government departments.
  • CSIRO OCE Postdoc grant (2014-2017, $276,000). Quantitative management of operational risk.
  • Endeavour Research Fellowships ($24,000 each) from the Department of Education for overseas PhD students to visit Prof Shevchenko: 2014 – two fellowships for PhD students from Vienna TU and University College London, 2015 – one fellowship for PhD student from University College London.

Current projects

  • operational risk, mortality modelling, retirement income products, optimal decisions in retirement.

Publications

journal toggle icon open Refereed Journal Articles

Refereed journal papers

  1. M. Ames, G. Bagnarosa, G.W. Peters, and P. V. Shevchenko (2017). Understanding the Interplay between Covariance Forecasting Factor Models and Risk Based Portfolio Allocations in Currency Carry Trades. To appear in Journal of Forecasting. Available at SSRN: http://ssrn.com/abstract=2699020.
  2. J.G. Andréasson and P.V. Shevchenko (2017). Assessment of Policy Changes to Means-Tested Age Pension Using the Expected Utility Model: Implication for Decisions in Retirement. Risks 5, 47:1-47:21; doi:10.3390/risks5030047. Preprint https://ssrn.com/abstract=2875551.
  3. P.V. Shevchenko and X. Luo (2017). Valuation of Variable Annuities with Guaranteed Minimum Withdrawal Benefit under Stochastic Interest Rate. Insurance: Mathematics and Economics 76, 104-117; doi: 10.1016/j.insmatheco.2017.06.008. Preprint http://arxiv.org/abs/1602.03238.
  4. D. Toczydlowska, G.W. Peters, M.C. Fung, P.V. Shevchenko (2017).Stochastic period and cohort effect state-space mortality models incorporating demographic factors via probabilistic robust principal components. Risks 5, 42:1-42:77; doi:10.3390/risks5030042. Preprint https://ssrn.com/abstract=2977306.
  5. P. Deprez, P.V. Shevchenko and M.V. Wüthrich (2017). Machine learning techniques for mortality modeling. European Actuarial Journal. DOI 10.1007/s13385-017-0152-4, Preprint https://ssrn.com/abstract=2921841.
  6. J.G. Andréasson, P.V. Shevchenko, A. Novikov (2017). Optimal consumption, investment and housing with means-tested public pension in retirement. Insurance: Mathematics and Economics 75, 32-47. Preprint http://arxiv.org/abs/1606.08984.
  7. J. Hirz, U. Schmock and P.V. Shevchenko (2017). Actuarial Applications and Estimation of extended CreditRisk+. Risks 5 (2), 23:1-23:29, doi:10.3390/risks5020023. Preprint, http://arxiv.org/abs/1505.04757.
  8. M. C. Fung, G.W. Peters and P.V. Shevchenko (2017). A unified approach to mortality modelling using state-space framework: characterisation, identification, estimation and forecasting.  Annals of Actuarial Science. DOI: 10.1017/S1748499517000069. Preprint, https://ssrn.com/abstract=2786559.
  9. J. Hirz, U. Schmock and P. Shevchenko (2017). Crunching mortality and life insurance portfolios with extended CreditRisk+. Risk Magazine, January 2017, pages 98-103. Preprint, http://ssrn.com/abstract=2717518.
  10. P.V. Shevchenko and P. Del Moral  (2017). Valuation of Barrier Options using Sequential Monte Carlo. Journal  of Computational Finance 20(4), 107-135. Preprint, http://arxiv.org/abs/1405.5294.
  11. G.W. Peters, P.V. Shevchenko, B. Hassani and A. Chapelle (2016). Should the advanced measurement approach be replaced with the  standardized measurement approach for Operational Risk? Journal of Operational Risk. http://arxiv.org/abs/1607.02319.
  12. P.V. Shevchenko and X. Luo (2016). A unified pricing of variable annuity guarantees under the optimal  stochastic control framework. RISKS 4 (22), 1-31,doi:10.3390/risks4030022. Preprint, http://arxiv.org/abs/1605.00339.
  13. R.S. Targino, G.W. Peters, G. Sofronov and P.V. Shevchenko (2016). Optimal  Exercise Strategies for Operational Risk Insurance via Multiple Stopping Times. Methodology and Computing in Applied  Probability. DOI: 10.1007/s11009-016-9493-8. Preprint, http://arxiv.org/abs/1312.0424.
  14. T.  G. Ling and P.V. Shevchenko (2016). Historical Backtesting of Local  Volatility Model using AUD/USD Vanilla Options. ANZIAM Journal 57, 319-338. DOI:10.1017/S1446181115000310.  Preprint, http://arxiv.org/abs/1406.2133.
  15. X. Luo, and P.V. Shevchenko (2015). Valuation of  Variable Annuities with Guaranteed Minimum Withdrawal and Death Benefits via  Stochastic Control Optimization. Insurance: Mathematics  and Economics 62, 5-15. Preprint, http://arxiv.org/abs/1411.5453.
  16. X. Luo and P.V. Shevchenko (2015). Pricing TARN Using  a Finite Difference Method. The Journal of Derivatives 23 (1), 62-72.  DOI: 10.3905/jod.2015.23.1.062. Preprint, http://arxiv.org/abs/1304.7563.
  17. Xiaolin Luo, and P.V. Shevchenko (2015). Fast Numerical  Method for Pricing of Variable Annuities with Guaranteed Minimum Withdrawal  Benefit under Optimal Withdrawal Strategy. International  Journal of Financial Engineering 2(3) [26 pages]. DOI: 10.1142/S2424786315500243. Preprint, http://arxiv.org/abs/1410.8609.
  18. R.S. Targino, G.W. Peters and P.V. Shevchenko (2015). Sequential  Monte Carlo Samplers for capital allocation under copula-dependent risk models. Insurance: Mathematics and Economics 61, 206-226. Preprint, http://arxiv.org/abs/1410.1101.
  19. P.V. Shevchenko (2015).  Holder-extendible European option: corrections and extensions. ANZIAM Journal 56(4), 359-372. Preprint, http://arxiv.org/abs/1010.0090.
  20. X. Luo, P.V. Shevchenko and B. Sayer (2015). From 'Funny  Time, Funny Money' to Realistic Labour Times. Applied Probability Trust 40 (2), 118-127. Preprint, www.ssrn.com/abstract=2499301.
  21. X.  Luo, and P.V. Shevchenko (2014). Fast and Simple Method for Pricing Exotic Options using Gauss-Hermite  Quadrature on a Cubic Spline Interpolation. Journal  of Financial Engineering 1(4), 31 pages. DOI:  10.1142/S2345768614500330. Preprint, http://arxiv.org/abs/1408.6938.
  22. X.  Luo and P.V. Shevchenko (2013).  Markov chain Monte Carlo estimation of default and recovery: dependent via the  latent systematic factor. Journal of  Credit Risk 9(3), 41-76.  Preprint, http://arxiv.org/abs/1011.2827.
  23. G. W. Peters, R.S. Targino and P.V. Shevchenko (2013) Understanding  Operational Risk Capital Approximations: First and Second Orders. The Journal of Governance and Regulation 2(3), 58-78. Preprint, http://arxiv.org/abs/1303.2910.
  24. P.V. Shevchenko and G. W. Peters (2013). Loss Distribution Approach for Operational Risk  Capital Modelling under Basel II: Combining Different Data Sources for Risk  Estimation. The Journal of Governance and  Regulation 2(3), 33-57. Preprint, http://arxiv.org/abs/1306.1882.
  25. G.  W. Peters, M. Brier, P. Shevchenko and A. Doucet (2013). Calibration and filtering for multi factor commodity  models with seasonality: incorporating panel data from futures contracts. Methodology  and Computing in Applied Probability 15(4), 841-874. Preprint, http://arxiv.org/abs/1105.5850.
  26. X.  Luo, P.V. Shevchenko, B. Sayer, W.  Blackhall and C. Coelho (2012). A Structured Model for Estimation of Automotive  Paint Labour Times. ANZIAM Journal 53 pp. C422-C436. http://journal.austms.org.au/ojs/index.php/ANZIAMJ/article/view/5335.
  27. P.V. Shevchenko and X. Luo  (2012). Dependent default and recovery: MCMC study of downturn LGD credit risk  model. ANZIAM Journal 53 pp. C185-C202. http://arxiv.org/abs/1112.5766.
  28. X.  Luo and P.V. Shevchenko (2012).  Bayesian Model Choice of Grouped t-copula. Methodology  and Computing in Applied Probability 14(4),  1097-1119. Preprint, http://arxiv.org/abs/1103.0606.
  29. G.W. Peters, A.D.  Byrnes and P.V. Shevchenko (2011).  Impact of Insurance for Operational  Risk: Is it worthwhile to insure or be insured for severe losses? Insurance: Mathematics and Economics, 48, 287-303. Preprint, http://arxiv.org/abs/1010.4406.
  30. G. W. Peters, P.V.  Shevchenko, M. Young and W. Yip (2011). Analytic Loss Distributional  Approach Models for Operational Risk from the alpha-Stable Doubly Stochastic  Compound Processes and Implications for Capital Allocation. Insurance Mathematics & Economics 49(3), 565-579.  Preprint, http://arxiv.org/abs/1102.3582.
  31. X.  Luo and P.V. Shevchenko (2011). A short tale of long tail integration. Numerical  Algorithms 56(4), 577-590.  Preprint, http://arxiv.org/abs/1005.1705.
  32. P.V. Shevchenko (2010).  Calculation of aggregate loss distributions. The Journal of Operational Risk 5(2), 3-40. Preprint, http://arxiv.org/abs/1008.1108.
  33. G.  W. Peters, P.V. Shevchenko and M.V. Wuthrich (2010). Chain Ladder Method: Bayesian Bootstrap versus Classical Bootstrap. Insurance: Mathematics and Economics 47(1), 36-51. Preprint, http://arxiv.org/abs/1004.2548.
  34. P. V. Shevchenko (2010).  Implementing loss distribution approach for operational risk. Applied Stochastic Models in Business and  Industry 26(3), 277-307.  Preprint, http://arxiv.org/abs/0904.1805.
  35. X.  Luo and P.V. Shevchenko (2010). The t copula with multiple parameters of  degrees of freedom: bivariate characteristics and application to risk  management. Quantitative Finance 10(9), 1039-1054. Preprint, http://arxiv.org/abs/0710.3959.
  36. P.V. Shevchenko and G. Temnov  (2009). Modelling operational risk data reported above time varying threshold. The Journal of Operational Risk 4(2), 19-42. Preprint, http://arxiv.org/abs/0904.4075.
  37. X.  Luo and P.V. Shevchenko (2009).  Computing Tails of Compound Distributions using Direct Numerical Integration. The Journal of Computational Finance 13(2), 73-111.  Preprint, http://arxiv.org/abs/0904.0830.
  38. G.  W. Peters, P. V. Shevchenko and M.  V. Wuthrich (2009). Dynamic  operational risk: modelling dependence and combining different sources of  information. The Journal of Operational  Risk 4(2), 69-104. Preprint, http://arxiv.org/abs/0904.4074.
  39. G.  W. Peters, P. V. Shevchenko and M.  V. Wuthrich (2009). Model uncertainty  in claims reserving within Tweedie's compound Poisson models. ASTIN Bulletin 39 (1), 1-33. Preprint, http://arxiv.org/abs/0904.1483.
  40. D. D. Lambrigger, P.V.  Shevchenko and M. V. Wuthrich (2008). Data combination under Basel II and  Solvency 2: Operational Risk goes Bayesian. The Bulletin of the French  Actuaries 8(16), 4-13.
  41. P.V. Shevchenko (2008). Estimation of Operational Risk Capital  Charge under Parameter Uncertainty. The  Journal of Operational Risk 3(1), 51-63. Preprint, http://arxiv.org/abs/0904.1771.
  42. D.  D. Lambrigger, P.V. Shevchenko and M. V. Wutrich (2007). The Quantification of Operational Risk using Internal Data, Relevant  External Data and Expert Opinions. The  Journal of Operational Risk 2(3),  3-27. Preprint, http://arxiv.org/abs/0904.1361.
  43. X.  Luo, P. V. Shevchenko and J. Donnelly (2007). Addressing Impact of Truncation and Parameter Uncertainty on  Operational Risk Estimates. The  Journal of Operational Risk 2(4),  3-26. Preprint, http://arxiv.org/abs/0904.2910.
  44. H. Buhlmann, P.V. Shevchenko and M. V. Wuthrich (2007). A "Toy" Model for Operational Risk Quantification using  Credibility Theory. The Journal of  Operational Risk 2(1), 3-19.  Preprint, http://arxiv.org/abs/0904.1772.
  45. P.V. Shevchenko and M. V. Wuthrich (2006). The Structural Modelling of Operational Risk via the Bayesian  Inference: Combining Loss Data with Expert Opinions. The Journal of Operational Risk 1(3), 3-26. Preprint, http://arxiv.org/abs/0904.1067.
  46. P.V. Shevchenko (2003). Addressing the Bias in Monte  Carlo Pricing of Multi-Asset Options With Multiple Barriers Through Discrete  Sampling, The Journal of Computational  Finance 6(3), pp. 1-20.  Preprint, http://arxiv.org/abs/0904.1157.
  47. P.V. Shevchenko, A.W. Sandvik, O.P. Sushkov (2000).  Double-layer Heisenberg antiferromagnet at finite temperature: Brueckner theory  and quantum Monte-Carlo simulations. Physical  Review B 61(5), 3475-3487.
  48. P.V. Shevchenko, V.Kotov, O.P. Sushkov (1999). Spectrum  of elementary and collective excitations in the dimerized S=1/2 Heisenberg  chain with frustration, Physical Review B 60(5), 3305-3315.
  49. S.V.  Vladimirov, P.V. Shevchenko, N.F. Cramer (1999). Equilibrium and  oscillations of grains in the dust-plasma crystal, Physical Review E 60(6),  7369-7373.
  50. P.V. Shevchenko, O.P. Sushkov (1999). Spin-wave gap  critical index for the quantum two-layer Heisenberg antiferromagnet at T=0. Australian Journal of Physics 52, 837-844.
  51. P.V. Shevchenko, O.P. Sushkov (1999). Brueckner approach  to the spin-wave critical index for the two-layer Heisenberg antiferromagnet. Physical Review B 59(13), 8383-8386.
  52. J.  Schulte, P.V. Shevchenko, A.V. Radchik (1999). Nonlinear field effects  in Quadrupole mass filters. Review of  Scientific Instruments 70(9),  3566-3571.
  53. S.V.  Vladimirov, P.V. Shevchenko and N.F. Cramer (1998). Low frequency modes  in the dust plasma crystal. Physics of Plasmas 5(1), 4-6.
  54. P.V. Shevchenko, L. Swierkovski and J. Oitmaa (1998).  Interlayer coupling in magnetic semiconductor multilayers. Journal of Magnetism and Magnetic Materials 177, 1168-1169.
  55. M.Yu.  Kuchiev, P.V. Shevchenko and O.P. Sushkov (1998). The bulk Josephson effect  in two-condensate cuprate superconductors, Physica  C-superconductivity and its applications 301, 255-261.
  56. P.V. Shevchenko and O.P. Sushkov (1998). A new type of  collective excitations in two-condensate cuprates. Superconductor Science & Technology 11(10), 1190-1192.
  57. P. Shevchenko and O. Sushkov (1998). The role of g-wave  pairing and Josephson tunneling in high-Tc cuprate  superconductors. Physica  C-superconductivity and its applications 295, 292-303.
  58. S.V.  Vladimirov, P.V. Shevchenko, N.F. Cramer (1997). Vibration modes in the  dust plasma crystal. Physical Review E 56(1), R74-R76.
  59. P.V. Shevchenko and O.P. Sushkov (1997). Phase  oscillations between two superconducting condensates in cuprate  superconductors. Physics Letters A 236, 137-142.
  60. A.F.  Andreev, Ya.B. Bazalii and P.V. Shevchenko (1996). Nonlinear  oscillations of a degenerate He3-He4 solution, Zhurnal Eksperimentalnoi  i Teoreticheskoi Fiziki 109(5),  1645-1661 (English version: Journal of  Experimental and Theoretical Physics 82(5), p. 885, May 1996)
  61. A.F.  Andreev and P.V. Shevchenko (1995). Nonlinear zero sound in normal Fermi  liquid. Zhurnal  Eksperimentalnoi i Teoreticheskoi Fiziki 107(5), 1587-1595 (English version: Journal of Experimental and Theoretical Physics 80(5), p.885, May 1995).

Full conference proceedings papers

  1. M.  Ames, G. Bagnarosa, G. Peters, and P.V.  Shevchenko (2017). Forecasting Covariance for Optimal Carry Trade Portfolio  Allocations. 41st ICASSP IEEE international conference on Financial Signal Processing and  Machine Learning for Electronic Trading, pp. 5910-5914. DOI: 10.1109/ICASSP.2017.7953290. Available on http://dx.doi.org/10.2139/ssrn.2711586.
  2. X. Luo, P.V. Shevchenko (2015). Variable Annuity with GMWB: surrender or not, that is the  question. In T. Weber, M. J. McPhee, and R. S. Anderssen  (Eds.), MODSIM2015, 21st InternationalCongress on Modelling and Simulation. Modelling and  Simulation Society of Australia and New Zealand, pp. 959-965. ISBN: 978-0-9872143-5-5, http://www.mssanz.org.au/modsim2015/E1/luo.pdf.
  3. M.C. Fung, G.W. Peters, P.V. Shevchenko (2015). A State-Space Estimation of the Lee-Carter Mortality Model and  Implications for Annuity Pricing. In T. Weber, M.  J. McPhee, and R. S. Anderssen (Eds.), MODSIM2015, 21st InternationalCongress  on Modelling and Simulation. Modelling and Simulation Society of Australia and  New Zealand, pp. 952-958. ISBN: 978-0-9872143-5-5. http://www.mssanz.org.au/modsim2015/E1/fung.pdf.
  4. P.V. Shevchenko, J. Hirz and U. Schmock (2015). Forecasting Leading Death Causes in  Australia using Extended CreditRisk+. In T. Weber, M.  J. McPhee, and R. S. Anderssen (Eds.), MODSIM2015, 21st InternationalCongress  on Modelling and Simulation. Modelling and Simulation Society of Australia and  New Zealand, pp. 966-972. ISBN: 978-0-9872143-5-5. http://www.mssanz.org.au/modsim2015/E1/shevchenko.pdf.
  5. X. Luo, and P.V. Shevchenko (2013) When to Bite the Bullet? - a Study of  Optimal Strategies for Reducing Global Warming. In  Piantadosi, J., Anderssen, R.S. and Boland J. (eds) MODSIM2013, 20th  International Congress on Modelling and Simulation. Modelling  and Simulation Society of Australia and New Zealand, December 2013, pp. 1447-1453. http://www.mssanz.org.au/modsim2013/F10/luo.pdf.
  6. L. Ozorio, P. Shevchenko and C. Bastian-Pinto (2013). The Choice of Stochastic  Process in Real Option Valuation II: Selecting Multiple Factor Models. 17th Annual International  Conference on Real Options: Theory Meets Practice. Tokyo, Japan, July 24-27, 2013. http://www.realoptions.org/openconf2013/data/papers/32.pdf.
  7. Y. Krvavych and P. Shevchenko (2011). Managing Exposure to Reinsurance Credit Risk. International conference of International Actuarial Association - ASTIN  Colloquium 2011, Madrid, Spain, June 2011. Conference  proceedings http://www.actuaries.org/ASTIN/Colloquia/Madrid/Papers/Krvavych_Shevchenko.pdf.

Under review

  1. Ames, Matthew and Bagnarosa, Guillaume and Peters, Gareth William and Shevchenko, Pavel V. and Matsui, Tomoko (2016). Which Risk Factors Drive Oil Futures Price Curves? Speculation and Hedging in the Short and Long-Term. Preprint, available at SSRN: https://ssrn.com/abstract=2840730.
  2. M. C. Fung, G. Peters and P.V. Shevchenko (2017). Cohort Effects in Mortality Modelling: a Bayesian State-Space Approach.  Preprint,  https://ssrn.com/abstract=2907868
  3. J. Sun, P.V. Shevchenko, M.C. Fung (2017). A Note on the Impact of Management Fees on the Pricing of Variable Annuity Guarantees. Preprint, http://ssrn.com/abstract=2967045

chapters toggle icon open Book Chapters

  1. P.V. Shevchenko (2014). Operational Risk. Chapter 7, pp. 119-140 in Investment Risk Management, edited by H. Kent Baker and Greg Filbeck, Oxford University Press, New York. ISBN: 9780199331963.
  2. P.V. Shevchenko and M.V. Wuthrich (2010). Operational Risk: Combining Internal Data, External Data and Expert Opinions. Chapter 13, pp. 401-437 in Rethinking Risk Measurement and Reporting, Volume II edited by Klaus Bocker, Risk Books, London. ISBN: 978-1-906348-50-2.
  3. Peters, Gareth William and Shevchenko, Pavel V. and Cohen, Ruben D. and Maurice, Diane (2017). Statistical Machine Learning Analysis of Cyber Risk Data: Event Case Studies. Available at SSRN: https://ssrn.com/abstract=3073704. To appear in FinTech: Growth and Deregulation, RiskBooks, edited by Diane Maurice, Jack Freund and David Fairman.
  4. Peters, Gareth William and Shevchenko, Pavel V. and Cohen, Ruben D. and Maurice, Diane (2017). Understanding Cyber Risk and Cyber Insurance. Available at SSRN: https://ssrn.com/abstract=3065635. To appear in FinTech: Growth and Deregulation, RiskBooks, edited by Diane Maurice, Jack Freund and David Fairman.

monographs toggle icon open Monographs

  • P.V. Shevchenko (2011). Modelling Operational Risk Using Bayesian Inference. Berlin, Springer. ISBN: 978-3-642-15922-0.
  • G.W. Peters and P.V. Shevchenko (2015). Advances in Heavy Tailed Risk Modeling: a Handbook of Operational Risk, Wiley. ISBN: 978-1-118-90953-9.
  • M. G. Cruz, G.W. Peters and P.V. Shevchenko (2015). Fundamental Aspects of Operational Risk and Insurance Analytics: a Handbook of Operational Risk, Wiley. ISBN 978-1-118-11839-9.

Wiley OpRisk book1Wiley OpRisk book2

non-refereed toggle icon open Non-Refereed Publications

  1. P.V. Shevchenko (2006). Implied  Correlation for Pricing Multi-FX Options. Derivatives  Week, March 13 pp.8-9, and March 20 pp. 10-11. CSIRO CMIS1810 and CMIS2306.  Preprint, http://arxiv.org/abs/0904.4822.
  2. X. Luo and P.Shevchenko (November 2015). Pricing Variable       Annuities with Guaranteed Minimum Withdrawal Benefits. CSIRO-Monash Superannuation Research Cluster, CSIRO EP158702.
  3. X. Luo and P.Shevchenko (November 2015). Pricing Variable Annuities with Combined Death and Guaranteed       Minimum Withdrawal Benefits. CSIRO-Monash       Superannuation Research Cluster, CSIRO EP158814.
  4. J.       Hirz, U. Schmock and P. V. Shevchenko (2016). New Insights in Conditional Risk Measurement and Risk Aggregation       with Applications to Mortality Modelling and Life Insurance. SCOR paper to be available on https://www.scor.com/en/sgrc/scor-publications/scor-papers.html. CSIRO EP162920.
  5. X. Luo and P. Shevchenko (November 2015). Pricing Capital Protection Guarantees       for Super and Pension Accounts. CSIRO-Monash       Superannuation Research Cluster, CSIRO EP158701.
  6. Ariane Chapelle,       Bertrand Hassani, Gareth W Peters, Evan Sekeris, Pavel Shevchenko (17 March 2016). Discarding the AMA could become a source of op risk. Published       online on Risk.Net and will       appear in Risk Magazine (response to       Basel committee proposed changes to operational risk capital requirement       formulas).http://www.risk.net/operational-risk-and-regulation/opinion/2451089/discarding-the-ama-could-become-a-source-of-op-risk
  7. Gareth W Peters, Pavel Shevchenko, Bertrand Hassani       and Ariane Chapelle (June 2016). Standardized       Measurement approach for Operational Risk: pros and cons. Uploaded to       Basel website www.bis.org, response to Basel Committee for Banking Supervision consultative document “Standardised Measurement Approach for operational risk” issued in March 2016 for comments by 3 June 2016, https://www.bis.org/bcbs/publ/comments/d355/suefu.pdf and http://ssrn.com/abstract=2789006.

seminar toggle icon open Academic Seminar Presentations

Invited seminars/lectures/training courses

  1. Pavel Shevchenko (2017). Valuation of Variable Annuity Guarantees. 4 seminar for The Institute of Statistical Mathematics, Tachikawa; Osaka University; Hitotsubashi University; and Ritsumeikan University during October 2017.
  2. Pavel Shevchenko (2017). Crunching mortality and annuity portfolios using Extended CreditRisk Plus. ANU, March 2017.
  3. P. Shevchenko (2016). Valuation of Variable Annuities with Guarantees via stochastic control optimization. Rennes School of Business, France, December 2016.
  4. Pavel Shevchenko (2016). Crunching mortality and annuity portfolios using Extended CreditRisk Plus. ETH Zurich, November 2016.
  5. Pavel Shevchenko (2016). Quantitative Financial Risk: personal experience of two decades of work. UTS Sydney, September 2016.
  6. P. Shevchenko (2016). Valuation of Variable Annuities with Guarantees via stochastic control optimization. Stern School of Business, New York University, July 2016, New York.
  7. Pavel Shevchenko (2016). Valuation of Variable Annuities with Guarantees via stochastic control optimization. Invited seminar for National Australia Bank, March 2016.
  8. Pavel Shevchenko (2016). Valuation of Variable Annuities with Guarantees via stochastic control optimization. Invited seminar for Macquarie University, March 2016.
  9. Pavel Shevchenko (2015). Valuation of Variable Annuities with Guarantees via stochastic control optimization. Invited seminar for University of Technology Sydney, 9 September 2015.
  10. Pavel Shevchenko (2015). Valuation of Variable Annuities with Guaranteed Minimum Withdrawal Benefit and capital protection options via stochastic control optimization. Invited lecture for Lecture Series in Financial and Actuarial Mathematics, Vienna University of Technology, 9 June 2015.
  11. Pavel Shevchenko (2015). Modelling Annuity Portfolios and Longevity Risk with Extended CreditRisk Plus. Seminar for University of Wollongong, 27 March 2015.
  12. Pavel Shevchenko (2015). Modelling Annuity Portfolios and Longevity Risk with Extended CreditRisk Plus. Seminar for University of New South Wales, 27 February 2015.
  13. Pavel Shevchenko (2015). Modelling Annuity Portfolios and Longevity Risk with Extended CreditRisk Plus. Seminar for University College London, 28 January 2015.
  14. Pavel Shevchenko (2014). Loss Distribution Approach for Operational Risk Capital Modelling: challenges and pitfalls. Seminar for University of Sydney, 7 May 2014.
  15. Pavel Shevchenko (2014). Loss Distribution Approach for Operational Risk Capital Modelling: challenges and pitfalls. Seminar for Stern School of Business, New York University, March 2014.
  16. Pavel Shevchenko (2014). Loss Distribution Approach for Operational Risk Capital Modelling: challenges and pitfalls. Seminar in Rutgers University, April 2014.
  17. Pavel Shevchenko (2014). Loss Distribution Approach for Operational Risk Capital Modelling: challenges and pitfalls. Seminar in Stevens Institute of Technology, March 2014.
  18. Pavel Shevchenko (2014). Combining different data sources to estimate Operational Risk. Pre-conference workshop for OpRisk North America, New York, 25 March 2014. Workshop organizers Risk Journals.
  19. Pavel Shevchenko (2014). A generalized grouped t-copula with multiple parameters of degrees of freedom and analysis of tail dependence in currency carry trades. Invited seminar for University of California, Santa Barbara, 8 April 2014.
  20. Pavel Shevchenko (2014). Loss Distribution Approach for Operational Risk Capital Modelling: challenges and pitfalls. Public lecture at University of Columbia, New York, 24 March 2014.
  21. Pavel Shevchenko (2014). Modelling financial risks using copulas: foreign exchange and operational risk case studies. Invited seminar for Beihang University, Beijing, 9 January 2014.
  22. Pavel Shevchenko (2014). Quantitative Modelling of financial risks: applications in option pricing and operational risk. Invited seminar for Peking University, Beijing, 9 January 2014
  23. Pavel Shevchenko (2014). Quantitative modelling of financial risks. Invited seminar for Institute of Applied Mathematics, Chinese Academy of Sciences, 7 January 2014.
  24. P. Shevchenko (Dec 2012). Operational risk: combining different data sources, capital allocation, risk aggregation. CSIRO-UTS workshop Operational risk: models, methods and best practices, UTS Sydney, 4 December 2012
  25. P. Shevchenko (2012). Combining different data sources for estimation of operational risk. UNSW-CSIRO Workshop – “Risk: modelling, optimization and inference”, UNSW, 2 July 2012
  26. P. Shevchenko (Oct 2012). Combining different data sources for estimation of operational risk. Federal Reserve Bank of Richmond, Charlotte USA, 23 October 2012.
  27. Pavel Shevchenko (2012) Quantitative modelling of financial risks. Invited seminar for Zurich University of Applied Sciences, 11 September 2012.
  28. Pavel Shevchenko (2012) Quantitative modelling of financial risks. Invited seminar for Laboratoire JA Dieudonne, Sophia Antipolis – University of Nice, 17 September 2012.
  29. P. Shevchenko (2011). Quantitative modelling of financial risks. Invited seminar, UNSW Mathematics and Statistics, September 2011
  30. P. Shevchenko (2011). Operational risk capital modeling. Lecture for Bachelor of Applied Finance program, Faculty of Business and Economics, Macquarie University, August 2011.
  31. P. Shevchenko (2011). Operational risk capital modeling. Lecture for Bachelor of Applied Finance program, Faculty of Business and Economics, Macquarie University, March 2011.
  32. P. Shevchenko (2011). Operational risk capital modeling. Invited lecture, Vienna Institute of Finance, May 2011.
  33. P.Shevchenko (2010). Quantitative Modelling of Financial Risk. Invited talk for Department of Mathematics, University of Technology, Sydney. November 2010.
  34. P.Shevchenko (2010). Modelling Financial Risk. Invited talk, Vienna University of Technology, Vienna, January 2010.
  35. P.Shevchenko (2010). Quantifying low-frequency/high-impact events. AEMO, Melbourne, April 2010
  36. P.Shevchenko (2010). Quantitative Modelling of Financial Risk. Industry event “Keeping the Complex Simple: Meeting the Regulatory Pressures of Risk Quantification and Analytics”, Sofitel Melbourne, 7 October 2010
  37. P.Shevchenko (2010). Scrutinising VaR. Invited talk for Tonkin industry conference “Investment Performance Measurement & Risk”, July 2010, Sydney.
  38. P. Shevchenko (2010). Quantitative modeling of financial risks. Insurance Australia Group, May 2010, Sydney
  39. P. Shevchenko (2009). Quantitative Modelling of Financial Risks. Invited talk for The Statistical Society of Australia, Sydney, October 2009.
  40. P. Shevchenko (March 2009). Quantifying Operational Risk. Invited talk for Risk Management Symposium 2009, A Tonkin Premium Industry conference, Sydney, Rydges World Square (support provided).
  41. P. Shevchenko (2009). Pricing Exotic Options. Lecture for Bachelor of Applied Finance program, Faculty of Business and Economics, Macquarie University.
  42. P.V. Shevchenko (2008). Model risk in claims reserving within Tweedie's compound Poisson models. Invited talk for Department of Actuaries, Macquarie University, Sydney, November 2008.
  43. P.V. Shevchenko (2008). Model risk in claims reserving within Tweedie's compound Poisson models. Lecture, Vienna University of Technology, June 2008, (support provided).
  44. P. Shevchenko (19 May 2008). Bridging to Finance. Invited talk for ASR-CSIRO workshop Services Science Strategy: Challenges to Services Innovation, Qantas Boardroom, Sydney.
  45. P. Shevchenko (2008). Pre-conference half-day workshop Quantifying Operational Risk - Loss Distribution Approach. IIR conference Achieving Excellence in Operational Risk Management, Sydney, September 2008 (support provided)
  46. P. Shevchenko (May 2007). Combining Data Sources for Quantification of Operational Risk. Invited talk at Vienna University of Technology.
  47. P. Shevchenko (Sep 2007). Bridging to Finance. Lead speaker's invited talk for conference Quantitative Methods in Investment and Risk Management: sourcing new approaches from mathematical theory and the real world, Melbourne Centre for Financial Studies, 20 September 2007 (support provided).
  48. P. Shevchenko (Sep 2007). Guest presenter for e-conference "Quantifying Operational Risk using Internal Data, Relevant External Data and Expert Opinions" at the Operational Risk Forum on Austega, 1-7 September 2007
  49. P. Shevchenko (June 2006). Toy model for Operational Risk. Vienna University of Technology. Invited seminar talk.
  50. P. Shevchenko (June 2006). Toy model for Operational Risk. Swiss Federal Institute of Technology (ETH Zurich) Department of Mathematics, Zurich. Seminar talk.
  51. P. Shevchenko (June 2006). Modelling of Operational Risk. University of Geneva. Invited talk.
  52. P. Shevchenko (Apr 2006). Mathematical Modelling in Operational Risk and Option Pricing. Invited talk for Department of Statistics, Macquarie University, Sydney.
  53. P. Shevchenko (Oct 2006). Operational Risk Modelling. Invited seminar talk, the University of New South Wales, Sydney.
  54. P. Shevchenko (Aug 2006). Combining data sources for operational risk modelling. Invited talk for Commonwealth Bank of Australia, Sydney
  55. P. Shevchenko (2003). Local and stochastic volatility models for exotic options pricing consistent with the volatility smile. Invited talk for Financial Mathematics Colloquium, School of Mathematics and Statistics, University of Sydney.
  56. P. Shevchenko (2003). Monte Carlo methods for option pricing and calibration of stochastic volatility model. Training course for quantitative analysis group National Australian Bank, Melbourne.
  57. P. Shevchenko (2003). Copula and other dependence concepts for applications in Operational Risk. Invited talk for Perspectives on Operational Risk workshop, VisibleIT, Sydney
  58. P. Shevchenko (April 2003). Copula and other dependence concepts: application to index returns. Invited talk for quantitative analysis group Commonwealth Bank, Sydney.
  59. P. Shevchenko (March 2003). Pricing of Multi-Asset basket options via Monte Carlo simulations. Two day training course for Financial Engineering Workshop, School of Business, Bond University.
  60. P. Shevchenko (Feb 2002). Monte Carlo methods for option pricing and calibration of stochastic volatility model. Training course for National Australia bank.
  61. P. Shevchenko (2001). Copula and other dependence concepts for applications in Risk Management. Invited talk for Sydney Financial Mathematics Workshop, Sydney.
  62. P. Shevchenko (June 2001). Modelling with copulas. Two seminar talks for quantitative analysis group in Commonwealth Bank, Sydney.
  63. P. Shevchenko, J. McManus and A. Karas (Apr 2001). Modelling concepts in Group Operational Risk Management system of CBA. Technical seminar, Commonwealth Bank, Sydney.
  64. P. Shevchenko and R. Bursill (2001). Implementation of the stochastic mesh algorithms for pricing American options using Monte Carlo method. Financial Engineering using High Performance Computing conference, Australian Technology Park, Sydney.
  65. P. Shevchenko (Sep 2001). Modelling with copulas in Risk Management. Invited talk for AMP, Sydney.
  66. P. Shevchenko (Apr 2000). Financial Mathematics for Option pricing. Invited seminar talk for Mathematical Division ADFA, Canberra.
  67. P. Shevchenko (Sep-Dec 2000). Stochastic volatility models. Series of 4 lectures for quantitative analysis group in Commonwealth Bank, Sydney.
  68. P. Shevchenko (June 2000). Monte Carlo for pricing exotic options. Lecture for quantitative analysis group in Commonwealth Bank, Sydney.
  69. P. Shevchenko (Dec 1999). Monte Carlo simulations for option pricing, invited talk for quantitative analysis group in Commonwealth Bank, Sydney.

conference toggle icon open Conferences and Presentations

International conferences

  1. P. Shevchenko (2017). Impact of management fees on pricing of variable annuity guarantees. International Congress on Insurance: Mathematics and Economics, July 2017, Vienna.
  2. P.       Shevchenko (2016). Valuation of Variable Annuities with Guarantees via stochastic       control optimization. The 9th       World Congress of the Bachelier Finance Society, July 2016,       New York.
  3. P.       Shevchenko (2016). Valuation of Variable Annuities with Guarantees via stochastic       control optimization. International       Congress on Insurance: Mathematics and Economics, July 2016,       Atlanta, USA.
  4. P.       Shevchenko (2015). Modelling Annuity Portfolios and Longevity Risk with Extended       CreditRisk Plus. International conference Quantitative Methods in Finance, 14-18       December 2015, Sydney.
  5. P.       Shevchenko (2015). Valuation of Variable Annuities with Guarantees via stochastic       control optimization. International conference Stochastic Methods in Finance,       Insurance and Statistics, 8-13       December 2015, Shoal Bay Australia.
  6. P.       Shevchenko (2015). Retirement Product Design: pricing       capital protection products. Annual conference of CSIRO-Monash superannuation research cluster, December 2015,       Melbourne.
  7. P.V. Shevchenko, J. Hirz and U. Schmock (2015). Forecasting Leading Death Causes in       Australia using Extended CreditRisk+. International       Congress on Modelling and Simulation (MODSIM 2015), 29 November-4       December 2015.
  8. P.       Shevchenko (2015). Modelling Annuity Portfolios and Longevity Risk with Extended       CreditRisk Plus (based on joint paper with Jonas Hirz, Uwe Schmock). International Workshop on Spatial and Temporal       Modeling from Statistical, Machine Learning and Engineering perspectives       and International Workshop on Complex Systems Modeling and Estimation       Challenges in Big Data, 13-17 July 2015,       Tokyo, Japan (support provided).
  9. P. Shevchenko (2015). Modelling       Annuity Portfolios and Longevity Risk with Extended CreditRisk Plus (based       on joint paper with Jonas Hirz,       Uwe Schmock). Bachelier       Colloquium, Metabief, France,       11-18 January 2015 (support provided).
  10. Luo, X.L., P.V. Shevchenko (2015). Valuation       of Variable Annuities with Guaranteed Minimum Withdrawal and Death       Benefits via Stochastic Control Optimization. 21st International       Conference on Computing in Economics and Finance (CEF2015).June2015,       Taipei.
  11. Luo,  X.L., P.V. Shevchenko (2014). Pricing Variable Annuities Under the  Optimal Withdrawal Strategy Using Gauss-Hermite Quadrature on a Cubic Spline  Interpolation. IMS FPS-2014 Workshop. July 2014, University of Technology of Sydney, Australia.  pp. 10. CSIRO manuscript EP146072.
  12. P. Shevchenko (2014). Modelling Annuity  Portfolios and Longevity Risk with Extended CreditRisk Plus (based on joint  paper with Jonas Hirz, Uwe Schmock).  UNSW-CSIRO international workshop "Risk: Modelling, Optimization and Inference (with Applications in Finance, Insurance and Superannuation)", 11-12 December  2014 (support provided).
  13. P. Shevchenko (2014). Products with Protected capital, Income and  death Benefit. Annual conference of CSIRO-Monash  superannuation research cluster, December 2014, Melbourne.
  14. Tim  Ling, and Pavel Shevchenko (2014).  Local Volatility versus Black-Scholes Model: an empirical study of AUD/USD  implied volatility market data. International workshop IMS-Finance Probability and Statistics, July 2014, Sydney.
  15. Pavel Shevchenko (2014). Loss Distribution  Approach for Operational Risk. OpRisk  North America international industry conference, New York, 26-27 March 2014  (support provided).
  16. Pavel Shevchenko (2014). A generalized grouped t-copula. International conference "High-Dimensional  Dependence and Copulas". Beijing, January 2014 (support  provided).
  17. Anthony  Tooman, Pavel Shevchenko, Xiaolin  Luo, and Erik Schlogl (2013). Estimation of Default and Recovery Dependent via  a Common Latent Systematic Factor. International conference Quantitative Methods in Finance 2013,  Sydney.
  18. Tim  Ling, and Pavel Shevchenko (2013).  Local Volatility versus Black-Scholes Model: an empirical study of AUD/USD  implied volatility market data. International conference Quantitative Methods in Finance 2013, Sydney.
  19. P.Shevchenko (2013). Retirement Incomes. Annual conference of CSIRO-Monash superannuation research  cluster, December 2013, Melbourne.
  20. Xiaolin  Luo, and Pavel Shevchenko (2013).  Challenges and pitfalls in real option analysis of strategy to slow global  warming. International Congress on  Modelling and Simulation (MODSIM 2013).
  21. P.V. Shevchenko and G. W. Peters (2013). Loss  Distribution Approach for Operational Risk Capital Modelling under Basel II:  Combining Different Data Sources for Risk Estimation. 8th  International conference "International  Competition in Banking: Theory and Practice", Sumy, Ukraine, May  23-24, 2013 (support provided).
  22. P.V. Shevchenko (2012) Dependent default and recovery in downturn loss  given default credit risk model. European  Actuarial Journal conference, Lausanne, September 2012 (support  provided).
  23. P.V. Shevchenko (2012) The t-copula with multiple parameters of degrees of  freedom: simulation, calibration and model selection. International conference Computational Statistics 2012. Limassol,  August 2012 (support provided).
  24. P. Shevchenko (2012) CSIRO projects in finance using simulation methods. Sequential Monte Carlo Methods and Efficient  Simulation in Finance, international conference in Ecole Polytechnique  Paris ,10-12 October 2012 (support provided).
  25. P. Shevchenko (2012). Modelling default and  recovery dependent via systematic factor. Bachelier  World Congress, Sydney, June 2012.
  26. P. Shevchenko and X. Luo (2011). Dependent  default and recovery: MCMC study of downturn LGD credit risk model. 10th Engineering Mathematics and  Applications Conference, Sydney.
  27. P. Shevchenko (2011). Bayesian model  choice of grouped t copula. International  conference Bayes of the Beach, Gold Coast, October 2011.
  28. X.  Luo, P. Shevchenko, B. Sayer, W.  Blackhall, C. Coelho (2011). A  Structured Model for Estimation of Automotive Paint Labour Times. 10th Engineering Mathematics and  Applications Conference, Sydney.
  29. Y.  Krvavych and P. Shevchenko (2011). Managing Exposure to Reinsurance Credit Risk. International conference of International Actuarial Association - ASTIN Colloquium 2011, Madrid, Spain, June 2011. Conference  proceedings CD.
  30. G. Peters, P. Shevchenko and M. Wuthrich (2009).  Dynamic operational risk: modelling dependence and combining different  sources of information. 15th International Conference Computing in Economics  and Finance, UTS, Sydney.
  31. P. Shevchenko (2009). Risk Quantification for Finance Industries. 4th annual  conference of Society of Risk Analysis  Australia and New Zealand, Wellington NZ, September 2009.
  32. P. Shevchenko (2009). Quantitative Modelling of Financial Risks. Invited talk  for Australia-Japan Workshop on Data  Science, Keio University, Japan. Conference proceedings CD, Abstract Book  p.14 (support  provided).
  33. X. Luo and P. Shevchenko (2009).  Efficient Numerical  Inversion of Characteristic Functions for   Computing Tails of Compound Distributions. 15th International Conference on Computing in Economics and Finance,  Sydney, July.
  34. X.  Luo and P.V. Shevchenko (2008). A Generalized Grouped t-copula for Application to Risk  Management. International conference Quantitative  Methods in Finance, Sydney. Conference paper, conference proceedings  p.84.
  35. G.  W. Peters, P.V. Shevchenko and M. V.  Wuthrich (2008).  Operational risk via Bayesian inference: modelling dependence and combining  different data sources. The  9th World Conference of the International Society for Bayesian Analysis (ISBA) 2008, Hamilton Island, Australia.
  36. G.  W. Peters, P.V. Shevchenko and M. V.  Wuthrich (2008). Model risk in claims  reserving within Tweedie's compound Poisson models. International conference of International Actuarial  Association - ASTIN Colloquium 2008, Manchester UK, July 08. Conference paper CMIS  2702.
  37. P.V. Shevchenko (2008). Modelling Operational Risk using Bayesian Approach. International  Symposium on Business and Industrial Statistics (ISBIS  conference), Prague, July 2008.
  38. D. D. Lambrigger, P.V.  Shevchenko and M. V. Wuthrich (2008). Give Credit where Credit is due: Operational Risk goes Bayesian. International conference of International Actuarial Association  - ASTIN Colloquium 2008, Manchester UK, July 08.
  39. P. Shevchenko (2005). Operational Risk Modelling  and Quantification. Invited talk for Cherry  Bud conference: Risk Management: Theory and Practice, Keio University,  Japan. Proceedings of Cherry Bud workshop  Quantitative Risk Management: Theory and Practice, Keio University, Japan,  editors: R. Shibatta, P. Embrechts, M. Maejima and P. Thomson, pp. 114-117 (support provided).
  40. P. Shevchenko (2005). Operational Risk Modelling and Quantification. Invited talk for the Fourth International Symposium on Business  and Industrial Statistics (ISBIS conference), Palm Cove, Australia.
  41. P.  Shevchenko and Z. Zhu (2003). Volatility Skew  calibration in Reditus - CSIRO exotic option platform. Invited talk, Q-group  (Australian association of practitioners and researchers in finance) annual  international colloquium, Sydney.
  42. P.  Shevchenko and St.George quantitative analysis group  (M. Gordon et al) (2000). Monte Carlo simulations to price American options,  Sydney Financial Mathematics Workshop
  43. P.V.  Shevchenko and O. P. Sushkov (1998). Spin-wave gap  critical index for the quantum two-layer Heisenberg antiferromagnet at T=0, VIIIGordon Godfrey Workshop on condensed matter physics, UNSW.
  44. P.V.  Shevchenko and O. P. Sushkov (1998). Josephson  tunneling in two-condensate cuprates, "22nd annual Condensed Matter Physics  Meeting", Charles Sturt University, Wagga Wagga, Australia(support provided).
  45. L.  Swierkowski, J. Oitmaa and P. Shevchenko (1998). Interlayer coupling in  magnetic semiconductor multilayers, "22nd annual Condensed Matter Physics  Meeting", Charles Sturt University, Wagga Wagga, Australia (support  provided).
  46. M.Yu.  Kuchiev, P.V. Shevchenko and O.P. Sushkov (1998). The Bulk Josephson  response of the d-g wave cuprate superconductors, Simposium Handbook of  "International Symposium of Processing & Critical Current of High  Temperature Superconductors, Charles Sturt University, Wagga Wagga, Australia (support provided).
  47. P.V.  Shevchenko and O.P. Sushkov (1998). New type of  collective excitations in two-condensate cuprates, Simposium Handbook of  "International Symposium of Processing & Critical Current of High  Temperature Superconductors, Charles Sturt University, Wagga Wagga, Australia (support provided).
  48. P.V. Shevchenko and O.P. Sushkov (1997). G-wave pairing in  cuprate superconductors, proceedings of the "IX International conference on  Recent Progress in Many Body Theories", UNSW, Sydney, Australia, published in  Series on Advances in Quantum Many-Body Theory, Vol.1, p.345.

reports toggle icon open Reports

  1. P.V. Shevchenko (2016) Analysis of withdrawals from Self-Managed Super Funds using Australian Taxation Office data. CSIRO technical report EP164438.
  2. P.V. Shevchenko, X. Luo and S. Fung (2015) Modelling shape parameters for operational risk distribution tails: validation report for Suncorp bank. Commercial in confidence report for Suncorp bank, EP154946.
  3. P.V. Shevchenko, X. Luo and S. Fung (2015) Validation of IAG Labour Time Formulas. Commercial in confidence report for Insurance Australia Group, EP155364.
  4. M.C. Fung and P. Shevchenko (2015). Retirement Income Products: a concise summary. CSIRO technical report EP 154026.
  5. Juri Hinz, Xiaolin Luo, Pavel Shevchenko, and Nicholas Yap (2014) Valuation of Variable Annuity with Guaranteed Minimum Withdrawal Benefit via Convex Switching System Approach. CSIRO technical report EP1410157.
  6. Rodrigo Dos Santos Targino, Gareth Peters, and Pavel  Shevchenko (2014) Sequential Monte Carlo estimation of risk and risk allocation. CSIRO technical report EP149992.
  7. Jonas Hirz, Uwe Schmock and Pavel Shevchenko and (2014). Modelling Annuity Portfolios and Longevity Risk with Extended CreditRisk Plus. CSIRO technical report EP144544.
  8. P. Shevchenko and Xiaolin Luo (2014). Pricing Variable Annuities Under the Optimal Withdrawal Strategy using Gauss-Hermite Quadrature on a Cubic Spline Interpolation. CSIRO technical report EP 143816.
  9. Pavel Shevchenko and Xiaolin Luo (2014) Suncorp Bank Operational Risk Capital Model: Validation Final Report. CSIRO commercial in confidence report EP147936.
  10. Pavel Shevchenko and Xiaolin Luo (2014) Suncorp Bank Operational Risk Model: Validation Stage One. CSIRO commercial in confidence report EP145018.
  11. P. Shevchenko and Xiaolin Luo (2014). Review of Suncorp Group Operational Risk Model, commercial in confidence report for Suncorp Group. CSIRO commercial in confidence report EP14856.
  12. P. Shevchenko and Xiaolin Luo (2014). Suncorp Group Operational Risk Model: Review Stage One, commercial in confidence report for Suncorp bank. CSIRO commercial in confidence report EP14700.
  13. Pavel Shevchenko, Zili Zhu and Thomas Lo (2014) Pricing Models for Vanilla and Pivot TARFs. CSIRO commercial in confidence report for GFI Fenics. EP1313126.
  14. P. Shevchenko and Pierre del Moral (2013). Pricing Barrier Options: Monte Carlo versus Sequential Monte Carlo. CSIRO technical report EP 1311500.
  15. P. Shevchenko and Xiaolin Luo (2013). Valuation of variable Annuities with Guaranteed Minimum Withdrawal Benefits via Finite Difference Method. CSIRO technical report EP 1312048.
  16. P. Shevchenko (2013). Strategic Plan for CSIRO Quantitative Finance Research Centre. CSIRO technical report EP 137499.
  17. P. Shevchenko (2013) Review of Suncorp Bank Operational Risk Capital Model, commercial in confidence for Suncorp. CSIRO commercial in confidence report EP136299.
  18. Pavel Shevchenko, and Zili Zhu (2013) Pricing Models for Vanilla, Sliding and Pivot TARFs. CSIRO commercial in confidence report for GFI Fenics. EP137142.
  19. Tim Ling, and Pavel Shevchenko (2013). Pricing FX options using local volatility model: calibration and historical backtesting. CSIRO technical report EP137447.
  20. Peter Toscas, Zili Zhu, Pavel Shevchenko, and Xiaolin Luo (2013). Interim Report about Retirement Benefits System. CSIRO commercial in confidence report for Department of Human Services, EP136729.
  21. L. Dong, A.Novikov and P.Shevchenko (2012). VWAP and VWAP options: motivation and literature. CSIRO technical report EP13121.
  22. P. Shevchenko and X.Luo (2012). Validation of CBA Option Pricing Models: Calculation of Greeks, Overall Report. CSIRO confidential report for Commonwealth bank of Australia, EP122131.
  23. P. Shevchenko, T. Lo and Z. Zhu (2012). Target Accumulation Redemption Forward Pricing Model. Confidential report for GFI Fenics. EP124498.
  24. P. Shevchenko (2012). Capital Modelling for Basel II Accreditation and Margin Lending Risk Management. CSIRO confidential document prepared for Bendigo and Adelaide Bank,  EP122562.
  25. P. Shevchenko and X.Luo (2012). Validation of CBA Option Pricing Models: Barrier Options, Final Report. CSIRO confidential report for Commonwealth bank of Australia, EP121603.
  26. P. Shevchenko and X.Luo (2012). Validation of CBA Option Pricing Models: Asian Options, Final Report. CSIRO confidential report for Commonwealth bank of Australia, EP121604.
  27. P. Shevchenko and X.Luo (2012). Validation of CBA Option Pricing Models: American Options, Final Report. CSIRO confidential report for Commonwealth bank of Australia, EP121605.
  28. P. Shevchenko and X.Luo (2012). Validation of CBA Option Pricing Models: Calculation of Greeks, Intermediate Report. CSIRO confidential report for Commonwealth bank of Australia, EP12725.
  29. P. Shevchenko and X.Luo (2012). Validation of CBA Option Pricing Models: American Options, Intermediate Report. CSIRO confidential report for Commonwealth bank of Australia, EP12405.
  30. P. Shevchenko and X.Luo (2012). Validation of CBA Option Pricing Models: Asian Options, Intermediate Report. CSIRO confidential report for Commonwealth bank of Australia, EP12404.
  31. P. Shevchenko and X.Luo (2012). Validation of CBA Option Pricing Models: Barrier Options, Intermediate Report. CSIRO confidential report for Commonwealth bank of Australia, EP12403.
  32. P. Shevchenko and X.Luo (2011). Westpac's Operational Risk Capital Model: Review of Model Design. CSIRO confidential report for Westpac, EP 111270.
  33. P. Shevchenko (2010). Validation of Westpac's Operational Risk Capital Model. CSIRO confidential report for Westpac, EP 106628.
  34. P.       Shevchenko and Z. Zhu (2011). Validation of CBA Option Pricing Models: Final Report on FX TARN. CSIRO confidential report for Commonwealth bank of Australia, EP 114079.
  35. Z. Zhu and P. Shevchenko (2011). Validation of CBA Option Pricing Models: Final Report on Implied Volatility Construction. CSIRO confidential report for Commonwealth bank of Australia, EP 114080.
  36. Z. Zhu and P. Shevchenko (2011). Validation of CBA Option Pricing Models: Final Report on Local Volatility Construction. CSIRO confidential report for Commonwealth bank of Australia, EP 114081.
  37. P.       Shevchenko and Z.Zhu (2011). Validation of CBA Option Pricing Models: Implied Volatility and Local Volatility Intermediate Report. CSIRO confidential report for Commonwealth bank of Australia, EP 112276.
  38. P.       Shevchenko and Z. Zhu (2011). Validation of CBA Option Pricing Models: FX TARN Intermediate Report. CSIRO confidential report for Commonwealth bank of Australia, EP 112228.
  39. P.       Shevchenko (2010). Validation of CBA Option Pricing Models. CSIRO confidential report for Commonwealth bank of Australia, EP 106795.
  40. P. Shevchenko (2011). Closed-form transition densities to price barrier options with one or two underlying assets. CSIRO technical report EP11204.
  41. P. Shevchenko, X. Luo (2010). Review and Validation of IAG New Times and Rates Model. CSIRO confidential report for Insurance Australia Group, EP106735.
  42. Z.Zhu, R.Jarrett, P.Shevchenko and S.Dunstall (2010). Investigation of approaches for the  identification of extreme events for electricity transmission network. CSIRO confidential report for Australian Energy Market Operator (AEMO), EP102648, June 2010.
  43. P. Shevchenko, X. Luo and J. Donnelly (2010). Validation of  Operational Risk Quantitative Methodology. CSIRO confidential report for Commonwealth Bank of Australia, CMIS EP092498.
  44. Chris Okugami and P.V. Shevchenko (2009). Accelerating Monte Carlo for option pricing  applications using GPU. CSIRO technical report CMIS 09/134.
  45. X. Luo and P.V. Shevchenko (2009). Bayesian  Model Choice of Grouped t-copula using MCMC. CMIS technical report 09/64.
  46. Karol Binkowski, P.V.       Shevchenko and Nino Kordzakhia (2009). Modelling commodity prices. CSIRO technical report CMIS 09/43
  47. N.Warren, X. Luo, P.V. Shevchenko (2008). Numerical Evaluation of Compound       Process Distribution. CMIS technical report 08/16.
  48. C. Chen, P.V.       Shevchenko, T. Tarnopolskaya (2008). Optimal Asset Allocation       in Portfolio Management. CMIS technical report 08/15.
  49. C. Bocking and P.V. Shevchenko (2008). Option       pricing using Heston stochastic volatility model. CMIS technical report 08/87.
  50. Neale Fulton, Mark Horn, Pavel Shevchenko and Mark Westcott (2008). Investigation of Qantas fuel-carrying policy: risk assessment and measurement error. Confidential report for Qantas Airways Limited. CMIS report number 08/79.
  51. X.Lin, M.Westcott, P.V. Shevchenko (2007). Extreme Value Analysis: Theory, tools and applications. Technical report CMIS 07/104.
  52. Xiaolin Luo, P.V. Shevchenko and John Donnelly (2007). Quantifying Risk of Collateralized Security Loans for ANZ Security Lending, CSIRO commercial-in-confidence report, CMIS 07/117.
  53. Xiaolin Luo, P.V. Shevchenko and John Donnelly (2007). CSIRO Software Toolkit for Quantifying Risk of       Collateralized Security Loans. CSIRO commercial-in-confidence report, CMIS 07/110.
  54. X. Luo, P.V.       Shevchenko and John Donnelly (2006). Impact of Truncation and parameter Uncertainty on Operational Risk       Estimates. Technical report, CSIRO, CMIS 06/204.
  55. P.V. Shevchenko, X. Luo, X. Lin and J. Donnelly (2006). Modelling       Operational Risk via Scenario Analysis for Capital Allocation and AMA       Accreditation under Basel II. Confidential report for ANZ. CMIS report number 06/184.
  56. P.V.       Shevchenko, X. Luo, X. Lin and J. Donnelly (2006). CSIRO       Software Toolkit for Operational Risk Scenario Analysis: User's Guide. Confidential report for ANZ. CMIS report number 06/185.
  57. J. Donnelly, P.       Shevchenko (2006). Allocation of       Priorities to Accuracy Test Cases. CSIRO confidential report for Commonwealth Bank of Australia. CMIS report number: 06/169.
  58. P. Shevchenko, X. Luo and J. Donnelly (2006). Testing Plan for       ANZ Operational Risk Modelling Tools: Loss Data and Scenario Analysis. CSIRO confidential report for ANZ bank, CMIS 2006/157.
  59. T. Tarnopolskaya and P. Shevchenko and J. Donnelly (2006). Using       the EM Algorithm for Fitting Finite Mixture Models to Truncated Loss Data. CMIS technical report number 2006/156.
  60. P. Shevchenko, X. Luo and J. Donnelly (2006). A Loss       Distribution Approach for Modelling Operational Risk Capital at ANZ. CSIRO confidential report for ANZ bank, CMIS 2006/142.
  61. Helen Arnold, P. Shevchenko and X. Luo (Feb 2006). Dependence Modelling via the       Copula Method. CMIS technical report number 2006/15.
  62. T. Tarnopolskaya and P. Shevchenko (Feb 2006). Modeling Truncated Data: Multiple Known       and Stochastic Thresholds. CMIS technical report 2006/16.
  63. X. Luo and P. Shevchenko (Feb 2006). Modeling Truncated Data: Single       Known, Unknown and Stochastic Thresholds. CMIS Technical report 2006/17.
  64. J. Donnelly, D. Oats and P. Shevchenko (2005). Towards       Delivering a Minimal System for the. Calculation       of Regulatory Capital. CSIRO Commercial-in-Confidence Report for Commonwealth Bank of Australia. CMIS report number: 05/156.
  65. J. Donnelly, P.       Shevchenko and D. Oats (2005). Summary of tasks for Capital Model IT Solution. CSIRO Commercial-in-Confidence Report for Commonwealth Bank of Australia. CSIRO report number: CMIS 05/187.
  66. P.V. Shevchenko and J. Donnelly (Aug 2005). Validation of the Operational Risk LDA Model for Capital       Allocation and AMA Accreditation under Basel II. CMIS Confidential report prepared for Basel II programme ANZ bank. CSIRO report number: CMIS 05/132.
  67. P.V. Shevchenko and J. Donnelly (2005). Review of       Operational Risk LDA model for capital allocation and AMA accreditation       under Basel II. CSIRO confidential report for ANZ bank, CMIS 2005/100.
  68. P.V. Shevchenko and J. Donnelly (2005). CSIRO Software       Toolkit for Operational Risk: User's Guide June 2005. CSIRO commercial-in-confidence, CMIS 2005/106.
  69. Z. Zhu, X. Luo and P Shevchenko (2005). Review of Pricing Algorithms for a Complex Capital Security Deal. CSIRO confidential report for St George Bank: CMIS 2005/131.
  70. P. Shevchenko, J. Donnelly, D. Oats and A. Prictor (2004). Benchmarking the       Operational Risk Capital Model. CSIRO confidential report for CBA Group Operational Risk, CMIS 2004/174.
  71. P.V. Shevchenko and J. Donnelly (2004). Prototyping the       Revised Operational Risk Capital Model: Addressing Mathematical Issues. CSIRO confidential report for Operational Risk division of Commonwealth Bank of Australia, CMIS 04/96.
  72. P.V. Shevchenko and J. Donnelly (2004). Prototyping the       Revised Operational Risk Capital Model. CSIRO confidential report for Commonwealth Bank Group Operational Risk, CMIS 2004/34.
  73. Z. Zhu and P.       Shevchenko (2004). Review of Currency Options       Pricing System. CSIRO confidential report for National Australia Bank, CMIS 04/103.
  74. P. Shevchenko (2004). FenicsFX mathematical model and CSIRO Monte       Carlo and Analytic plug-ins. CSIRO technical report: CMIS 04/59.
  75. P. Shevchenko (2004). Calibration of Heston       Stochastic Volatility Model via Characteristic functions and Johnson       distributions for option pricing. CSIRO technical report: CMIS 2004/97.
  76. P. Shevchenko (2003). User's Guide: CSIRO Analytic       and Monte Carlo plug-ins for FENICS FX July 2003. CSIRO technical report: CMIS 04/54.
  77. Zili Zhu, Pavel Shevchenko and Alan Prictor (2003). Reditus platform for pricing       a suite of exotic options: User Guide Reditus v2.3, June 2003. CSIRO technical report: CMIS 04/52.
  78. Pavel Shevchenko (2003). Manual: Monte Carlo module in the option pricing software Reditus       v2.3, June 2003. CSIRO technical report: CMIS 04/51.
  79. Zili Zhu, Pavel Shevchenko and Alan Prictor (2003). Reditus Exotic Options Plug-in: User       Information Pack, June 2003. CSIRO technical report: CMIS 03/99.
  80. P.V. Shevchenko (2001). Advanced Monte Carlo methods for pricing European-style options, CSIRO techical report: CMIS 2001/148.
  81. P.V. Shevchenko (2001). Manual: Monte Carlo module for pricing European-style options, CSIRO technical report: CMIS 2001/197.
  82. P.V. Shevchenko and J. Donnelly (2001). A Review of Group Operational Risk Management System Methodology for  Economic Equity Aggregation, CSIRO confidential report for Commonwealth Bank of Australia, CMIS 2001/103.
  83. P.V. Shevchenko, A. Prictor and J. Donnelly (2000). User Acceptence Testing of the Group Operational Risk Management System, CSIRO confidential report for Commonwealth Bank of Australia, CMIS 2000/166.
  84. P.V. Shevchenko, A. V. Radchik, N. Muller and J. Schulte (1998). Nonlinear  Resonances and their influence on the mass resolution of the Quadrupole Mass  Filter , confidential report for Balzers Ltd, Liechtenstein.

Professional Membership

  • Industry Advisory Board of: University of Technology, Sydney Australia
  • Associate Editor of: Journal of Operational Risk, Incisive Media Risk.Net, London England
  • Associate Editor of: international journal RISKS, MDPI, Switzerland
  • Member of: Retirement Incomes Working Group, Institute of Actuaries of Australia, Australia

phd supervision toggle icon open PhD Student Supervision

  • Gareth Peters (UNSW 2007-09), PhD student with UNSW  Prof. S. Sisson “Advanced Monte Methods for risk estimation”.
  • Jonas Hirz (Vienna University of Technology 2012-2015), PhD student from Vienna TU with Prof Uwe Schmock “Advanced Conditional Risk Measurement and Risk Aggregation with Applications to Credit and Life Insurance”.
  • T. Ling (UTS 2010-13), PhD student jointly with UTS Prof A. Novikov “Backtesting of option pricing models”.
  • T. Leach (UNSW 2012-15), PhD student UNSW Dr G. Peters “Modelling commodity futures panel data”.
  • A. Tooman (UTS, 2012-2015), IDTC PhD student with Prof E. Schlogl, “Credit risk modelling”.
  • L. Dong (UTS 2012-2015), PhD student with UTS Prof Novikov, “Pricing volume weighted average option”.
  • P. Veerhuis (UNSW 2012-2015), part time PhD student UNSW from APRA, “Central bank responses to the financial crisis and impact of the regulatory changes”.
  • R. Targino (UCL 2013-2016), PhD student jointly with UCL Dr G. Peters, “Advanced Monte Carlo methods for risk modelling”.
  • Nicholas Yap (UTS 2014-2015), PhD student jointly with UTS Prof J. Hinz, “Pricing variable annuities using convex switching optimal stochastic control”.
  • Johan Andreasson (UTS 2014-2017), IDTC PhD student (UTS supervisors Prof A. Novikov and Prof J.Hinz) “Superannuation and retirement planning modelling”.
  • Jin Sun (UTS 2016-2020), IDTC PhD student (UTS supervisor Prof Eckhard Platen) “Retirement incomes products”

PhD students supported by Endeavour Research Fellowship from Department of Education:

  • Jonas Hirz (Vienna University of Technology 2014), PhD student from Vienna TU Prof Uwe Schmock “Modelling longevity risk and annuity portfolio using credit risk plus extended”.
  • Rodrigo Targino (University College London, 2015), PhD student UCL Dr Peters “Risk capital allocation via sequential Monte Carlo”.
  • Matthew Ames (University College London, 2015-2016), PhD student UCL Dr Peters “Carry trade strategies in FX and commodity markets”.

honours supervision toggle icon open Honours Supervision

MSc students:

  • Thomas Lo (Macquarie University, 2013), Macquarie University supervisor Dr N. Kordzhakia, “Pricing barrier options using Monte Carlo”.
  • Jie Zhu (Macquarie University, 2017) “Advanced Monte Carlo Methods for Pricing Bermudan Options and their Applications in Real Options Analysis”.

Interns

  • K.Binkowski (Macquarie Uni and AMSI, 2009), “Modelling commodity futures panel data”.
  • C.Bocking (East Anglia Uni UK, 2008), “Stochastic volatility model for option pricing”.

Summer students

  • N.Warren (Melbourne Uni 2008), “Panjer recursion, FFT and Monte Carlo for calculation of compound distributions”.
  • C.Chen (Melbourne Uni 2008), “Portfolio asset allocation”.
  • H.Arnold (Uni of Sydney 2006), “Model selection of copula for financial data”.

Honorary appointments

  • Adjunct Professor, School of Mathematics and Statistics UNSW (2013-2019)
  • Adjunct Professor, School of Mathematical Sciences UTS (2011-2012, 2015-2018)
  • Honorary Senior Research Associate, Department of Statistical Science, University College London (2012-2016)

Awards

  • Operational Risk Awards 2017 - Paper of the year: Incisive Media, London
  • Newton Turner Award: CSIRO OCE award, 2012 
  • Partnership Excellence Award: CSIRO Mathematical and Information Sciences, 2009
  • Go for Growth Award: CSIRO Mathematical and Information Sciences, 2007
  • Partnership Excellence Award: CSIRO Mathematical and Information Sciences, 2006
  • Service from Science Award: CSIRO Mathematical and Information Sciences, 2004
  • Recognition Awards: CSIRO Mathematical and Information Sciences: 2003, 2004
  • Award for Postgraduate Excellence in Physics at UNSW in 1998
  • Three Gordon Godfrey awards in Theoretical Physics at UNSW in 1997, 1998, 1999
  • Overseas Postgraduate Research Scholarship from Australian Government, 1996-1999
  • Two Landau awards from Forschungszentrum Zulich GmbH, Germany, 1994-1996
  • Landau Theoretical Minimum, Kapitza Institute, Russian Academy of Sciences, 1992

Invited visits to overseas research labs

  • New York University, Stern School of Business 2012, 2014, 2016 (hosted by Prof M. Pinedo)
  • Vienna University of Technology 2006,2007,2008,2010,2015,2017 (hosted by Prof U. Schmock)
  • Oxford Man Institute, 2015 (hosted by Prof Marek Musiela)
  • Institute of Statistical Mathematics, Tokyo, 2015, 2017 (hosted by Prof Tomoko Matsui)
  • University College London 2012, 2015 (hosted by Dr. Gareth Peters)
  • University of California, 2014 (hosted by Prof J-P Fouque)
  • Columbia University, 2014 (hosted by Prof Emanuel Derman)
  • Rutgers University, USA, 2014 (hosted by Prof A. Ruszczynski) 
  • Chinese Academy of Sciences, Peking University; Beihang University, Beijing 2014 (hosted by Prof Jianming Xia, Prof Jingping Yang, Prof Lihong Zhang)
  • Federal Reserve Bank of Richmond USA 2012 (hosted by Dr. B. Ergashev)
  • Zurich University of Applied Sciences 2012 (hosted by Prof J. Hinz)
  • INRIA Bordeaux, 2012 (hosted by Prof P. Del Moral)
  • University of Nice - Sophia Antipolis 2012 (hosted by Dr Sylvain Rubenthaler)
  • ETH Zurich 2006, 2008, 2009, 2016 (hosted by Prof. P. Embrechts)
  • Vienna Institute of Finance 2011 (hosted by Dr Eberhard Mayerhofer)
  • Geneva University 2006 (hosted by Prof E. Ronchetti)
  • Keio University 2005, 2009 (hosted by Prof. R. Shibata)

Previous Employment

  • 1992-1996: junior researcher, Kapitza Institute for Physical Problems of Russian Academy of Sciences.
  • 1999-2002: Research Scientist (CSOF level 5) CSIRO Mathematical and Information Sciences, Sydney, Australia.
  • 2002-2005: Senior Research Scientist (CSOF level 6) CSIRO Mathematical and Information Sciences, Sydney, Australia.
  • 2005-2012: Principal Research Scientist (CSOF level 7) CSIRO Mathematics, Informatics and Statistics, Sydney, Australia.
  • 2012-2016: Senior Principal Research Scientist (CSOF level 8.1) CSIRO Computational Informatics, Sydney, Australia
  • 2016 (1 July)-2016 (22 August)Senior Principal Research Scientist (CSOF level 8.2), CSIRO Data61, Sydney, Australia.
  • 2016 (23 August)-current: Professor, Department of Applied Finance and Actuarial Studies, Macquarie University, Sydney, Australia