Staff Profile

Dr Pavel V. Shevchenko, PhD MSc BSc Principal Research Scientist, Team Leader Financial Risk Management CMIS, Sydney, Australia

See Dr Shevchenko's formal CSIRO resume here.

Contact Details

Organisation: CSIRO Mathematical and Information Sciences
Location: Building E6B, Macquarie University Campus, North Ryde NSW, Australia
Mail: Locked Bag 17, North Ryde, NSW 1670, Australia
E-mail: Pavel.Shevchenko@csiro.au
Telephone: +61 2 9325 3218
Fax: +61 2 9325 3200

Software Development and Consulting Activities

Consulting, training and software development in financial risk management:

Operational Risk, Credit Risk, Market Risk, Option Pricing, Portfolio optimisation, Insurance

Option Pricing Software:

Monte Carlo module for pricing exotic options in CSIRO software Reditus
Monte Carlo and Analytic plug-ins for pricing exotic FX options in Fenics FX software
 

Research/Professional Areas

Financial Mathematics: Option pricing, Modelling Commodities, Operational/Credit/Market Risk, Insurance
Statistical time series analysis

Extreme Value Analysis

Expert Elicitation
Computational Mathematics
Monte Carlo methods

Bayesian inference and credibility theory methods

Modelling dependence
Modelling compound loss distributions
 

Qualifications

PhD (1999) The University of New South Wales, Sydney
MSc (1994), BSc (1992) Moscow Institute of Physics&Technology and Kapitza Institute for Physical Problems of Russian Academy of Sciences

Recent clients

Commonwealth Bank of Australia, Australia & New Zealand bank, National Australia bank, St George bank, Fenics FX

Recent academic overseas visits

Swiss Federal Institute of Technology Zurich (ETH Zurich) 2006, 2008

Vienna University of Technology 2006, 2007, 2008

University of Geneva 2006

Keio University 2006
 

PhD/Vacation/Intern students

2008: Chris Bocking, Option pricing using Heston stochastic volatility model

2007-2008: Nicolas Warren, Computation of Compound Process Distributions for application in finance

2007-2008: Chunhoa Chhenh, Optimal Portfolios and Dependence Structures

2007-2010: Gareth Peters (UNSW), Markov Chain Monte Carlo methods for applications in financial risk

2005-2006: Helen Arnold (University of Sydney), project: Dependence Modelling via the Copula Method

Employment History

2005-current: Principal Research Scientist, CSIRO Mathematical and Information Sciences, Sydney
2002-2005: Senior Research Scientist, CSIRO Mathematical and Information Sciences, Sydney
1999-2002: Research Scientist, CSIRO Mathematical and Information Sciences, Sydney
1997-1998: Research Assistant, University of Sydney

1997-1998: Research Assistant, University of Technology Sydney

1996: Research Assistant, The University of New South Wales, Sydney

1992-1996: Research Assistant, Kapitza Institute for Physical Problems of Russian Academy of Sciences, Moscow

Refereed Publications

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Non-Refereed Publications

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Invited Talks

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Selected Papers to download:

• P. V. Shevchenko and G. Temnov (2009). Modeling operational risk data reported above a time-varying threshold. The Journal of Operational Risk 4(2), 19-42.  Preprint arXiv:0904.4075
• G. W. Peters, P. V. Shevchenko and M. V. Wüthrich (2009). Dynamic operational risk: modeling dependence and combining different sources of information. The Journal of Operational Risk 4(2), 69-104. Preprint arXiv:0904.4074
• P.V. Shevchenko (2009). Implementing Loss Distribution Approach for Operational Risk. To appear in the journal Applied Stochastic Models in Business and Industry, Wiley InterScience DOI: 10.1002/asmb.812. Preprint arXiv:0904.1805, available on http://arxiv.org. CSIRO call number CMIS 2794. PDF
• X. Luo and P.V. Shevchenko (2009). Computing tails of compound loss distributions using direct numerical integration. To appear in The Journal of Computational Finance.
• G. W. Peters, P. V. Shevchenko and M. V. Wüthrich (2009). Model uncertainty in claims reserving within Tweedie's compound Poisson models. ASTIN Bulletin 39(1), 1-33. Preprint arXiv:0904.1483
• X. Luo and P.V. Shevchenko (2009). The t copula with Multiple Parameters of Degrees of Freedom: Bivariate Characteristics and Application to Risk Management. To appear in Quantitative Finance, CSIRO call number CMIS 2593.
• P.V. Shevchenko (2008). Estimation of Operational Risk Capital Charge under Parameter Uncertainty.  The Journal of Operational Risk 3(1), 51-63.
• D. D. Lambrigger, P.V. Shevchenko and M. V. Wüthrich (2007). The Quantification of Operational Risk using Internal Data, Relevant External Data and Expert Opinions. The Journal of Operational Risk 2(3), 3-27.
• X. Luo, P. V. Shevchenko and J. B. Donnelly (2007). Addressing the Impact of Data Truncation and Parameter Uncertainty on Operational Risk Estimates. The Journal of Operational Risk 2(4), pp.3-26.
• H. Bühlmann, P. V. Shevchenko and M. V. Wüthrich (2007). A "Toy" Model for Operational Risk Quantification using Credibility Theory,  The Journal of Operational Risk 2(1), pp.3-19.
• P. V. Shevchenko and M. V. Wüthrich (2006). The Structural Modelling of Operational Risk via Bayesian Inference: Combining Loss Data with Expert Opinions. The Journal of Operational Risk 1(3), pp.3-26
• P.V. Shevchenko (2006). Implied Correlation for Pricing Multi-FX Options. Derivatives Week, 13 March pp. 8-9 and 20 March pp. 9-10. Preprint arXiv:0904.4822 available on  http://arxiv.org.
• Helen Arnold, P. V. Shevchenko and X. Luo (Feb 2006). Dependence Modelling via the Copula Method. CSIRO technical report, CMIS report number 2006/15.
• P.V. Shevchenko (2004).Valuation and Modelling Operational Risk: Advanced Measurement Approach. Non-Parametric Option Pricing Models. Brennan and Schwartz (1982) Model. Ladder Options. Prepared for Encyclopedia of Financial Engineering and Risk Management 2005, Taylor & Francis Books, New York.
• 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.
• P.V. Shevchenko (2001). Advanced Monte Carlo methods for pricing European-style options, CSIRO techical report, CMIS report number 2001/148.

Selected presentations/conference papers to download:

• P.V. Shevchenko (2008). Model uncertainty in claims reserving within Tweedie's compound Poisson models. Department of Actuarial Studies, Macquarie University, 8 October 2008. http://www.acst.mq.edu.au/research/research_seminar_series
• P. Shevchenko (Sep 2008). Quantifying Operational Risk - Loss Distribution Approach. Pre-conference workshop A for IIR conference Achieving Excellence in Operational Risk Management, Sydney, 17 September 2008.
• 2008. (with G. W. Peters and M. V. Wüthrich) Operational risk via Bayesian inference: modelling dependence and combining different data sources (abstract, poster), ISBA 2008, Hamilton Island, Australia, July 2008. 
• 2008. (with G. W. Peters and M. V. Wüthrich) Model risk in claims reserving within Tweedie's compound Poisson models. International conference ASTIN 2008, Manchester UK, July 08.
• 2008. (With D. D. Lambrigger and M. V. Wüthrich) Give credit where credit is due: operational risk goes Bayesian, 38th ASTIN Colloquium, July 13-16 at Manchester, UK.
• P.V. Shevchenko (2008). Lecture on claims reserving problem in insurance distinguished lecture series in financial and actuarial mathematics, Vienna University of Technology, July 2008.
• P. Shevchenko (2008). Modelling Operational Risk using Bayesian Approach (abstract). ISBIS 2008 international conference, Prague, July 08.
• P.V. Shevchenko (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.
• P.V. Shevchenko (2007). Guest presenter for e-conference "Quantifying Operational Risk using Internal Data, Relevant External Data and Expert Opinions" at the Operational Risk Forum, 1-7 September 2007.
   

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last updated 01/12/09