Staff Profile

Pavel V. Shevchenko, PhD Senior Principal Research Scientist CSIRO,      Team Leader Financial Risk Management CSIRO Mathematics, Informatics and Statistics, Sydney, Australia Adjunct Professor, School of Mathematics and Statistics, UNSW Adjunct Professor, School of Mathematical Sciences, UTS

See Dr Shevchenko's CSIRO profile here;  Short Bio.

Google Scholar Research ID profile http://scholar.google.com/citations?hl=en&user=fizvQI4AAAAJ

ISI research ID C-1718-2009 http://www.researcherid.com/rid/C-1718-2009

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

Professional Activities

Adjunct Professor, School of Mathematics and Statistics, The University of New South Wales (UNSW), since 2011

Adjunct Professor, School of Mathematical Sciences, The University of Technology, Sydney (UTS), since 2011

Editorial Board of the Journal of Operational Risk (since 2011)
Quantitative Risk Solutions Lab, Department of Mathematics and Statistics UNSW (member since 2009)

Committee on Risk Analysis in the International Statistical Institute (member since 2009)

Society of Risk Analysis – Australia & New Zealand (member since 2009)

The Statistical Society of Australia (member since 2009)

Q-group – Australian association of practitioners and researchers in finance (member since 1999)

GARP – Global Association of Risk Professionals (member since 2000)

Recent clients

Commonwealth Bank of Australia, Westpac Banking Corporation, Australia & New Zealand bank, National Australia bank, St George bank, Insurance Australia Group, Fenics FX.

Recent academic overseas visits

Swiss Federal Institute of Technology Zurich (ETH Zurich) 2006, 2008, 2009

Vienna University of Technology 2006, 2007, 2008, 2010

University of Geneva 2006

Keio University 2006, 2009

Workshops organized

UNSW-CSIRO workshop "Risk: modelling, optimization and inference", Sydney, 2 July 2012

UTS-CSIRO workshop "Operational Risk: Models, Methods and Best Practices", Sydney, 4 December 2012

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

2010-2013: Timothy Ling (University of Technology, Sydney), project: volume weighted average price options

Employment History

2012-current: Senior Principal Research Scientist, CSIRO Mathematics, Informatics and Statistics, Sydney
2005-2012: 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

click here

Non-Refereed Publications/Technical Reports

click here

Invited Talks

click here

Books

• P.V. Shevchenko (2011). Modelling Operational Risk using Bayesian Inference, Springer, Berlin.

• M.G. Cruz, G.W. Peters and P.V. Shevchenko (2012). Handbook of Operational Risk. John Wiley & Sons. In progress, to be completed in 2012.

Book chapter

• P.V. Shevchenko and Mario V. Wüthrich (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 Böcker, Risk Books, London.  PDF

Selected Publications

• Y. Krvavych and P. Shevchenko (2011). Managing Exposure to Reinsurance Credit Risk. Conference of International Actuarial Association - ASTIN Colloquium 2011, Madrid, Spain, June 2011.
• P.V. Shevchenko (2010). Correcting the holder-extendible European put formula. Preprint arXiv:1010.0090
• 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 arXiv:1010.4406
• X. Luo and P.V. Shevchenko (2010). LGD credit risk model: estimation of capital with parameter uncertainty using MCMC. Submitted preprint arXiv:1011.2827. CSIRO manuscript ID EP103208.
• X. Luo and P.V. Shevchenko (2011). Bayesian Model Choice of Grouped t-copula. Methodology and Computing in Applied Probability. DOI :10.1007/s11009-011-9220-4. CMIS call number 3059. Preprint arXiv:1103.0606
• P.V. Shevchenko (2010). Calculation of aggregate loss distributions. The Journal of Operational Risk 5(2), 3-40. Preprint arXiv:1008.1108
• G. W. Peters, M. V. Wüthrich and P. V. Shevchenko (2010). Chain ladder method: Bayesian bootstrap versus classical bootstrap. Insurance: Mathematics and Economics 47(1), 36-51. doi:10.1016/j.insmatheco.2010.03.007 Preprint arXiv:1004.2548
• X. Luo and P.V. Shevchenko (2011). A short tale of long tail integration. Numerical Algorithms 56(4), 577-590. DOI: 10.1007/s11075-010-9406-9. CMIS call number 3027. Preprint arXiv:1005.1705 available on http://arxiv.org
• 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 (2010). Implementing Loss Distribution Approach for Operational Risk. Applied Stochastic Models in Business and Industry 26(3), 277-307. 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. The Journal of Computational Finance. 13(2), 73-111. CSIRO call number CMIS 2688.
• 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 (2010). The t copula with multiple parameters of degrees of freedom: bivariate characteristics and application to risk management. Quantitative Finance, 10(9), 1039-1054.  DOI:10.1080/14697680903085544.
• 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 10/12/12