· P. Shevchenko and X.Luo (2011). Westpac’s Operational Risk Capital Model: Review of Model Design. CSIRO confidential report for Westpac, EP 111270.
· P. Shevchenko (2010). Validation of Westpac’s Operational Risk Capital Model. CSIRO confidential report for Westpac, EP 106628.
· P. Shevchenko (2010). Validation of CBA Option Pricing Models. CSIRO confidential report for Commonwealth bank of Australia, EP 106795.
· P. Shevchenko (2011). Closed-form transition densities to price barrier options with one or two underlying assets. CSIRO technical report EP11204.
· P. Shevchenko, X. Luo (2010). Review and Validation of IAG New Times and Rates Model. CSIRO confidential report for Insurance Australia Group, EP-27-10-10-43.
· 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), EP-27-05-10-55, June 2010.
· P. Shevchenko, X. Luo and J. Donnelly (2010). Validation of Operational Risk Quantitative Methodology. CSIRO confidential report for Commonwealth Bank of Australia, CMIS EP092498.
· Chris Okugami and P.V. Shevchenko (2009). Accelerating Monte Carlo for option pricing applications using GPU. CSIRO technical report CMIS 09/134.
· X. Luo and P.V. Shevchenko (2009). Bayesian Model Choice of Grouped t-copula using MCMC. CMIS technical report 09/64.
· Karol Binkowski, P.V. Shevchenko and Nino Kordzakhia (2009). Modelling commodity prices. CSIRO technical report CMIS 09/43
· N.Warren, X. Luo, P. Shevchenko (2008). Numerical Evaluation of Compound Process Distribution. CMIS technical report 08/16.
· C. Chen, P. Shevchenko, T. Tarnopolskaya (2008). Optimal Asset Allocation in Portfolio Management. CMIS technical report 08/15.
· C. Bocking and P. Shevchenko (2008). Option pricing using Heston stochastic volatility model. CMIS technical report 08/87.
· X.Lin, M.Westcott, P.Shevchenko (2007). Extreme Value Analysis: Theory, tools and applications. Technical report CMIS 07/104.
· Xiaolin Luo, Pavel Shevchenko and John Donnelly (2007). Quantifying Risk of Collateralized Security Loans for ANZ Security Lending, CSIRO commercial-in-confidence report, CMIS 07/117 .
· Xiaolin Luo, Pavel Shevchenko and John Donnelly (2007). CSIRO Software Toolkit for Quantifying Risk of Collateralized Security Loans. CSIRO commercial-in-confidence report, CMIS 07/110.
· Xiaolin Luo, Pavel Shevchenko and John Donnelly (2006). Impact of Truncation and parameter Uncertainty on Operational Risk Estimates. Technical report, CSIRO, CMIS 06/204.
· P. Shevchenko, Xiaolin Luo, Xunguo Lin and John 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.
· P. Shevchenko, Xiaolin Luo, Xunguo Lin and John Donnelly (2006). CSIRO Software Toolkit for Operational Risk Scenario Analysis: User’s Guide. Confidential report for ANZ. CMIS report number 06/185.
· 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.
· 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.
· 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.
· 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.
· Helen Arnold, P. Shevchenko and X. Luo (Feb 2006). Dependence Modelling via the Copula Method. CMIS technical report number 2006/15.
· T. Tarnopolskaya and P. Shevchenko (Feb 2006). Modeling Truncated Data: Multiple Known and Stochastic Thresholds. CMIS technical report 2006/16.
· X. Luo and P. Shevchenko (Feb 2006). Modeling Truncated Data: Single Known, Unknown and Stochastic Thresholds. CMIS Technical report 2006/17.
· 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.
· 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. CMIS report number: 05/187.
· 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. CMIS report number 05/132.
· 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.
· 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.
· Z. Zhu, X. Luo and P Shevchenko (2005). Review of Pricing Algorithms for a Complex Capital Security Deal, Confidential report for St George Bank 2005/131.
· 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.
· 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.
· 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 (47 pages).
· Z. Zhu and P. Shevchenko (2004). Review of Currency Options Pricing System. CSIRO confidential report for National Australia Bank, CMIS 04/103.
· P. Shevchenko (2004). FenicsFX mathematical model and CSIRO Monte Carlo and Analytic plug-ins. CMIS technical report 04/59.
· P. Shevchenko (2004). Calibration of Heston Stochastic Volatility Model via Characteristic functions and Johnson distributions for option pricing, CMIS technical report 2004/97.
· P. Shevchenko (2003). User's Guide: CSIRO Analytic and Monte Carlo plug-ins for FENICS FX July 2003. CMIS technical report 04/54.
· Zili Zhu, Pavel Shevchenko and Alan Prictor (2003). Reditus platform for pricing a suite of exotic options: User Guide Reditus v2.3, June 2003. CMIS technical report 04/52.
· Pavel Shevchenko (2003). Manual: Monte Carlo module in the option pricing software Reditus v2.3, June 2003. CMIS technical report 04/51.
· Zili Zhu, Pavel Shevchenko and Alan Prictor (2003). Reditus Exotic Options Plug-in: User Information Pack, June 2003. CMIS technical report 03/99.
· P. Shevchenko (2002). Exact formulas for barrier options with one and two underlying assets, working paper.
· P.V. Shevchenko (2001). Advanced Monte Carlo methods for pricing European-style options, CSIRO techical report, CMIS report number 2001/148.
· P.V. Shevchenko (2001). Manual: Monte Carlo module for pricing European-style options, CSIRO techical report, CMIS report number 2001/197.
· 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.
· P. Shevchenko (2001). Copula and other dependence concepts for applications in Risk Management, Sydney Financial Mathematics Workshop, Sydney.
· 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.
· 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.
· P. Shevchenko and St.George quantitative analysis group (M. Gordon, J. Yardley, C. Killin) (2000). Monte Carlo simulations to price American options, Sydney Financial Mathematics Workshop, Sydney.
· P. Shevchenko and R. Bursill (1999). Monte Carlo simulations for pricing high-dimensional American Options, working paper.
· 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.
· P.V. Shevchenko and O. P. Sushkov (1998). Spin-wave gap critical index for the quantum two-layer Heisenberg antiferromagnet at T=0, VIII Gordon Godfrey Workshop on condensed matter physics, UNSW.
· 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.
· 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.
· 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.
· 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.
· 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.