Refereed scientific publications
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 chapters:
· 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.
Journal publications:
· P.V. Shevchenko (2010). Correcting the holder-extendible European put formula. Preprint arXiv:1010.0090
· X. Luo and P.V. Shevchenko (2010). LGD credit risk model: estimation of capital with parameter uncertainty using MCMC. Submitted preprint arXiv:1011.2827 available on http://arxiv.org. 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
· 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 doi:10.1016/j.insmatheco.2010.12.001. CSIRO manuscript ID: EP105739.
· P.V. Shevchenko (2010). Calculation of aggregate loss distributions. The Journal of Operational Risk 5(2), 3-40. CSIRO manuscript ID: EP101835.
· 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. CMIS call number 2827.
doi:10.1016/j.insmatheco.2010.03.007. Preprint arXiv:1004.2548. CMIS call number 2827.
· 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. CSIRO call number CMIS 2828.
· 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.
· 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. CMIS call number 2741.
· D. D. Lambrigger, P.V. Shevchenko and M. V. Wüthrich (2008). Data combination under Basel II and Solvency 2: Operational Risk goes Bayesian. The Bulletin of the French Actuaries (Bulletin Français d’Actuariat) 8(16), 4-13. CSIRO call number CMIS 2715.
· 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. CMIS call number 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. , CSIRO call number CMIS 2609.
· 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. CSIRO call number CMIS 2593.
· P.V. Shevchenko (2008). Estimation of Operational Risk Capital Charge under Parameter Uncertainty. CMIS call number 2497. The Journal of Operational Risk 3(1), 51-63, CMIS call number 2497.
· 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. CMIS call number 2461. The Journal of Operational Risk 2(3), 3-27.
· X. Luo, P. V. Shevchenko and J. Donnelly (2007). Addressing Impact of Data Truncation and Parameter Uncertainty on Operational Risk Estimates. CMIS call number 2459. 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. CMIS call number 2371.
· P.V. Shevchenko and M. V. Wüthrich (2006). The Structural Modelling of Operational Risk via the Bayesian Inference: Combining Loss Data with Expert Opinions. The Journal of Operational Risk 1(3), pp.3-26. CMIS call number 2370.
· P.V. Shevchenko (2006). Implied Correlation for Pricing Multi-FX Options: Part I, Derivatives Week, March 13, 2006, pp.8-9. CMIS call number 1810
· P.V. Shevchenko (2006). Implied Correlation for Pricing Multi-FX Options: Part II, Derivatives Week, March 20, 2006, pp.9-10. CMIS call number 2306.
· P. Shevchenko (2005). Operational Risk Modelling and Quantification. Proc. of Cherry Bud workshop 2005: Quantitative Risk Management: Theory and Practice, Keio University, Japan, editors: R. Shibatta, P. Embrecht’s, M. Maejima and P. Thomson, pp. 114-117. CMIS call number: 2084.
· P. Shevchenko (2004). Valuation and Modelling Operational Risk: Advanced Measurement Approach. Encyclopedia of Financial Engineering and Risk Management 2005, Taylor & Francis Books, New York. CMIS call number: 1881.
· P. Shevchenko (2004). Brennan and Schwartz (1982) Model. Encyclopedia of Financial Engineering and Risk Management 2005, Taylor & Francis Books, New York. CMIS call number: 1883.
· P. Shevchenko (2004). Ladder Options. Encyclopedia of Financial Engineering and Risk Management 2005, Taylor & Francis Books, New York. CMIS call number: 1882.
· P. Shevchenko (2004). Non-Parametric Option Pricing Models. Encyclopedia of Financial Engineering and Risk Management 2005, Taylor & Francis Books, New York. CMIS call number: 1880.
· 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, A.W. Sandvik, O.P. Sushkov (2000). Double-layer Heisenberg antiferromagnet at finite temperature: Brueckner theory and quantum Monte-Carlo simulations, Phys. Rev. B 61, 3475
· V.Kotov, P.V. Shevchenko, O.P. Sushkov (1999). Spectrum of elementary and collective excitations in the dimerized S=1/2 Heisenberg chain with frustration, Phys. Rev. B 60, 3305
· S.V. Vladimirov, P.V. Shevchenko, N.F. Cramer (1999). Equilibrium and oscillations of grains in the dust-plasma crystal, Phys.Rev. E 60, 7369
· 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
· P.V. Shevchenko, O.P. Sushkov (1999). Brueckner approach to the spin-wave critical index for the two-layer Heisenberg antiferromagnet, Phys. Rev. B 59, 8383
· J. Schulte, P.V. Shevchenko, A.V. Radchik (1999). Nonlinear field effects in Quadrupole mass filters, Rev. Sci. Instrum. 70, 3566
· S.V. Vladimirov, P.V. Shevchenko and N.F. Cramer (1998). Low frequency modes in the dust plasma crystal, Physics of Plasmas 2,145
· P.V. Shevchenko, L. Swierckovski and J. Oitmaa (1998). Interlayer coupling in magnetic semiconductor multilayers, J. of Magnetism and Magnetic Materials 177-181, 1168
· M.Yu. Kuchiev, P.V. Shevchenko and O.P. Sushkov (1998). The bulk Josephson effect in two-condensate cuprate superconductors, Physica C 301, 255
· P.V. Shevchenko and O.P. Sushkov (1998). A new type of collective excitations in two-condensate cuprates, Supercond. Science and Techn. 11, 1190
· P. Shevchenko and O. Sushkov (1998). The role of g-wave pairing and Josephson tunneling in high-Tc cuprate superconductors, Physica C 295, 292
· S.V. Vladimirov, P.V. Shevchenko, N.F. Cramer (1997). Vibration modes in the dust plasma crystal, Phys. Rev. E 56(1), R74
· P.V. Shevchenko and O.P. Sushkov (1997). Phase oscillations between two superconducting condensates in cuprate superconductors, Physics Letters A 236, 137
· A.F. Andreev, Ya.B. Bazalii and P.V. Shevchenko (1996). Nonlinear oscillations of a degenerate He3-He4 solution, Zh. Eksp. Teor. Fiz. 109, 1645-1661 (Sov. Phys. JETP)
· A.F. Andreev and P.V. Shevchenko (1995). Nonlinear zero sound in normal Fermi liquid, Zh. Eksp. Teor. Fiz. 107, 1587-1595 (Sov. Phys. JETP)