Refereed scientific publications
Monographs:
· P.V. Shevchenko (2009). Modelling Operational Risk using Bayesian Inference. By invitation from Springer. To be completed by October 2009. CMIS call number 2831.
Journal publications:
· 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 (2009). Implementing Loss Distribution Approach for Operational Risk. Preprint arXiv:0904.1805 available on http://arxiv.org, CSIRO call number CMIS 2794.
· 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 Loss Distributions using Direct Numerical Integration. To appear in The Journal of Computational Finance.
· G. W. Peters, P. V. Shevchenko and M. V. Wüthrich (2007). Model risk in claims reserving within Tweedie's compound Poisson models. ASTIN Bulletin 39, CSIRO call number CMIS 2609.
· 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. 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)