Projects per year
Personal profile
Biography
Prof Pavel Shevchenko is a world renowned expert in the area of quantitative risk. He is a Professor in the Department of Actuarial Studies and Business Analytics at Macquarie University. Prior to joining Macquarie University in August 2016, he worked at CSIRO Australia (1999-2016) holding the position of a Senior Principal Research Scientist (2012-2016). Since 1999, Prof Shevchenko has worked in the area of financial risk, leading research and industry commercial projects on: modelling of operational and credit risks; longevity and mortality, retirement products; option pricing; insurance; modelling commodities and foreign exchange; and the development of relevant numerical methods and software. He received a MSc from the Moscow Institute of Physics and Technology in 1994 and a PhD from the University of New South Wales in 1999. He is currently associate editor of international journals (RISKS and Journal of Operational Risk) and member of the Retirement Incomes Working Group in the Institute of Actuaries of Australia. Prof Shevchenko has published extensively in academic journals, consulted for major financial institutions, and is a frequent presenter at industry and academic conferences.His publication records include one research monograph, two co-authored research monographs, over 60 journal papers, and over 80 technical reports.
GoogleScholar profile: http://scholar.google.com.au/citations?user=fizvQI4AAAAJ&hl=en&oi=ao
In Macquarie University, Prof Shevchenko is also
- Director, Risk Analytics Lab (since 2016) www.mq.edu.au/research/risk-lab
- Co-Director, Centre for Financial Risk (since 2017) www.mq.edu.au/research/centre-for-risk-analytics
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Collaborations and top research areas from the last five years
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Optimal decision making for risk mitigation of natural hazards using real options
Shevchenko, P., Prakash, M., Trueck, S. & Truong, C.
1/11/17 → …
Project: Research
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MQCSH: Macquarie University Cyber Security Hub
Kaafar, D., Selvadurai, N., Wiggins, M., Sheedy, E., Asghar, H., Ikram, M., Shevchenko, P., Berkovsky, S., Bayl-Smith, P., Zhang, X., Yang, J., Modabber, S. & Goldbarsht, D.
2/12/16 → …
Project: Research
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Quantification of cyber risk and its driving risk factors: Optus-Macquarie Cybersecurity Hub
Shevchenko, P., Trueck, S., Jang, J., Sofronov, G., Malavasi, M. & Peters, G.
1/06/20 → 1/06/21
Project: Research
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Research on Urban Intelligence
Shevchenko, P., Minami, K., Ames, M., Yamagata, Y., Murakami, D., Taniguchi, M., Kasuga, F., Peters, G. & Bagnarosa, G.
1/10/16 → 31/03/17
Project: Research
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Importance sampling for option pricing with feedforward neural networks
Arandjelović, A., Rheinländer, T. & Shevchenko, P. V., Jan 2025, In: Finance and Stochastics. 29, 1, p. 97-141 45 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile -
Multi-factor polynomial diffusion models and inter-temporal futures dynamics
He, P., Kordzakhia, N., Peters, G. W. & Shevchenko, P. V., 2024, 2021-2022 MATRIX Annals. Wood, D. R., de Gier, J. & Praeger, C. E. (eds.). Cham: Springer, Springer Nature, p. 363–382 20 p. (MATRIX Book Series; vol. 5).Research output: Chapter in Book/Report/Conference proceeding › Conference proceeding contribution › peer-review
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Optimal annuitisation, housing and reverse mortgage in retirement in the presence of a means-tested public pension
Andréasson, J. G. & Shevchenko, P. V., Dec 2024, In: European Actuarial Journal. 14, 3, p. 871-904 34 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile5 Downloads (Pure) -
Optimal dynamic climate adaptation pathways: a case study of New York City
Truong, C., Malavasi, M., Li, H., Trück, S. & Shevchenko, P. V., 21 May 2024, (E-pub ahead of print) In: Annals of Operations Research. 23 p.Research output: Contribution to journal › Article › peer-review
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Cyber loss model risk translates to premium mispricing and risk sensitivity
Peters, G. W., Malavasi, M., Sofronov, G., Shevchenko, P. V., Trück, S. & Jang, J., Apr 2023, In: Geneva Papers on Risk and Insurance: Issues and Practice. 48, 2, p. 372-433 62 p.Research output: Contribution to journal › Article › peer-review
Open Access2 Citations (Scopus)
Prizes
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Go for Growth Award from CSIRO Mathematical and Information Sciences
Shevchenko, P. (Recipient), 2007
Prize
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Activities
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Entropy (Journal)
Tomoko Matsui (Editor), Pavel Shevchenko (Editor), Gareth W. Peters (Editor) & Francois Septier (Editor)
2023Activity: Peer-review and editorial of research outputs › Editorial work
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Financial Risk Day 2021
Jeffrey Sheen (Organiser), P. Shevchenko (Organiser) & Stefan Trueck (Organiser)
30 Apr 2021Activity: Participating in or organising an event › Organising a conference, workshop or event series
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Optimal Annuitisation, Housing, Consumption, and Investment in Retirement under Expected Utility Stochastic Control Framework
P. Shevchenko (Speaker)
4 Dec 2020Activity: Talk or presentation › Invited talk
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Bias-corrected Least Squares Monte Carlo for utility based optimal stochastic control problems
P. Shevchenko (Speaker)
19 Feb 2020 → 20 Feb 2020Activity: Talk or presentation › Presentation
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reviewer of the Institute of Statistical Mathematics for ROIS Japan
P. Shevchenko (Examiner)
2020Activity: Higher degree research activities › Examination