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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

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Frontiers in inference about risk

Shevchenko, P. & Penev, S.

23/08/16 → …

Project: Research

Research on Urban Intelligence

Shevchenko, P., Minami, K., Ames, M., Yamagata, Y., Murakami, D., Taniguchi, M., Kasuga, F., Peters, G. & Bagnarosa, G.


Project: Research

Research Outputs

Optimal life-cycle consumption and investment decisions under age-dependent risk preferences

Lichtenstern, A., Shevchenko, P. V. & Zagst, R., 30 Jul 2020, In : Mathematics and Financial Economics.

Research output: Contribution to journalArticle

  • Which risk factors drive oil futures price curves?

    Ames, M., Bagnarosa, G., Matsui, T., Peters, G. W. & Shevchenko, P. V., 1 Mar 2020, In : Energy Economics. 87, 16 p., 104676.

    Research output: Contribution to journalArticle

  • Cohort effects in mortality modelling: a Bayesian state-space approach

    Fung, M. C., Peters, G. W. & Shevchenko, P. V., Mar 2019, In : Annals of Actuarial Science. 13, 1, p. 109-144 36 p.

    Research output: Contribution to journalArticle

  • On the parameter estimation in the Schwartz-Smith's two-factor model

    Binkowski, K., He, P., Kordzakhia, N. & Shevchenko, P., 2019, Statistics and data science: Research School on Statistics and Data Science, RSSDS 2019 Melbourne, VIC, Australia, July 24–26, 2019 proceedings. Nguyen, H. (ed.). Singapore: Springer, Springer Nature, p. 226-237 12 p. (Communications in Computer and Information Science; vol. 1150).

    Research output: Chapter in Book/Report/Conference proceedingConference proceeding contribution

  • The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion

    Penev, S., Shevchenko, P. V. & Wu, W., 1 Mar 2019, In : European Journal of Operational Research. 273, 2, p. 772-784 13 p.

    Research output: Contribution to journalArticle

  • 2 Citations (Scopus)


    Australasian Commodity Markets Conference (1st : 2017)

    P. Shevchenko (Organiser)

    Activity: Participating in or organising an eventOrganising a conference, workshop, ...

    Financial Risk Day 2019

    P. Shevchenko (Organiser)

    Activity: Participating in or organising an eventOrganising a conference, workshop, ...

    Gareth Peters

    P. Shevchenko (Host)

    Activity: Hosting a visitorHosting an academic visitor