Pavel Shevchenko

Biography

Pavel Shevchenko is a Professor in the Department of Applied Finance and Actuarial Studies at Macquarie University since August 2016. Before joining Macquarie University, he worked as a research scientist in CSIRO Australia during 1999-2016 where he held a position of a Senior Principal Research Scientist since 2012. In CSIRO, Prof Shevchenko 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 Moscow Institute of Physics and Technology in 1994; a PhD from The University of New South Wales in 1999. He is currently an Adjunct Professor at the University of New South Wales and University of Technology Sydney. He is also associate editor of international journals (RISKS and Journal of Operational Risk) and member of retirement incomes working group in the Institute of Actuaries of Australia. Prof Shevchenko has published extensively in academic journals, has 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.

Research Interest

risk management financial mathematics insurance mathematics operational risk, credit risk, portfolio asset allocation pricing financial derivatives mortality modelling and retirement income products claims reserving, modelling commodities and FX markets modelling extreme events, dependence modelling, state-space models Monte Carlo methods, optimal stochastic control