Dr Pavel Shevchenko leads mathematical research and commercial projects in financial risk management. He is involved in modelling market, credit and operational risks; options pricing; insurance; and the development of relevant numerical methods and software.
Current activities
The mathematical sciences are crucial to understanding and managing complex risk scenarios. Financial institutions need to be well-prepared to successfully weather economic storms like the prime mortgage crisis and the activities of rogue traders.
Dr Shevchenko is part of the Quantitative Risk Management group in CSIRO Mathematical and Information Sciences. He plays a leading role helping Australian banks to better manage risk.
In collaboration with the banks’ risk specialists, he and his colleagues focused on the development of new complex risk management software and systems, to help financial institutions better control operational, credit and market risks.
This, in turn, recently assisted several of Australia’s biggest banks to achieve Advanced Measurement accreditation for the Basel II Accord. Increased sophistication in risk measurement and management significantly enhanced the banks’ flexibility in decision-making and capital management.
His activities in options pricing include developing a:
Dr Pavel Shevchenko plays a leading role helping Australian banks to better manage risk.
Dr Shevchenko collaborates with leading academic researchers in financial maths from:
This research allows him to apply the most up-to-date mathematics to new and challenging risk problems in finance.
He has given presentations at many workshops for financial mathematicians.
Background
Dr Shevchenko joined CSIRO in 1999. Prior to this he was a Research Assistant at The University of Sydney, the University of Technology Sydney and The University of NSW.
Before arriving in Australia in 1996, Dr Shevchenko was a Research Assistant at the Kapitza Institute for Physical Problems of Russian Academy of Sciences, Moscow.
Academic qualifications
Dr Shevchenko has been awarded a:
-
Bachelor of Science from the Moscow Institute of Physics & Technology, in 1992
-
Master of Science also from the Moscow Institute of Physics & Technology and Kapitza Institute for Physical Problems of Russian Academy of Sciences, in 1994
-
Doctor of Philosophy, from The University of New South Wales, Sydney, New South Wales, Australia, in 1999.
Achievements
Dr Shevchenko has given many invited talks at conferences internationally and within Australia, including:
-
Modelling Operational Risk using Bayesian Approach, ISBIS 2008 international conference, Prague, 2008
-
Modelling risk in claims reserving within Tweedie's compound Poisson models, International conference, ASTIN 2008, Manchester UK, 2008
-
Lead speaker's invited talk for the conference 'Quantitative Methods in Investment and Risk Management: sourcing new approaches from mathematical theory and the real world', Melbourne Centre For Financial Studies, September 2007
-
Combining Data Sources for Quantification of Operational Risk, Vienna University of Technology, May 2007
-
Modelling of Operational Risk, University of Geneva, 2006.
Find out more about CSIRO Mathematics, Informatics & Statistics.
Site Map | Legal Notice and Disclaimer | Privacy | Copyright | Last updated: 9 September 2008
