Dr Pavel Shevchenko

Senior Principal Research Scientist

Biography

Prof Pavel Shevchenko is a Senior Principal Research Scientist in the Division of Mathematics, Informatics and Statistics of CSIRO (The Commonwealth Scientific and Industrial Research Organisation of Australia). Prof Shevchenko joined CSIRO in 1999 to work in the area of financial risk. He leads research and commercial projects on modelling of operational and credit risks; 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 and Kapitza Institute for Physical Problems in 1994; a PhD from The University of New South Wales in 1999 in theoretical physics. He is currently an Adjunct Professor at the University of NSW, adjunct Professor at University of Technology Sydney, and Honorary Senior Research Associate in University College London. 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 and Industry Advisory Board at University of Technology Sydney. Prof Shevchenko has published extensively in academic journals, consults for major financial institutions and is a frequent presenter at industry and academic conferences. His publication records include one book monograph, two co-authored monographs, two book chapters, over 60 journal papers and over 80 technical reports.

Science and Professional Areas

  • Financial mathematics: option pricing, modelling commodity prices, interest rates
  • Financial Risk: operational risk, credit risk, market risk, portfolio optimization
  • Insurance: claims reserving, mortality modelling, retirement products
  • Modelling dependence, rare events, optimal stochastic control, Bayesian Inference, Monte Carlo methods

Fields of Research

  • Financial Mathematics (010205)
  • Mathematical Economics (140103)
  • Econometric and Statistical Methods (140302)
  • Stochastic Analysis and Modelling (010406)

Current Roles

  • Financial Risks - Quantitiative Modelling
  • Retirement Income Products

Academic Qualifications

  • BSc (Moscow Institute of Physics and Technology, 1992), MSc (Moscow Institute of Physics and Technology, 1994), PhD (UNSW, 1999)

Professional Experiences

  • Senior Principal Research Scientist, 2012-currentCSIRO Computational Informatics
  • Principal Research Scientist, 2005-2012CSIRO Mathematics, Informatics and Statistics
  • Senior Research Scientist, 2002-2005CSIRO Mathematical and Information Sciences
  • Research Scientist, 1999-2002CSIRO Mathematical and Information Sciences
  • tutor (part time), 1996-1999The University of NSW
  • researcher (part-time), 1997-1998The University of Technology, Sydney
  • researcher (part-time), 1996School of Physics, The University of NSW
  • researcher, 1992-1996Kapitza Institute for Physical Problems of Russian Academy of Sciences, Moscow

Achievements and Awards

  • Newton Turner AwardCSIRO, 2012
  • Partnership Excellence AwardCSIRO Mathematical and Information Sciences, 2009
  • Go for Growth AwardCSIRO Mathematical and Information Sciences, 2007
  • Partnership Excellence AwardCSIRO Mathematical and Information Sciences, 2006
  • Service from Science Award: CSIRO Mathematical and Information SciencesCSIRO Mathematical and Information Sciences, 2004
  • Recognition AwardsCSIRO Mathematical and Information Sciences, 2004
  • Recognition AwardCSIRO Mathematical and Information Sciences, 2003
  • Award for ICIAM option pricing competitionUniversity of Sydney, 2003
  • Award for Postgraduate Excellence in Theoretical PhysicsUNSW, 1998
  • three Gordon Godfrey awards in Theoretical PhysicsUNSW, 1997-1999
  • Overseas Postgraduate Research ScholarshipAustralian Government, 1996-1999
  • two Landau awards in Theoretical PhysicsForschungszentrum Zulich GmbH, Germany, 1994-1996

Other Career Highlights

  • research visit to Oxford Man Institute UK, 2015
  • research visit to University College London, 2015
  • research visit to University of California USA, 2014
  • research visit to Chinese Academy of Sciences, 2014
  • research visit to Federal Reserve Bank of Richmond, USA, 2012
  • research visit to New York University, Stern School of Business, 2012
  • research visit to INRIA Bordeaux, 2012
  • research visit to University College London, 2012
  • three research visits to Swiss Federal Institute of Technology Zurich in 2006, 2008, 2009
  • research visit to Vienna Institute of Finance, 20111
  • four research visits to Vienna University of Technology 2006-2010
  • UNSW-CSIRO international workshop “Risk: modelling, optimisation and inference”. 2 July 2012. Workshop organisers: Prof Spiro, Prof Shevchenko, Prof Robert Kohn, Prof Michael Sherris and Prof Pierre Del Moral, 2014
  • research visit to Keio University Japan, 2009
  • IMS-FPS (Institute of Mathematical Statistics - Finance Probability and Statistics) international workshop, Sydney, UTS, 3-5 July 2014, local organizing committee, 2014
  • research visit to Keio University Japan, 2005
  • UNSW-CSIRO international workshop “Risk: modelling, optimisation and inference”. 2 July 2012. Workshop organisers: Prof Spiro and Prof Shevchenko, 2012
  • CSIRO-UTS international workshop “Operational risk: models, methods and best practices”, Sydney, 4 December 2012. Workshop organisers: Prof Novikov and Prof Shevchenko, 2012

Grants

  • CSIRO Newton Turner Award, 2012-2013
  • CSIRO grant for OCE postdoc, 2014-2017
  • Endeavour Research Fellowship for PhD student from Vienna University of Technology, 2014
  • Endeavour Research Fellowship for PhD student from University College London, 2014
  • ARC Discovery Grant DP160103489 “Frontiers in inference about risk” jointly with A/Prof S. Penev UNSW, 2016-2019

Community and Corporate Citizenship

  • Adjunct Professor at School of Mathematical Sciences UTS, 2011-2018
  • Honorary Senior Research Associate, Department of Statistical Science, University College London, 2012-2016
  • Adjunct Professor at School of Mathematics and Statistics UNSW, 2013-2017
  • Associate Editor of the Journal of Operational Risk, London, 2010-current
  • Member of Retirement Incomes Working Group, Institute of Actuaries of Australia, 2014-current
  • Member of the Industry Advisory Board at the University of Technology Sydney, 2016-current
  • Associate Editor of the international journal RISKS, MDPI Switzerland, 2016-current

Contact information

Phone:

  • +61 2 9325 3218

Postal address:

PO BOX 52

NORTH RYDE

NSW

1670

AUSTRALIA