Pavel V. Shevchenko

Applied Finance and Actuarial Studies, Macquarie University

Professor

North Ryde

Sydney, New South Wales 2109

Australia

http://www.businessandeconomics.mq.edu.au/contact_the_faculty/all_fbe_staff/pavel_shevchenko

SCHOLARLY PAPERS

52

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10

Scholarly Papers (52)

1.

The t Copula with Multiple Parameters of Degrees of Freedom: Bivariate Characteristics and Application to Risk Management

Quantitative Finance, Vol. 10, No. 9, pp. 1039-1054, 2010
Number of pages: 31 Posted: 15 Jan 2009 Last Revised: 31 Oct 2010
Xiaolin Luo and Pavel V. Shevchenko
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation) and Applied Finance and Actuarial Studies, Macquarie University
Downloads 286 (85,398)
Citation 2

Abstract:

grouped t copula, tail dependence, risk management

Should the Advanced Measurement Approach be Replaced with the Standardized Measurement Approach for Operational Risk?

Journal of Operational Risk, Vol 11, No. 3, pp. 1–49, 2016, DOI: 10.21314/JOP.2016.177,
Number of pages: 38 Posted: 14 Jun 2016 Last Revised: 15 Sep 2016
University College London - Department of Statistical Science, Applied Finance and Actuarial Studies, Macquarie University, Université Paris I Panthéon-Sorbonne and University College London - Department of Computer Science
Downloads 124 (190,180)

Abstract:

Operational Risk, Standarised Measurement Approach, Advanced Measurement Approach

Should the Advanced Measurement Approach Be Replaced with the Standardized Measurement Approach for Operational Risk?

Journal of Operational Risk, Vol. 11, No. 3, 2016
Number of pages: 50 Posted: 15 Sep 2016
University College London - Department of Statistical Science, Applied Finance and Actuarial Studies, Macquarie University, Université Paris I Panthéon-Sorbonne and University College London - Department of Computer Science
Downloads 0

Abstract:

operational risk (OpRisk), standardized measurement approach (SMA), loss distribution approach (LDA), advanced measurement approach (AMA), Basel Committee for Banking Supervision (BCBS) regulations

3.

The Quantification of Operational Risk Using Internal Data, Relevant External Data and Expert Opinion

The Journal of Operational Risk 2(3), pp.3-27, 2007.
Number of pages: 30 Posted: 24 Nov 2014
Dominik D Lambrigger, Pavel V. Shevchenko and Mario V. Wuthrich
ETH Zurich, Applied Finance and Actuarial Studies, Macquarie University and RiskLab, ETH Zurich
Downloads 68 (120,578)
Citation 2

Abstract:

Operational Risk, Basel II, Loss Distribution Approach, Bayesian inference, Advanced Measurement Approach, Quantitative Risk Management, generalized inverse Gaussian distribution

4.

Sequential Monte Carlo Samplers for Capital Allocation Under Copula-Dependent Risk Models

Insurance: Mathematics and Economics, Vol. 61, 2015
Number of pages: 32 Posted: 05 Oct 2014 Last Revised: 18 Feb 2015
Rodrigo S Targino, Gareth William Peters and Pavel V. Shevchenko
Fundação Getulio Vargas, University College London - Department of Statistical Science and Applied Finance and Actuarial Studies, Macquarie University
Downloads 60 (234,485)

Abstract:

Risk Management, Capital Allocation, Sequential Monte Carlo (SMC), Copula Models

Understanding Operational Risk Capital Approximations: First and Second Orders

Peters G.W, Targino R., Shevchenko P.V., "Understanding Operational Risk Capital Approximations: First and Second Orders". The Journal of Governance and Regulation, 2(3), (2013).
Number of pages: 34 Posted: 05 Sep 2014
Gareth William Peters, Rodrigo S Targino and Pavel V. Shevchenko
University College London - Department of Statistical Science, Fundação Getulio Vargas and Applied Finance and Actuarial Studies, Macquarie University
Downloads 41 (361,823)

Abstract:

Understanding Operational Risk Capital Approximations: First and Second Orders

Number of pages: 34 Posted: 05 Jun 2017
Gareth William Peters, Rodrigo Targino and Pavel V. Shevchenko
University College London - Department of Statistical Science, University College London - Department of Statistical Science and Applied Finance and Actuarial Studies, Macquarie University
Downloads 6 (538,274)

Abstract:

Basel II/III; Capital Approximation; Loss Distributional Approach; Capital Approximation; Value-at-Risk; Expected Shortfall; Spectral Risk Measure; Subexponential; Regularly Varying

6.

The Structural Modelling of Operational Risk Via Bayesian Inference: Combining Loss Data with Expert Opinions

The Journal of Operational Risk 1(3), pp. 3-26, 2006
Number of pages: 26 Posted: 24 Nov 2014
Pavel V. Shevchenko and Mario V. Wuthrich
Applied Finance and Actuarial Studies, Macquarie University and RiskLab, ETH Zurich
Downloads 46 (166,432)
Citation 1

Abstract:

operational risk, loss distribution approach, Bayesian inference, Basel II Advanced Measurement Approaches, compound process, quantitative risk management

7.

Valuation of Barrier Options Using Sequential Monte Carlo

Journal of Computational Finance 2015
Number of pages: 30 Posted: 24 Nov 2014 Last Revised: 25 Jul 2015
Pavel V. Shevchenko and Pierre Del Moral
Applied Finance and Actuarial Studies, Macquarie University and INRIA Bordeaux-Sud Ouest
Downloads 38 (255,890)

Abstract:

Sequential Monte Carlo, particle methods, Feynman-Kac representation, barrier options, Monte Carlo, option pricing

8.

Actuarial Applications and Estimation of Extended CreditRiskPlus

Number of pages: 34 Posted: 15 May 2015 Last Revised: 01 May 2017
Jonas Hirz, Uwe Schmock and Pavel V. Shevchenko
TU Wien, TU Wien and Applied Finance and Actuarial Studies, Macquarie University
Downloads 36 (268,032)

Abstract:

stochastic mortality model; extended CreditRisk; risk aggregation; partial internal model; mortality risk; longevity risk; Markov chain Monte Carlo

9.

Fast and Simple Method for Pricing Exotic Options Using Gauss-Hermite Quadrature on a Cubic Spline Interpolation

Journal of Financial Engineering, Vol. 1, No. 4 (31 pages), 2014. DOI: 10.1142/S2345768614500330
Number of pages: 32 Posted: 01 Nov 2014 Last Revised: 25 Jul 2015
Xiaolin Luo and Pavel V. Shevchenko
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation) and Applied Finance and Actuarial Studies, Macquarie University
Downloads 30 (318,438)

Abstract:

exotic options, Gauss-Hermite quadrature, cubic spline, finite difference method, American option, Bermudan option, target accumulation redemption note

10.

A 'Toy' Model for Operational Risk Quantification Using Credibility Theory

The Journal of Operational Risk 2(1), pp. 3-19, 2007
Number of pages: 18 Posted: 24 Nov 2014
Hans BuŸhlmann, Pavel V. Shevchenko and Mario V. Wuthrich
ETH Zurich - Department of Mathmatics, Applied Finance and Actuarial Studies, Macquarie University and RiskLab, ETH Zurich
Downloads 27 (276,488)

Abstract:

quantitative risk management, operational risk, loss distribution approach, credibility theory, combining different data sources, Basel II Advanced Measurement Approaches

11.

Dynamic Operational Risk: Modeling Dependence and Combining Different Sources of Information

The Journal of Operational Risk 4(2), pp. 69-104, 2009
Number of pages: 47 Posted: 23 Nov 2014
Gareth William Peters, Pavel V. Shevchenko and Mario V. Wuthrich
University College London - Department of Statistical Science, Applied Finance and Actuarial Studies, Macquarie University and RiskLab, ETH Zurich
Downloads 26 (299,813)

Abstract:

dependence modelling, copula, compound process, operational risk, Bayesian inference, Markov chain Monte Carlo, Slice sampling.

12.

Pricing TARN Using a Finite Difference Method

Journal of Derivatives, Vol. 23, No. 1, pages 62-72, 2015
Number of pages: 17 Posted: 01 Nov 2014 Last Revised: 06 Dec 2015
Xiaolin Luo and Pavel V. Shevchenko
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation) and Applied Finance and Actuarial Studies, Macquarie University
Downloads 22 (348,465)

Abstract:

Target Accumulation Redemption Note, option pricing, finite difference, Monte Carlo

13.

Fast Numerical Method for Pricing of Variable Annuities with Guaranteed Minimum Withdrawal Benefit Under Optimal Withdrawal Strategy

International Journal of Financial Engineering 2(3), [26 pages], 2015, DOI: 10.1142/S2424786315500243
Number of pages: 24 Posted: 01 Nov 2014 Last Revised: 06 Dec 2015
Xiaolin Luo and Pavel V. Shevchenko
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation) and Applied Finance and Actuarial Studies, Macquarie University
Downloads 19 (395,706)

Abstract:

Variable Annuity, Optimal Stochastic Control, Guaranteed Minimum Withdrawal Benefit, Gauss-Hermite Quadrature, Cubic Spline

14.

From 'Funny Time, Funny Money' to Realistic Labour Times

Applied Probability Trust: The Mathematical Scientist 40 (2), 2015
Number of pages: 13 Posted: 22 Sep 2014 Last Revised: 06 Dec 2015
Xiaolin Luo, Pavel V. Shevchenko and Brad Sayer
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Applied Finance and Actuarial Studies, Macquarie University and Insurance Australia Group
Downloads 16 (387,523)

Abstract:

motor vehicle insurance, smash repair, paint labour time, New Times and Rates (NTAR) system, linear regression

15.

Valuation of Variable Annuities with Guaranteed Minimum Withdrawal and Death Benefits via Stochastic Control Optimization

Insurance: Mathematics and Economics, Vol. 62 (2015), pp. 5-15
Number of pages: 31 Posted: 21 Nov 2014 Last Revised: 25 Jul 2015
Xiaolin Luo and Pavel V. Shevchenko
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation) and Applied Finance and Actuarial Studies, Macquarie University
Downloads 15 (438,965)

Abstract:

Variable Annuity, Optimal Stochastic Control, Guaranteed Minimum Withdrawal Benefit, Guaranteed Minimum Death Benefit, Mortality Risk

16.

Addressing the Bias in Monte Carlo Pricing of Multi-Asset Options with Multiple Barriers Through Discrete Sampling

The Journal of Computational Finance 6(3), pp.1-20, 2003.
Number of pages: 20 Posted: 23 Nov 2014
Pavel V. Shevchenko
Applied Finance and Actuarial Studies, Macquarie University
Downloads 14 (351,684)
Citation 1

Abstract:

Monte Carlo simulation, extreme values, Brownian Bridge, multi-asset barrier option, multi-variate joint distribution, Fréchet bounds

17.

Markov Chain Monte Carlo Estimation of Default and Recovery: Dependent via the Latent Systematic Factor

Journal of Credit Risk 9(3), pp. 41-76, 2013
Number of pages: 39 Posted: 01 Nov 2014 Last Revised: 04 Nov 2014
Xiaolin Luo and Pavel V. Shevchenko
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation) and Applied Finance and Actuarial Studies, Macquarie University
Downloads 13 (387,523)

Abstract:

parameter uncertainty, probability of default, loss given default, economic capital, Markov chain Monte Carlo, Bayesian inference, credit risk

18.

A Note on the Impact of Management Fees on the Pricing of Variable Annuity Guarantees

Number of pages: 23 Posted: 13 May 2017
Jin Sun, Pavel V. Shevchenko and Man Chung Fung
University of Technology Sydney (UTS), Applied Finance and Actuarial Studies, Macquarie University and CSIRO
Downloads 12 (485,666)

Abstract:

Variable Annuity Guarantees, Guaranteed Minimum Withdrawal Benefits, Management Fees, Stochastic Optimal Control, PDE, Finite Difference

19.

Optimal Insurance Purchase Strategies via Optimal Multiple Stopping Times

Number of pages: 26 Posted: 07 Oct 2014 Last Revised: 18 Feb 2015
Fundação Getulio Vargas, University College London - Department of Statistical Science, Macquarie University - Department of Statistics and Applied Finance and Actuarial Studies, Macquarie University
Downloads 12 (404,399)

Abstract:

Multiple stopping rules, Operational risk, Insurance

20.

Implementing Loss Distribution Approach for Operational Risk

Applied Stochastic Models in Business and Industry 26(3), pp. 277-307, 2010
Number of pages: 38 Posted: 22 Jan 2009 Last Revised: 04 Nov 2014
Pavel V. Shevchenko
Applied Finance and Actuarial Studies, Macquarie University
Downloads 6 (428,656)
Citation 1

Abstract:

operational risk, loss distribution approach, Bayesian inference, dependence modeling, Basel II

21.

Variable Annuity with GMWB: Surrender Or Not, That Is the Question

Number of pages: 7 Posted: 26 Jul 2015
Xiaolin Luo and Pavel V. Shevchenko
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation) and Applied Finance and Actuarial Studies, Macquarie University
Downloads 4 (428,656)

Abstract:

Variable annuity, optimal stochastic control, optimal stopping time, bang-bang control, Guaranteed Minimum Withdrawal Benefit, surrender option, Gauss-Hermite quadrature, cubic spline

22.

Bayesian Model Choice of Grouped T-Copula

Methodology and Computing in Applied Probability 14(4), pp. 1097-1119, 2012, DOI 10.1007/s11009-011-9220-4
Number of pages: 37 Posted: 29 Nov 2014
Xiaolin Luo and Pavel V. Shevchenko
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation) and Applied Finance and Actuarial Studies, Macquarie University
Downloads 4 (500,678)

Abstract:

grouped t¡copula, dependence modeling, Bayesian model choice, Markov chain Monte Carlo, foreign exchange

23.

Forecasting Leading Death Causes in Australia Using Extended CreditRisk+

Number of pages: 7 Posted: 27 Jul 2015
Pavel V. Shevchenko, Jonas Hirz and Uwe Schmock
Applied Finance and Actuarial Studies, Macquarie University, TU Wien and TU Wien
Downloads 2 (485,666)

Abstract:

Extended CreditRisk, stochastic mortality model, life tables, annuity portfolios, life insurance portfolios, longevity risk, risk management, estimation of extended CreditRisk, Markov chain

24.

Impact of Insurance for Operational Risk: Is It Worthwhile to Insure or Be Insured for Severe Losses?

Number of pages: 64 Posted: 05 Jun 2017
Gareth William Peters, Aaron D. Byrnes and Pavel V. Shevchenko
University College London - Department of Statistical Science, University of New South Wales (UNSW) and Applied Finance and Actuarial Studies, Macquarie University
Downloads 0 (505,444)

Abstract:

Operational Risk, Loss Distributional Approach, Insurance Mitigation, Capital Reduction, α-Stable, Basel II, Solvency II

25.

Chain Ladder Method: Bayesian Bootstrap Versus Classical Bootstrap

Number of pages: 37 Posted: 05 Jun 2017
Gareth William Peters, Mario V. Wuthrich and Pavel V. Shevchenko
University College London - Department of Statistical Science, RiskLab, ETH Zurich and Applied Finance and Actuarial Studies, Macquarie University
Downloads 0 (505,444)
Citation 1

Abstract:

claims reserving, distribution-free chain ladder, mean square error of prediction, Bayesian chain ladder, approximate Bayesian computation, Markov chain Monte Carlo, adaption, annealing, bootstrap

26.

Loss Distribution Approach for Operational Risk Capital Modelling Under Basel II: Combining Different Data Sources for Risk Estimation

Number of pages: 44 Posted: 05 Jun 2017
Pavel V. Shevchenko and Gareth William Peters
Applied Finance and Actuarial Studies, Macquarie University and University College London - Department of Statistical Science
Downloads 0 (500,678)

Abstract:

operational risk; loss distribution approach; Basel II

27.

Assessment of Policy Changes to Means-Tested Age Pension Using Expected Utility Model: Implication for Decisions in Retirement

Number of pages: 21 Posted: 05 Jun 2017
Johan G. Andreasson and Pavel V. Shevchenko
University of Technology Sydney (UTS) and Applied Finance and Actuarial Studies, Macquarie University
Downloads 0 (495,802)

Abstract:

Dynamic Programming, Stochastic Control, Optimal Policy, Retirement, Means-Tested Age Pension, Defined Contribution Pension

28.

Analytic Loss Distributional Approach Models for Operational Risk from the Α-Stable Doubly Stochastic Compound Processes and Implications for Capital Allocation

Number of pages: 29 Posted: 05 Jun 2017
Gareth William Peters, Pavel V. Shevchenko, Mark Young and Wendy Yip
University College London - Department of Statistical Science, Applied Finance and Actuarial Studies, Macquarie University, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 0 (523,445)
Citation 2

Abstract:

Operational Risk, Loss Distributional Approach, Doubly stochastic Poisson Process, α-Stable, Basel II, Solvency II

29.

Stochastic Period and Cohort Effect State-Space Mortality Models Incorporating Demographic Factors via Probabilistic Robust Principle Components

Number of pages: 92 Posted: 01 Jun 2017
Independent, University College London - Department of Statistical Science, CSIRO and Applied Finance and Actuarial Studies, Macquarie University
Downloads 0 (418,531)

Abstract:

Stochastic Mortality Models, Demographic, Factor Model, Feature Extraction, Robust Estimation

30.

Machine Learning Techniques for Mortality Modeling

Number of pages: 16 Posted: 23 Feb 2017
Philippe Deprez, Pavel V. Shevchenko and Mario V. Wuthrich
ETH Zurich - Department of Mathematics, Applied Finance and Actuarial Studies, Macquarie University and RiskLab, ETH Zurich
Downloads 0 (152,225)

Abstract:

mortality modeling, cause-of-death mortality, machine learning, boosting, regression

31.

Cohort Effects in Mortality Modelling: A Bayesian State-Space Approach

Number of pages: 41 Posted: 31 Jan 2017 Last Revised: 24 Mar 2017
Man Chung Fung, Gareth William Peters and Pavel V. Shevchenko
CSIRO, University College London - Department of Statistical Science and Applied Finance and Actuarial Studies, Macquarie University
Downloads 0 (413,719)

Abstract:

mortality modelling, cohort features, state-space models, Bayesian inference, Markov chain Monte Carlo

32.

The 2015-2017 Policy Changes to the Means-Tests of Australian Age Pension: Implication to Decisions in Retirement

Number of pages: 18 Posted: 28 Nov 2016
Johan G. Andreasson and Pavel V. Shevchenko
University of Technology Sydney (UTS) and Applied Finance and Actuarial Studies, Macquarie University
Downloads 0 (490,818)

Abstract:

Dynamic Programming, Stochastic Control, Optimal Policy, Retirement, Means-Tested Age Pension, Defined Contribution Pension

33.

Valuation of Barrier Options Using Sequential Monte Carlo

Journal of Computational Finance, Forthcoming
Number of pages: 29 Posted: 04 Oct 2016
Pavel V. Shevchenko and Pierre Del Moral
Applied Finance and Actuarial Studies, Macquarie University and Centre de Recherche Inria Bordeaux
Downloads 0 (558,014)

Abstract:

monte carlo, option pricing, barrier options

34.

Which Risk Factors Drive Oil Futures Price Curves? Speculation and Hedging in the Short and Long-Term

Number of pages: 29 Posted: 20 Sep 2016
University College London - Department of Statistical Science, ESC Rennes, University College London - Department of Statistical Science, Applied Finance and Actuarial Studies, Macquarie University and Independent
Downloads 0 (226,385)

Abstract:

Crude oil, Short-term factor, Long-term factor, Hybrid Multi-Factor model, Macroeconomical factors, Term structure

35.

Optimal Consumption, Investment and Housing with Means-Tested Public Pension in Retirement

Number of pages: 28 Posted: 28 Jun 2016 Last Revised: 13 Jun 2017
Johan G. Andreasson, Pavel V. Shevchenko and Alex Novikov
University of Technology Sydney (UTS), Applied Finance and Actuarial Studies, Macquarie University and University of Technology Sydney (UTS)
Downloads 0 (342,100)

Abstract:

Dynamic programming, Stochastic control, Optimal policy, Retirement, Means-tested age pension, Defined contribution pension

36.

Standardized Measurement Approach for Operational Risk: Pros and Cons

Number of pages: 18 Posted: 04 Jun 2016
University College London - Department of Statistical Science, Applied Finance and Actuarial Studies, Macquarie University, Université Paris I Panthéon-Sorbonne and University College London - Department of Computer Science
Downloads 0 (71,421)

Abstract:

37.

A Unified Approach to Mortality Modelling Using State-Space Framework: Characterisation, Identification, Estimation and Forecasting

Number of pages: 44 Posted: 31 May 2016
Man Chung Fung, Gareth William Peters and Pavel V. Shevchenko
CSIRO, University College London - Department of Statistical Science and Applied Finance and Actuarial Studies, Macquarie University
Downloads 0 (379,784)

Abstract:

mortality modelling, state-space model, stochastic volatility, heteroscedasticity, particle Markov chain Monte Carlo

38.

A Unified Pricing of Variable Annuity Guarantees Under the Optimal Stochastic Control Framework

P.V. Shevchenko and X. Luo (2016). A unified pricing of variable annuity guarantees under the optimal stochastic control framework. Risks 4(3), 22:1-22:31, doi:10.3390/risks4030022
Number of pages: 37 Posted: 03 May 2016 Last Revised: 02 May 2017
Pavel V. Shevchenko and Xiaolin Luo
Applied Finance and Actuarial Studies, Macquarie University and Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)
Downloads 0 (438,965)

Abstract:

variable annuity, guaranteed living and death benefits, guaranteed minimum accumulation benefit, optimal stochastic control, direct integration method

39.

Valuation of Variable Annuities with Guaranteed Minimum Withdrawal Benefit Under Stochastic Interest Rate

Number of pages: 32 Posted: 11 Feb 2016 Last Revised: 15 Jan 2017
Pavel V. Shevchenko and Xiaolin Luo
Applied Finance and Actuarial Studies, Macquarie University and Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)
Downloads 0 (348,465)

Abstract:

Variable Annuity, Stochastic Interest Rate, Optimal Stochastic Control, Guaranteed Minimum Withdrawal Benefit, products for retirees

40.

Crunching Mortality and Life Insurance Portfolios with Extended CreditRisk

Number of pages: 19 Posted: 19 Jan 2016 Last Revised: 20 Dec 2016
Jonas Hirz, Uwe Schmock and Pavel V. Shevchenko
TU Wien, TU Wien and Applied Finance and Actuarial Studies, Macquarie University
Downloads 0 (383,586)

Abstract:

Stochastic mortality, mortality trends, cohort effects, extended CreditRisk, Markov chain Monte Carlo, regularisation via prior distribution, risk aggregation, annuity portfolios, partial internal model, underwriting risk module

41.

Forecasting Covariance for Optimal Carry Trade Portfolio Allocations

Number of pages: 5 Posted: 07 Jan 2016
University College London - Department of Statistical Science, ESC Rennes, University College London - Department of Statistical Science and Applied Finance and Actuarial Studies, Macquarie University
Downloads 0 (136,564)

Abstract:

Covariance Forecasting, Currency Carry Trade, Covariance Regression, Markowitz Portfolio, Equal Risk Contribution

42.

Historical Backtesting of Local Volatility Model Using AUD/USD Vanilla Options

Number of pages: 23 Posted: 07 Dec 2015
Timothy G Ling and Pavel V. Shevchenko
University of Technology Sydney (UTS) and Applied Finance and Actuarial Studies, Macquarie University
Downloads 0 (464,924)

Abstract:

local volatility model, backtesting, model validation, foreign exchange options, implied volatility

43.

A State-Space Estimation of the Lee-Carter Mortality Model and Implications for Annuity Pricing

Number of pages: 7 Posted: 07 Dec 2015
Man Chung Fung, Gareth William Peters and Pavel V. Shevchenko
CSIRO, University College London - Department of Statistical Science and Applied Finance and Actuarial Studies, Macquarie University
Downloads 0 (404,399)

Abstract:

Mortality modeling, longevity risk, Bayesian inference, Gibbs sampling, state-space models, life annuities

44.

Understanding the Interplay between Covariance Forecasting Factor Models and Risk Based Portfolio Allocations in Currency Carry Trades

Number of pages: 25 Posted: 05 Dec 2015
University College London - Department of Statistical Science, ESC Rennes, University College London - Department of Statistical Science and Applied Finance and Actuarial Studies, Macquarie University
Downloads 0 (198,094)

Abstract:

Covariance Forecasting, Currency Carry Trade, Covariance Regression, Generalised Multi-Factor Model, Portfolio Optimisation

45.

Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk

Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk, Hoboken, Wiley (2015), 627 pages. ISBN: 978-1-118-90953-9
Posted: 29 Jul 2015
Gareth William Peters and Pavel V. Shevchenko
University College London - Department of Statistical Science and Applied Finance and Actuarial Studies, Macquarie University

Abstract:

operational risk, insurance, heavy tailed risk modelling

46.

Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk

Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk, Hoboken, Wiley (2015), 899 pages.
Posted: 29 Jul 2015
Marcelo G Cruz, Gareth William Peters and Pavel V. Shevchenko
New York University (NYU) - Leonard N. Stern School of Business, University College London - Department of Statistical Science and Applied Finance and Actuarial Studies, Macquarie University

Abstract:

operational risk, insurance, risk modelling

47.

Actuarial Applications and Estimation of Extended CreditRiskPlus

Number of pages: 34 Posted: 15 May 2015
Jonas Hirz, Uwe Schmock and Pavel V. Shevchenko
TU Wien, TU Wien and Applied Finance and Actuarial Studies, Macquarie University
Downloads 0 (523,445)

Abstract:

stochastic mortality model; extended CreditRisk; risk aggregation; partial internal model; mortality risk; longevity risk; Markov chain Monte Carlo

48.

Calibration and Filtering for Multi Factor Commodity Models with Seasonality: Incorporating Panel Data from Futures Contracts

Methodology and Computing in Applied Probability 15(4), pp. 841-874, December 2013, DOI 10.1007/s11009-012-9286-7
Posted: 29 Nov 2014
Gareth William Peters, Mark Briers, Pavel V. Shevchenko and Arnaud Doucet
University College London - Department of Statistical Science, QinetiQ Ltd, Applied Finance and Actuarial Studies, Macquarie University and University of Cambridge - Department of Engineering

Abstract:

Multi-factor, Commodity, spot price, Stochastic volatility, Milstein, Adaptive Markov chain Monte Carlo, Particle filter, Rao-Blackwellization

49.

Model Uncertainty in Claims Reserving within Tweedie's Compound Poisson Models

ASTIN Bulletin 39(1), pp.1-33, 2009
Posted: 23 Nov 2014
Gareth William Peters, Pavel V. Shevchenko and Mario V. Wuthrich
University College London - Department of Statistical Science, Applied Finance and Actuarial Studies, Macquarie University and RiskLab, ETH Zurich

Abstract:

Claims reserving, model uncertainty, Tweedie's compound Poisson model, Bayesian analysis, model selection, model averaging, Markov chain Monte Carlo

50.

Modelling Operational Risk Using Bayesian Inference

Springer, Berlin, 2011
Posted: 07 Sep 2011 Last Revised: 29 Nov 2014
Pavel V. Shevchenko
Applied Finance and Actuarial Studies, Macquarie University

Abstract:

Operational risk, Quantitative risk management, Bayesian inference, Loss distribution approach, Markov chain Monte Carlo

51.

Addressing Impact of Truncation and Parameter Uncertainty on Operational Risk Estimates

The Journal of Operational Risk, Vol. 2, No. 4, pp. 3-26, 2007
Posted: 15 Jan 2009 Last Revised: 04 Nov 2014
Xiaolin Luo, Pavel V. Shevchenko and John Donnelly
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Applied Finance and Actuarial Studies, Macquarie University and affiliation not provided to SSRN

Abstract:

operational risk, truncated data, Poisson-Lognormal compound distribution, loss distribution approach

52.

Estimation of Operational Risk Capital Charge under Parameter Uncertainty

The Journal of Operational Risk, Vol. 3, No. 1, pp. 51-63, Spring 2008
Posted: 15 Jan 2009
Pavel V. Shevchenko
Applied Finance and Actuarial Studies, Macquarie University

Abstract:

quantitative risk management, operational risk, loss distribution approach, Bayesian inference, parameter uncertainty, Basel II