Curriculum Vitae Prof Pavel Shevchenko Postal address: CSIRO Level 4, 11 Julius Ave, North Ryde, NSW, 2113, Australia, 1670, Australia. ph: (612) 93253218; e-mails: [email protected] and [email protected] w: http://people.csiro.au/S/P/Pavel-Shevchenko.aspx http://scholar.google.com.au/citations?user=fizvQI4AAAAJ&hl=en Short Bio Prof Pavel Shevchenko is a Senior Principal Research Scientist in 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; 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, 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. Education Ph.D. 1999 in theoretical physics on strongly correlated many body systems, the University of New South Wales, Australia MSc with Honours (“Red Diploma”) 1988-1994 in applied mathematics and physics, Moscow Institute of Physics and Technology, and Kapitza Institute for Physical Problems of Russian Academy of Sciences Employment History 1999-current: CSIRO Sydney (leading financial risk projects since 2005) 2012-current: Senior Principal Research Scientist (CSOF level 8) CSIRO Computational Informatics (Data61, since 2016) 2005-2012: Principal Research Scientist (CSOF level 7) CSIRO Mathematics, Informatics and Statistics 2002-2005: Senior Research Scientist (CSOF level 6) CSIRO Mathematical and Information Sciences 1999-2002: Research Scientist (CSOF level 5) CSIRO Mathematical and Information Sciences 1996-1999: PhD researcher (full time), The University of NSW, Sydney 1996-1999: tutor (part time), The University of NSW 1997-1998: researcher (part-time), The University of Sydney, Sydney 1997-1998: researcher (part-time), The University of Technology, Sydney. Project for Balzers Ltd, R&D Analytical Instruments, Liechtenstein 1996: researcher (part-time), School of Physics, The University of NSW 1992-1996: researcher, Kapitza Institute for Physical Problems of Russian Academy of Sciences Honorary/Adjunct appointments Adjunct Professor, School of Mathematics and Statistics UNSW (since 2013-2017) Adjunct Professor, School of Mathematical Sciences UTS (2011-2012, 2015-2018) Honorary Senior Research Associate, Department of Statistical Science, University College London (2012-2016) Page 1 Professional associations/activities Member of the Industry Advisory Board at the University of Technology Sydney (since 2016) Associate Editor of the Journal of Operational Risk, Incisive Media Risk.Net, London (since 2010) Associate Editor of the international journal RISKS, MDPI Switzerland (since 2016) Member of Retirement Incomes Working Group, Institute of Actuaries of Australia (since 2014) Co-founder of Quantitative Risk Solutions Lab, UNSW (2010-2012), University College London (since 2012) Committee on Risk Analysis in the International Statistical Institute (2010-2012) Society of Risk Analysis – Australia & New Zealand (2010-2012) The Statistical Society of Australia (2010-2012) Q-group – Australian association of practitioners and researchers in finance (since 2000) Awards Newton Turner Award: CSIRO OCE award, 2012 OCE postdoc award: CSIRO OCE funding for postdoc, 2014 Partnership Excellence Award: CSIRO Mathematical and Information Sciences, 2009 Go for Growth Award: CSIRO Mathematical and Information Sciences, 2007 Partnership Excellence Award: CSIRO Mathematical and Information Sciences, 2006 Service from Science Award: CSIRO Mathematical and Information Sciences, 2004 Recognition Awards: CSIRO Mathematical and Information Sciences: 2003, 2004 Award for Postgraduate Excellence in Physics at UNSW in 1998 Three Gordon Godfrey awards in Theoretical Physics at UNSW in 1997, 1998, 1999 Overseas Postgraduate Research Scholarship from Australian Government, 1996-1999 Two Landau awards from Forschungszentrum Zulich GmbH, Germany, 1994-1996 Landau Theoretical Minimum, Kapitza Institute, Russian Academy of Sciences, 1992 Computer proficiency Programming in C/C++/C#, VBA, Fortran Statistical and mathematical software: MS Excel, Matlab, Mathematica, S-Plus, R, Fastflo Areas of Expertise Finance operational risk, credit risk, market risk commodities and FX markets non-life insurance life insurance, longevity/mortality/annuities exotic options pricing portfolio asset allocation Related statistical/mathematical methods Bayesian and frequentist methods Monte Carlo methods, Markov chain Monte Carlo, Sequential Monte Carlo data analysis (statistical learning methods, time-series analysis) dependence modelling (copula models) multi-factor models state-space models optimal stochastic control modelling extreme events Partial Differential Equation methods Page 2 Referees (who jointly can comment on all aspects of my work): 1. Prof Paul Embrechts, e-mail: [email protected] ph +41-44-632 3419 Department of Mathematics ETH Zurich, Director of RiskLab ETH Zurich 2. Prof Robert Kohn, e-mail: [email protected] ph: +61 2 9385 2150 Scientia Professor, School of Economics UNSW 3. Prof Erik Schlogl, e-mail: [email protected] ph: +61 2 9514 7785 Director Quantitative Finance Research Centre, UTS Business School 4. Dr Gareth Peters, email: [email protected] [email protected] Department of Statistical Science University College London, UK 5. Prof Spiro Penev, email: [email protected] ph: 02-93857023 Head of Statistics, School of Mathematics and Statistics UNSW 6. Prof Uwe Schmock, email: [email protected] ph: +43 1 58801 10510 Deputy Head of Institute of Statistics and Mathematical Methods in Economics, Vienna University of Technology 7. Prof John Jarratt, e-mail: [email protected] ph: +02 9303 8126 Head of Credit and Operational Risk Modelling, Commonwealth Bank of Australia 8. Prof Murray Cameron e-mail: [email protected] ph: +61 2 9514 1501 Director UTS Industry Doctorates. Murray was Chief of CSIRO Division (Mathematical and Information Sciences) 2000-2008 and worked in CSIRO till 2014. He knows most of my projects I did in CSIRO since 1999 and also supported my CSIRO promotions in 2002, 2004, 2005 and 2007. 9. Dr Frank De Hoog e-mail: [email protected] ph: 02-6216 7252 Chief Scientist, CSIRO Digital Productivity. Frank was my team and program leader during some periods after I joined CSIRO in 1999, he was also Science Director of our division of Computation Informatics until major CSIRO restructure last year. He knows most of my work I did in CSIRO since 1999 and also supported all my promotions in CSIRO. 10. Prof Louise Ryan, e-mail: [email protected] ph : (02) 9514 2275 Distinguished Professor of Statistics UTS; Deputy Director of ARC Centre of Excellence in Mathematical & Statistical Frontiers. Chief of CSIRO Mathematical and Information Sciences 2009-12. She knows most of my projects I did in CSIRO during 2009-2012 and also supported my promotion to Senior Principal Research Scientist in 2012. Page 3 External projects and grants Australian Research Council (ARC) discovery grant “Frontiers in inference about risk” (DP160103489), 2016-2019, $370,000: A/Prof Penev (UNSW) and Prof Shevchenko. The project is on analysis of different risk measures and related multi-period optimization problems, online analysis and forecasting for locally stationary time series using novel wavelet-based inference methods for applications in finance. External (fully commercial) consulting projects (over $9 mln industry funding since 2005). These are the projects where Prof Shevchenko played key leadership role. He liaised and established most of these projects starting from first contact to the client to the completion. (2015-2017) operational risk modelling for Suncorp bank, $168K. (2015) estimation of operational risk distribution tail parameters for Suncorp bank, $31K (2015) modelling labour times for Insurance Australia Group, $78K (2013-2014) operational risk for Suncorp Bank, $126K (2013-2014) operational risk for Suncorp group, $52K (2013) Interim Report on Retirement Benefits System for Department of Human Services, $93K. (2011-2012) option pricing models for Commonwealth Bank of Australia, $200K. (2011) operational risk capital modelling for Westpac bank, $90K. (2010) modeling labour times for Insurance Australia Group, $60K. (2009-2010) operational risk modelling for Commonwealth Bank of Australia, $60K. (2010) quantification of electricity failures for Australian