Pavel V Shevchenko
Pavel Shevchenko is a Professor in the Department of Applied Finance and Actuarial Studies of 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 NSW, adjunct Professor at University of Technology Sydney, and Honorary Senior Research Associate in University College London. 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 research monograph, two co-authored research monographs, over 60 journal papers and over 80 technical reports.
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The authors present Sequential Monte Carlo (SMC) method for pricing barrier options.
Should the advanced measurement approach be replaced with the standardized measurement approach for operational risk?
This paper discusses and studies the weaknesses and pitfalls of the SMA and the implicit relationship between the SMA capital model and systemic risk in the banking sector.