15 citations · 27 across the 6 of their papers we have counts for
6 papers
Implied Correlation for Pricing multi-FX options
Pavel V. Shevchenko
Option written on several foreign exchange rates (FXRs) depends on correlation between the rates. To evaluate the option, historical estimates for correlations can be used but usua…
Estimation of Operational Risk Capital Charge under Parameter Uncertainty
Pavel V. Shevchenko
Many banks adopt the Loss Distribution Approach to quantify the operational risk capital charge under Basel II requirements. It is common practice to estimate the capital charge us…
The Quantification of Operational Risk using Internal Data, Relevant External Data and Expert Opinions
Dominik D. Lambrigger, Pavel V. Shevchenko, Mario V. Wüthrich
To quantify an operational risk capital charge under Basel II, many banks adopt a Loss Distribution Approach. Under this approach, quantification of the frequency and severity dist…
Addressing the bias in Monte Carlo pricing of multi-asset options with multiple barriers through discrete sampling
P. V. Shevchenko
An efficient conditioning technique, the so-called Brownian Bridge simulation, has previously been applied to eliminate pricing bias that arises in applications of the standard dis…
The Structural Modelling of Operational Risk via Bayesian inference: Combining Loss Data with Expert Opinions
P. V. Shevchenko, M. V. Wüthrich
To meet the Basel II regulatory requirements for the Advanced Measurement Approaches, the bank's internal model must include the use of internal data, relevant external data, scena…
Modeling operational risk data reported above a time-varying threshold
Pavel V. Shevchenko, Grigory Temnov
Typically, operational risk losses are reported above a threshold. Fitting data reported above a constant threshold is a well known and studied problem. However, in practice, the l…