3 citations · 4 across the 3 of their papers we have counts for
5 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…
Addressing the Impact of Data Truncation and Parameter Uncertainty on Operational Risk Estimates
Xiaolin Luo, Pavel V. Shevchenko, John B. Donnelly
Typically, operational risk losses are reported above some threshold. This paper studies the impact of ignoring data truncation on the 0.999 quantile of the annual loss distributio…
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…
Model uncertainty in claims reserving within Tweedie's compound Poisson models
Gareth W. Peters, Pavel V. Shevchenko, Mario V. Wüthrich
In this paper we examine the claims reserving problem using Tweedie's compound Poisson model. We develop the maximum likelihood and Bayesian Markov chain Monte Carlo simulation app…
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…