Denzil took up his current position of Professor in the School of Economics, UNSW Business School in 2001 having previously held a chair in econometrics at the University of Sydney.  He has served terms as discipline head and member of Academic Board at both universities.  He has also held visiting appointments at the University of Florida (USA), University of Southern California (USA), Tilburg University (The Netherlands), Victoria University of Wellington (NZ), the University of York (UK) and Erasmus University (The Netherlands).

Denzil was a member of the Australian Research Council College of Experts 2014-17, served two terms on the Australasian Standing Committee of the Econometric Society, was President of the Australian Health Economics Society 2005-10,  Chaired the Scientific Committee of the Australasian Workshop on Econometrics and Health Economics since its inception in 2009 until 2018, was co-chair of the International Health Economics Association (iHEA) 2013 World Congress held in Sydney,  was on the Executive Board of iHEA 2014-17 and Chaired the iHEA Scientific Committee 2016-19. He currently serves on the Advisory Board of the Centre for Health Economics Research and Evaluation at UTS and the Advisory Committee of the Centre for Health Economics at Monash University and is on the Editorial Board for the Economic Record.