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McNeil, Alexander’ AUTHOR PAGE
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E-Mail: a.j.mcneil@hw.ac.uk
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Affiliation: Heriot-Watt University
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Archimedean Copulas in High Dimensions: Estimators and Numerical Challenges Motivated by Financial Applications 2013
Hofert, Marius
McNeil, Alexander
Machler, Martin
 
The performance of known and new parametric estimators for the parameters of Archimedean copulas is investigated and related numerical difficulties ar...
Multivariate Stress Scenarios and Solvency 2011
McNeil, Alexander
Smith, Andrew
 
We show how the probabilistic concepts of half-space trimming and depth may be used to define convex scenario sets Q for stress testing the risk fact...
Modelling Dependent Defaults: Asset Correlations Are Not Enough! 2001
Frey, Rudiger
McNeil, Alexander
Nyfeler, Mark A.
 
This article may be understood as a model risk study in the context of latent variable models. Individual default probabilities and asset correlations...
The Case for Fully Integrated Models of Economic Capital 2009
McNeil, Alexander
Kretzschmar, Gavin
Kirchner, Axel
 
Economic capital models are potentially powerful tools for enterprise risk manage-ment (ERM), and for the supervisory review process (Pillar 2) of the...
The Grouped t-Copula with an Application to Credit Risk 2003
Daul, Stephane
De Giorgi, Enrico
Lindskog, Filip
McNeil, Alexander
 
We describe a model that takes into account the tail dependence present in a large set of historicalrisk factor data using the modern concept of copul...
Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling 2003
Lindskog, Filip
McNeil, Alexander
 
The idea of using common Poisson shock processes to model dependent event frequenciesis well known in the reliability literature. In this paper we exa...
Credit Risk Models Do Explain Market Prices 2005
Denzler, Stefan
Dacorogna, Michel
Muller, Ulrich
McNeil, Alexander
 
Credit risk models like Moody’s KMV are now well established in the market and givebond managers reliable estimates of default probabilities for indiv...
Quantitative Risk Management: Concepts, Techniques, and Tools 2005
McNeil, Alexander
Frey, Rudiger
Embrechts, Paul
 
The implementation of sound quantitative risk models is a vital concern for all financial institutions, and this trend has accelerated in recent years...
The t Copula and Related Copulas 2004
Demarta, Stefano
McNeil, Alexander
 
The t copula and its properties are described with a focus on issues related to thedependence of extreme values. The Gaussian mixture representation o...
Estimating Value-at-Risk: A Point Process Approach 2004
Chavez-Demoulin, Valerie
Davison, Anthony
McNeil, Alexander
 
We consider the modelling of rare events in financial time series,and introduce a marked point process model for the excesses of thetime series over a...
Estimating Value-at-Risk for Financial Time Series: An Approach Combining Self-Exciting Processes an 2002
Chavez-Demoulin, Valerie
Davison, Anthony
McNeil, Alexander
 
This presentation describes a method for risk measurement that accounts for fat tails and clustering of extreme observations. Relation to Peaks over ...
Copulas and Credit Models 2001
Frey, Rudiger
McNeil, Alexander
Nyfeler, Mark A.
 
In this article we focus on the latent variable approach to modelling credit portfoliolosses. This methodology underlies all models that descend from ...
Dependence Modelling, Model Risk and Model Calibration in Models of Portfolio Credit Risk 2002
Frey, Rudiger
McNeil, Alexander
 
We consider mathematical models for portfolio credit risk. We analyze the mathematical structure and in particular the modelling of dependence between...
Dependent Defaults in Models of Portfolio Credit Risk 2003
Frey, Rudiger
McNeil, Alexander
 
We analyse the mathematical structure of portfolio credit risk models with particularregard to the modelling of dependence between default events in t...
The Peaks Over Thresholds Method for Estimating High Quantiles of Loss Distributions 1997
McNeil, Alexander
Saladin, T.
 
We review the peaks over thresholds or POT method for modellingtails of loss severity distributions and discuss the use of this techniquefor estimatin...
On Extremes and Crashes 1997
McNeil, Alexander
 
...
Operational Risk: A Practitioners View 2002
Ebnoether, Silvan
Vanini, Paolo
McNeil, Alexander
Antolinez-Fehr, Pierre
 
The Basel Committee on Banking Supervision ("the Committee") released a consultative document that included a regulatory capital charge for operationa...
Basic Concetps in Risk Management 2001
Embrechts, Paul
Frey, Rudiger
McNeil, Alexander
 
In this chapter we discuss basic concepts which are essential in quantitative riskmanagement. We begin by introducing a mathematical framework for mod...
VaR and Expected Shortfall in Porfolios of Dependent Credit Risks: Conceptual and Practical Insights 2002
Frey, Rudiger
McNeil, Alexander
 
In the rst part of this paper we address the non-coherence of value-at-risk (VaR) as a risk measure in the context of portfolio credit risk, and high...
Modelling Operational Risk 2001
Ebnoether, Silvan
Vanini, Paolo
McNeil, Alexander
Antolinez-Fehr, Pierre
 
The Basel Committee on Banking Supervision ("the Committee") released a consultative document that included a regulatory capital charge for operationa...
Modelling Dependence with Copulas and Applications to Risk Management 2001
Embrechts, Paul
Lindskog, Filip
McNeil, Alexander
 
All quantitative models are based on assumptions vis-a-vis the markets on which they are to be applied. Standard hedging techniques require a high lev...
Modeling Dependent Defaults 2001
Frey, Rudiger
McNeil, Alexander
 
We consider the modelling of dependent defaults using latent variable models (the approach that underlies KMV and CreditMetrics) and mixture models (t...
Correlation and Dependence in Risk Management: Properties and Pitfalls 1999
Embrechts, Paul
McNeil, Alexander
Straumann, Daniel
 
Modern risk management calls for an understanding of stochastic dependence going beyond simple linear correlation. This paper deals with the static (n...
Extreme Value Theory for Risk Managers 1999
McNeil, Alexander
 
We provide an overview of the role of extreme value theory (EVT) in risk management (RM), as a method for modelling and measuring extreme risks. We c...
Calculating Quantile Risk Measures for Financial Time Series using Extreme Value Theory 1998
McNeil, Alexander
 
We consider the estimation of quantiles in the tail of the marginal distribution of tinancial return series, using extreme value statistical methods b...
Developing scenarios for future extreme losses using the POT method 1998
McNeil, Alexander
Saladin, T.
 
We use the peaks over thresholds or POT method to derive a natural model for the point process of large losses exceeding a high threshold. This model ...
Correlation: Pitfalls and Alternatives 1999
Embrechts, Paul
McNeil, Alexander
Straumann, Daniel
 
This article will tell you when it is safe and unproblematic to use correlation in the way that you imagine you can use it, and when you should take c...
Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value 2000
McNeil, Alexander
Frey, Rudiger
 
We propose a method for estimating VaR and related risk measures describing the tail of the conditional distribution of a heteroscedastic financial re...
Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory 1997
McNeil, Alexander
 
Good estimates for the tails of loss severity dustrlbutlons are essential for pricing or positioning high-excess loss layers m reinsurance We describe...
History Repeating 1998
McNeil, Alexander
 
...
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