Alexander McNeil
Alexander McNeil
Verified email at york.ac.uk - Homepage
Title
Cited by
Cited by
Year
Quantitative risk management: concepts, techniques and tools-revised edition
AJ McNeil, R Frey, P Embrechts
Princeton university press, 2015
60032015
Correlation and dependence in risk management: properties and pitfalls
P Embrechts, A McNeil, D Straumann
Risk management: value at risk and beyond 1, 176-223, 2002
28852002
Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach
AJ McNeil, R Frey
Journal of empirical finance 7 (3-4), 271-300, 2000
21792000
Modelling dependence with copulas
P Embrechts, F Lindskog, A McNeil
Rapport technique, Département de mathématiques, Institut Fédéral de …, 2001
19292001
The t Copula and Related Copulas
S Demarta, AJ McNeil
International statistical review 73 (1), 111-129, 2005
11222005
Estimating the tails of loss severity distributions using extreme value theory
AJ McNeil
ASTIN Bulletin: The Journal of the IAA 27 (1), 117-137, 1997
7071997
Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions
AJ McNeil, J Nešlehová
The Annals of Statistics 37 (5B), 3059-3097, 2009
6962009
Correlation: pitfalls and alternatives
P Embrechts, E Mcneil, D Straumann
Risk Magazine, 1999
6261999
Extreme value theory for risk managers
AJ McNeil
Departement Mathematik ETH Zentrum 12 (5), 121-237, 1999
5561999
Dependent defaults in models of portfolio credit risk
R Frey, AJ McNeil
Journal of Risk 6, 59-92, 2003
4302003
Quantitative Risk Management.
P Embrechts, R Frey, A McNeil
International Encyclopedia of Statistical Science, 1151-1154, 2011
3622011
Modelling complexity: applications of Gibbs sampling in medicine
WR Gilks, DG Clayton, DJ Spiegelhalter, NG Best, AJ McNeil, ...
Journal of the Royal Statistical Society: Series B (Methodological) 55 (1 …, 1993
3161993
Sampling nested Archimedean copulas
AJ McNeil
Journal of Statistical Computation and Simulation 78 (6), 567-581, 2008
2912008
Common Poisson shock models: applications to insurance and credit risk modelling
F Lindskog, AJ McNeil
ASTIN Bulletin: The Journal of the IAA 33 (2), 209-238, 2003
2912003
Modelling dependent defaults
R Frey, AJ McNeil
ETH Zurich, 2001
2862001
VaR and expected shortfall in portfolios of dependent credit risks: conceptual and practical insights
R Frey, AJ McNeil
Journal of banking & finance 26 (7), 1317-1334, 2002
2812002
Kendall’s tau for elliptical distributions
F Lindskog, A McNeil, U Schmock
Credit Risk, 149-156, 2003
2552003
The peaks over thresholds method for estimating high quantiles of loss distributions
AJ McNeil, T Saladin
Proceedings of 28th international ASTIN Colloquium, 23-43, 1997
2451997
Copulas and credit models
R Frey, AJ McNeil, M Nyfeler
Risk 10 (111114.10), 2001
2412001
Bayesian inference for generalized linear mixed models of portfolio credit risk
AJ McNeil, JP Wendin
Journal of Empirical Finance 14 (2), 131-149, 2007
2242007
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