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Alexander J. McNeil
Department of Actuarial Mathematics and Statistics
School of Mathematical and Computer Sciences
Heriot-Watt University
Edinburgh, EH14 4AS
Scotland, UK - Cambridge University, PhD (Mathematical statistics) (1993)
- Alexander McNeil is Maxwell Professor of Mathematics in the Department of Actuarial Mathematics and Statistics at Heriot-Watt University. He was formerly an Assistant Professor at the Swiss Federal Institute of Technology (ETH) in Zurich. Since joining ETH in 1996 he has concentrated on developing statistical methodology for integrated financial risk management.
- His particular interests include extreme value theory (EVT), risk theory, financial time series analysis and the modeling of correlated risks.
Publications: that are posted on DefaultRisk.com Credit Pricing From Default Probabilities to Credit Spreads: Credit risk models do explain market prices
by Stefan M. Denzler of Converium Ltd.,
Michel M. Dacorogna of Converium Ltd.,
Ulrich A. Müller of Converium Ltd., and
Alexander J. McNeil of Swiss Federal Institute of Technology (ETH)
(414K PDF) -- 18 pages -- June 25, 2005 Credit Modeling Dependent Credit Migrations
by Jonathan Wendin of ETH Zürich, and
Alexander J. McNeil of ETH Zürich
(261K PDF) -- 25 pages -- July 2006 Bayesian Inference for Generalized Linear Mixed Models of Portfolio Credit Risk
by Alexander J. McNeil of ETH Zürich, and
Jonathan Wendin of ETH Zürich
(456K PDF) -- 27 pages -- October 5, 2005 Common Poisson Shock Models: Applications to insurance and credit risk modelling
by Filip Lindskog of Risklab and ETH Zentrum, and
Alexander J. McNeil of ETH Zentrum
(553K PDF) -- 30 pages -- November 2003 VaR and Expected Shortfall in Portfolios of Dependent Credit Risks: Conceptual and Practical Insights
by Rüdiger Frey of the University of Zurich, and
Alexander J. McNeil of the Federal Institute of Technology
(326K PDF) -- 15 pages -- January 23, 2002 Credit Correlation The Grouped t-copula with an Application to Credit Risk
by Stéphane Daul of Swiss Re,
Enrico De Giorgi of RiskLab & ETH Zürich,
Filip Lindskog of RiskLab & ETH Zürich, and
Alexander McNeil of ETH Zürich
(182K PDF) -- 7 pages -- November 2003 Dependent Defaults in Models of Portfolio Credit Risk
by Rüdiger Frey of the University of Leipzig, and
Alexander J. McNeil of ETH Zentrum
(386K PDF) -- 27 pages -- June 16, 2003 Modelling Dependence with Copulas and Applications to Risk Management
by Paul Embrechts of the Department of Mathematics ETHZ,
Filip Lindskog of the Department of Mathematics ETHZ, and
Alexander McNeil of the Department of Mathematics ETHZ
(538K PDF) -- 50 pages -- September 10, 2001 Modelling Dependent Defaults
by Rüdiger Frey of the University of Zurich, and
Alexander J. McNeil of the Federal Institute of Technology
(490K PDF) -- 30 pages -- August 13, 2001 Correlation and Dependence in Risk Management: Properties and Pitfalls
by Paul Embrechts of ETH-Zentrum,
Alexander McNeil of ETH-Zentrum, and
Daniel Straumann of ETH-Zentrum
(533K PDF) -- 37 pages -- August 9, 1999 Correlation: Pitfalls and Alternatives
by by Paul Embrechts of the ETH Zentrum,
Alexander McNeil of the ETH Zentrum, and
Daniel Straumann of the ETH Zentrum
(302K PDF) -- 8 pages -- March 1999 Related Papers The t Copula and Related Copulas
by Stefano Demarta of ETH Zentrum, and
Alexander J. McNeil of ETH Zentrum
(897K PDF) -- 20 pages -- May 2004 Books: [Home] [Credit Researchers] [Top Ten Most Prolific] [Top Ten Most Popular]
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