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Alexander J. McNeil

 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.

 

Contact:   Email address secured by Enkoder.
Phone +44 131 451 3230
Fax +44 131 451 3249
e-mail Alexander J. McNeil's e-mail

 

External links for Alexander J. McNeil and his worksOfficial Page "Personal" Page
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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:

Quantitative Risk Management Quantitative Risk Management: Concepts, Techniques, and Tools (Princeton Series in Finance)
by Alexander J. McNeil, Rudiger Frey, Paul Embrechts, Princeton University Press, (September 26, 2005), Hardcover, 608 pages

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