McNeil, Alexander J. - Department of Actuarial Mathematics and Statistics, Heriot-Watt University

• J.P. Morgan Co-sponsors
• Copulas and credit models Rudiger Frey
• Developing Scenarios for Future Extreme Losses Using the POT Model
• Nonparametric GARCH Models Peter Buhlmann
• Developing Scenarios for Future Extreme Losses Using the POT Model
• Modelling Dependence with Copulas and Applications to Risk Management
• Dependent Defaults in Models of Portfolio Credit Risk Rudiger Frey
• The Peaks over Thresholds Method for Estimating High Quantiles of Loss
• CREDITRISK+CREDITRISK+CREDITRISK+CR DITRISK+CREDITRISK+CREDITRISK+CREDIT
• Integrated models of capital adequacy Why banks are undercapitalised
• DECEMBER 18, 2003 MODELING DEFAULT RISK
• Estimation of Tail-Related Risk Measures for Heteroscedastic Financial Time Series: an Extreme Value Approach
• Estimating the Tails of Loss Severity Distributions using Extreme Value Theory
• CORRELATION AND DEPENDENCY IN RISK MANAGEMENT: PROPERTIES AND PITFALLS
• 2001 KENDALL'ST FOR ELLIPT ICAL
• On Extremes and Crashes Alexander J. McNeil
• www.barrhibb.com Page Liquidity Premium
• www.barrhibb.comwww.barrhibb.comwww.barrhibb.comwww.barrhibb.com Page Summary of Liquidity Premium Estimation
• From Archimedean to Liouville Copulas Alexander J. McNeil
• Multivariate Archimedean Copulas, d-monotone Functions and 1-norm Symmetric
• Sampling Nested Archimedean Copulas Alexander J. McNeil
• Dependent Defaults in Models of Portfolio Credit Risk Rudiger Frey
• June 26, 2001 KENDALL'S TAU FOR ELLIPTICAL DISTRIBUTIONS
• 020406080100120f(x,sigma.sq) 0 200 400 600 800 1000
• CORRELATION AND DEPENDENCY IN RISK MANAGEMENT: PROPERTIES AND PITFALLS
• Extreme Value Theory for Risk Managers Alexander J. McNeil
• The Peaks over Thresholds Method for Estimating High Quantiles of Loss
• Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
• Correlation: Pitfalls and Alternatives Paul Embrechts, Alexander McNeil & Daniel Straumann
• On Extremes and Crashes Alexander J. McNeil
• Basel Committee on Banking Supervision
• Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
• Estimating the Tails of Loss Severity Distributions using Extreme Value Theory
• Extreme Value Theory for Risk Managers Alexander J. McNeil #
• The Grouped t-copula with an Application to Credit Risk Stephane Daul
• The t Copula and Related Copulas Stefano Demarta & Alexander J. McNeil
• Multivariate Stress Scenarios and Solvency Alexander J. McNeila,b,