Alexander McNeil

Books

• 2005. McNeil AJ, Frey R, Embrechts P: Quantitative Risk Management: Concepts, Techniques and Tools. Princeton University Press. See official homepage.
  

Preprints

• 2006. McNeil AJ and Wendin J: Bayesian inference for generalized linear mixed models of portfolio credit risk. Working paper. to appear in Journal of Empirical Finance
  
• 2006. McNeil AJ and Wendin JP: Dependent credit migrations. to appear in Journal of Credit Risk
  

Publications

• 2006. Denzler SM, Dacarogna MM, Müller UA and McNeil AJ: From default probabilities to credit spreads: credit risk models do expain market prices. Finance Research Letters, 3: 79-95..
• 2005. Chavez-Demoulin V, Davison AC and McNeil AJ: A point process approach to Value-at-Risk estimation. Quantitative Finance, 5(2): 227-234. NCCR Working Paper
  
• 2005. Demarta S and McNeil AJ: The t Copula and Related Copulas. International Statistical Review, 73(1): 111-129. pdf (897k)
• 2003. Frey R and McNeil AJ: Dependent defaults in models of portfolio credit risk. Journal of Risk, 6(1): pages 59-92. postscript (435k) pdf (431k).
• 2003. Lindskog F and McNeil AJ: Common Poisson shock models: applications to insurance and credit risk modelling. ASTIN Bulletin, 33(2): 209-238. postscript (491k) pdf (253k).
• 2003. Lindskog F, McNeil AJ, Schmock U: Kendall's tau for elliptical distributions. postscript (571k) pdf (171k). In Credit Risk - Measurement, Evaluation and Management, edited by Bol, Nakhaeizadeh, Rachev, Ridder and Vollmer, Physica-Verlag Heidelberg.
• 2003. Ebnoether S, Vanini P, McNeil AJ, Antolinez-Fehr P: Operational Risk: A Practitioner's View. Journal of Risk, 5(3): pages 1-15. See http://db.riskwaters.com/public/showPage.html?page=11807 .
  
• 2003. Embrechts P, Lindskog F, McNeil AJ: Modelling dependence with copulas and applications to risk management. In Handbook of heavy tailed distributions in finance, edited by Rachev ST, published by Elsevier/North-Holland, Amserdam.  postscript (906k) pdf (538k)
• 2002. Bühlmann P and McNeil AJ: An algorithm for nonparametric GARCH modelling. Journal of Computational Statistics & Data Analysis, 40: 665-683. postscript (1462k) pdf (1218k)
• 2002. Frey R and McNeil AJ: VaR and expected shortfall in portfolios of dependent credit risks: conceptual and practical insights . Journal of Banking and Finance, 26: 1317-1334. postscript (383k)  pdf (326)
• 2002. Embrechts P, McNeil AJ and Straumann D: Correlation and dependence in risk management: properties and pitfalls . In Risk management: value at risk and beyond, edited by Dempster M, published by Cambridge University Press, Cambridge. postscript (614k) pdf (611k)
  
• 2001. Frey R, McNeil AJ, Nyfeler M: Copulas and credit models . RISK, October 2001: pages 111-114. postscript (447k) pdf (360k)
• 2000. McNeil AJ and Frey R: Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach . Journal of Empirical Finance, 7: 271-300. Older preprint version: postscript (564k) pdf (548k)
• 2000. McNeil AJ and Saladin T: Developing scenarios for future extreme losses using the POT method. In Extremes and Integrated Risk Management , edited by Embrechts PME, published by RISK books, London. postscript (321k) pdf (298k)
• 2000. McNeil AJ: Reading the Riskometer. In Extremes and Integrated Risk Management, edited by Embrechts PME, published by RISK books, London.
• 1999. McNeil AJ: Extreme value theory for risk managers . Internal Modelling and CAD II published by RISK Books , 93-113. postscript (619k) pdf (542k)
• 1999. Embrechts P, McNeil AJ, Straumann D: Correlation: pitfalls and alternatives. RISK, May 1999: pages 69-71. postscript (342k) pdf (301k)
• 1998. McNeil AJ: On Extremes and Crashes. RISK , January 1998: page 99. postscript (175k) pdf (180k)
• 1997. McNeil AJ: Estimating the tails of loss severity distributions using extreme value theory. ASTIN Bulletin,27: 117-137. postscript (371k) pdf (322k)
• 1997. McNeil AJ and Saladin T: The peaks over thresholds method for estimating high quantiles of loss distributions. Proceedings of 28th International ASTIN Colloquium. postscript (264k) pdf (291k)

E-Publications

• 2001. Frey R and McNeil AJ: Modelling dependent defaults. ETH E-Collection.  http://e-collection.ethbib.ethz.ch/show?type=bericht&nr=273 (471k).
  
• 1998. McNeil AJ: Calculating quantile risk measures for financial time series using extreme value theory. ETH E-Collection. http://e-collection.ethbib.ethz.ch/show?type=bericht&nr=85 (399k).

Older Work (non finance)

• 1997. McNeil AJ: Bayes estimates for immunological progression rates in HIV disease. Statistics in Medicine, 16: 2555-2572.
• 1996. Brettle RP, McNeil AJ, Burns S, Gore SM, Bird G, Yap PL et al.: Progression of HIV: follow-up of Edinburgh injecting drug users with narrow seroconversion intervals in 1983-1985 . AIDS , 10 : 419-430.
• 1996. McNeil AJ, Yap PL, Gore SM, Brettle RP, McColl M, Wyld R et al.: Association of HLA types A1-B8-DR3 and B27 with rapid and slow progression of HIV disease . Q J Med , 89 : 177-185.
• 1996. McNeil AJ and Gore SM: Statistical analysis of zidovudine (AZT) effect on CD4 cell counts in HIV disease . Statistics in Medicine , 15: 75-92.
• 1995. Brettle RP, McNeil AJ, Gore SM, Bird AG, Leen CSL and Richardson A: The Edinburgh City Hospital cohort: analysis of enrolment, progression and mortality by baseline covariates. Q J Med, 88: 479-491.
• 1993. Gilks WR, Clayton DG, Spiegelhalter DJ, Best NG, McNeil AJ, Sharples LD and Kirby AJ: Modelling complexity: applications of Gibbs sampling in medicine. J. R. Statist. Soc. B, 55 : 39-52.