Alexander John McNeil

Kratz, M., Lok, Y. H. & McNeil, A. J., 13 Jan 2018, (E-pub ahead of print) In: Journal of Banking and Finance. 88, p. 393-407 15 p., JBF-D-16-01251R1.

Research output: Contribution to journal › Article › peer-review

Open Access

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On the Basel Liquidity Formula for Elliptical Distributions

McNeil, A. J. & Balter, J. C., 7 Sep 2018, In: Risks. 6, 92, p. 1-14 14 p.

Research output: Contribution to journal › Article › peer-review

Open Access

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2015

Calculating variable annuity liability "Greeks" using Monte Carlo simulation

Cathcart, M. J., Lok, H. Y., McNeil, A. J. & Morrison, S., May 2015, In: ASTIN Bulletin. 45, 2, p. 239-266 28 p.

Research output: Contribution to journal › Article › peer-review

DEPENDENCE MODELING WITH COPULAS, by Harry Joe. Monographs on Statistics and Applied probability 134, Published by CRC Press, 2015. Total number of pages: 18+462. ISBN: 978-1-4665-8322-1 (Hardback)

Mcneil, A. J., 1 Jul 2015, In: Journal of Time Series Analysis. 36, 4, p. 599-600 2 p.

Research output: Contribution to journal › Article › peer-review

Modelling the liquidity premium on corporate bonds

McNeil, A. J., van Loon, P., Cairns, A. & Veys, A., Sep 2015, In: Annals of Actuarial Science. 9, 2, p. 264-289

Research output: Contribution to journal › Article › peer-review

Quantitative risk management: Concepts, techniques and tools: Revised edition

McNeil, A. J., Frey, R. & Embrechts, P., 26 May 2015, Princeton University Press. 699 p.

Research output: Book/Report › Book

Subadditivity of Value-at-Risk for Bernoulli random variables

Hofert, M. & McNeil, A. J., 1 Mar 2015, In: Statistics & Probability Letters. 98, p. 79-88 10 p.

Research output: Contribution to journal › Article › peer-review

2014

On the computation of multivariate scenario sets for the skew-t and generalized hyperbolic families

Giorgi, E. & McNeil, A. J., 4 Feb 2014, In: Computational Statistics & Data Analysis. 100, p. 205-220 16 p.

Research output: Contribution to journal › Article › peer-review

2012

Likelihood inference for Archimedean copulas in high dimensions under known margins

Hofert, M., Mächler, M. & McNeil, A. J., Sep 2012, In: Journal of Multivariate Analysis. 110, p. 133-150 18 p.

Research output: Contribution to journal › Article › peer-review

Multivariate stress scenarios and solvency

McNeil, A. J. & Smith, A. D., May 2012, In: Insurance: Mathematics and Economics. 50, 3, p. 299-308 10 p.

Research output: Contribution to journal › Article › peer-review

2011

Discussion: Statistical models and methods for dependence in insurance data

McNeil, A. J., Jun 2011, In: Journal of the Korean Statistical Society. 40, 2, p. 149 1 p.

Research output: Contribution to journal › Article › peer-review

2010

From Archimedean to Liouville copulas

McNeil, A. J. & Nešlehová, J., Sep 2010, In: Journal of Multivariate Analysis. 101, 8, p. 1772-1790 19 p.

Research output: Contribution to journal › Article › peer-review

Integrated models of capital adequacy - Why banks are undercapitalised

Kretzschmar, G., McNeil, A. J. & Kirchner, A., Dec 2010, In: Journal of Banking and Finance. 34, 12, p. 2838-2850 13 p.

Research output: Contribution to journal › Article › peer-review

Quantitative Risk Management: Concepts, Techniques, and Tools

McNeil, A. J., Frey, R. & Embrechts, P., 2 Sep 2010, Princeton University Press. 538 p.

Research output: Book/Report › Book

2009

Multivariate archimedean copulas, d-monotone functions and l ₁-norm symmetric distributions

McNeil, A. J. & Nešlehová, J., Oct 2009, In: Annals of Statistics. 37, 5 B, p. 3059-3097 39 p.

Research output: Contribution to journal › Article › peer-review

2008

Modelling of scale change, periodicity and conditional heteroskedasticity in return volatility

Feng, Y. & McNeil, A. J., Sep 2008, In: Economic Modelling. 25, 5, p. 850-867 18 p.

Research output: Contribution to journal › Article › peer-review

Sampling nested Archimedean copulas

McNeil, A. J., 2008, In: Journal of statistical computation and simulation. 78, 6, p. 567-581 15 p.

Research output: Contribution to journal › Article › peer-review

2007

Bayesian inference for generalized linear mixed models of portfolio credit risk

McNeil, A. J. & Wendin, J. P., Mar 2007, In: Journal of empirical finance. 14, 2, p. 131-149 19 p.

Research output: Contribution to journal › Article › peer-review

2006

From default probabilities to credit spreads: Credit risk models do explain market prices

Denzler, S. M., Dacorogna, M. M., Müller, U. A. & McNeil, A. J., Jun 2006, In: Finance Research Letters. 3, 2, p. 79-95 17 p.

Research output: Contribution to journal › Article › peer-review

2005

Estimating value-at-risk: A point process approach

Chavez-Demoulin, V., Davison, A. C. & Mcneil, A. J., Apr 2005, In: Quantitative Finance. 5, 2, p. 227-234 8 p.

Research output: Contribution to journal › Article › peer-review

The t copula and related copulas

Demarta, S. & McNeil, A. J., Apr 2005, In: International Statistical Review. 73, 1, p. 111-129 19 p.

Research output: Contribution to journal › Article › peer-review

2003

Kendall's tau for elliptical distributions

Lindskog, F., McNeil, A. & Schmock, U., 2003, In: Contributions to Economics. p. 149-156 8 p.

Research output: Contribution to journal › Article › peer-review

2002

An algorithm for nonparametric GARCH modelling

Bühlmann, P. & McNeil, A. J., 28 Oct 2002, In: Computational Statistics & Data Analysis. 40, 4, p. 665-683 19 p.

Research output: Contribution to journal › Article › peer-review

VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights

Frey, R. & McNeil, A. J., 2002, In: Journal of Banking and Finance. 26, 7, p. 1317-1334 18 p.

Research output: Contribution to journal › Article › peer-review

2000

Estimation of tail-related risk measures for heteroscedastic financial time series: An extreme value approach

McNeil, A. J. & Frey, R., Nov 2000, In: Journal of empirical finance. 7, 3-4, p. 271-300 30 p.

Research output: Contribution to journal › Article › peer-review

1997

Bayes estimates for immunological progression rates in HIV disease

McNeil, A. J., 30 Nov 1997, In: Statistics in Medicine. 16, 22, p. 2555-2572 18 p.

Research output: Contribution to journal › Article › peer-review

1996

Association of HLA types A1-B8-DR3 and B27 with rapid and slow progression of HIV disease

McNeil, A. J., Yap, P. L., Gore, S. M., Brettle, R. P., McColl, M., Wyld, R., Davidson, S., Weightman, R., Richardson, A. M. & Robertson, J. R., 1996, In: QJM Monthly Journal of the Association of Physicians. 89, 3, p. 177-185 9 p.

Research output: Contribution to journal › Article › peer-review

Progression of HIV: Follow-up of Edinburgh injecting drug users with narrow seroconversion intervals in 1983-1985

Brettle, R. P., McNeil, A. J., Burns, S., Gore, S. M., Bird, A. G., Yap, P. L., MacCallum, L., Leen, C. S. L. & Richardson, A. M., 1996, In: Aids. 10, 4, p. 419-430 12 p.

Research output: Contribution to journal › Article › peer-review

Statistical analysis of zidovudine (AZT) effect on CD4 cell counts in HIV disease

Mcneil, A. J. & Gore, S. M., 15 Jan 1996, In: Statistics in Medicine. 15, 1, p. 75-92 18 p.

Research output: Contribution to journal › Article › peer-review

1993

Clinical and epidemiological implications of the Centers for Disease Control/World Health Organization reclassification of AIDS cases

Brettle, R. P., Gore, S. M., Bird, A. G. & McNeil, A. J., Apr 1993, In: Aids. 7, 4, p. 531-539 9 p.

Research output: Contribution to journal › Article › peer-review

1992

Outpatient medical care of injection drug use related HIV

Brettle, R. P., Gore, S. M. & McNeil, A., 1992, In: International journal of STD & AIDS. 3, 2, p. 96-100 5 p.

Research output: Contribution to journal › Article › peer-review

1990

Interaction of HIV, drug use and pregnancy

Brettle, R. P., MacCallum, L., Johnstone, F. D., McNeil, A. & Gore, S. M., 1990, In: Archives of AIDS Research. 4, 3-4, p. 209-210 2 p.

Research output: Contribution to journal › Article › peer-review

Alexander John McNeil

Research output

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