Alexander John McNeil

Search results

• 2024

  Multivariate Spectral Backtests of Forecast Distributions under Unknown Dependencies

  Balter, J. & McNeil, A. J., 17 Jan 2024, In: Risks. 12, 1, 15 p., 13.

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

  Open Access

  File
• 2022

  On attainability of Kendall's tau matrices and concordance signatures

  McNeil, A. J., Nešlehová, J. & smith, A., 1 Sept 2022, In: Journal of Multivariate Analysis. 191, 22 p., 105033.

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

  Open Access

  File

• Time series copula models using d-vines and v-transforms

  Bladt, M. & McNeil, A. J., 1 Oct 2022, In: Econometrics and Statistics. 24, 22 p., 27-48.

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

  Open Access

  File

• Time series with infinite-order partial copula dependence

  McNeil, A. J. & Bladt, M., 23 May 2022, In: Dependence Modeling. 10, p. 87–107

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

  Open Access

  File
• 2021

  Modelling volatile time series with v-transforms and copulas

  McNeil, A. J., 5 Jan 2021, In: Risks. 9, 1, 14.

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

  Open Access

  File
• 2020

  Spectral backtests of forecast distributions with application to risk management

  McNeil, A. J. & Gordy, M., Jul 2020, In: Journal of Banking and Finance. 116, 13 p., 105817.

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

  Open Access

  File
• 2018

  Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall

  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

  File

• On the Basel Liquidity Formula for Elliptical Distributions

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

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

  Open Access

  File
• 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., Sept 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., Sept 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., Sept 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 Sept 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., Sept 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