Alexander J. McNeil

Heriot-Watt University

SCHOLARLY PAPERS

4

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1,978

CITATIONS

2

Scholarly Papers (4)

1.

The Case for Fully Integrated Models of Economic Capital

Number of pages: 28 Posted: 17 Dec 2008 Last Revised: 10 Feb 2009
Alexander J. McNeil, Axel Kirchner and Gavin Lee Kretzschmar
Heriot-Watt University, University of Edinburgh and University of Edinburgh - Accounting and Finance
Downloads 685 (28,141)
Citation 2

Abstract:

risk management, economic capital, enterprise risk management, Basel II, Solvency II, stochastic models, stress testing

2.

An Integrated Framework for IFRS Fair Value Accounting and Institutional Risk Capital Reporting

Number of pages: 44 Posted: 20 Feb 2009 Last Revised: 23 Mar 2009
Gavin Lee Kretzschmar, Axel Kirchner and Alexander J. McNeil
University of Edinburgh - Accounting and Finance, University of Edinburgh and Heriot-Watt University
Downloads 679 (28,429)

Abstract:

IFRS 7, Risk, Basel, Banking, Disclosure, Turner Report

3.

Integrated Capital Adequacy Principles for Institutional, Asset and Economic Risk Factor Stress Testing

Number of pages: 51 Posted: 22 Dec 2008 Last Revised: 03 May 2009
Gavin Lee Kretzschmar, Alexander J. McNeil and Axel Kirchner
University of Edinburgh - Accounting and Finance, Heriot-Watt University and University of Edinburgh
Downloads 376 (62,020)

Abstract:

Enterprise Risk, Economic Capital, Banks, Basel

4.

Multinomial VAR Backtests: A Simple Implicit Approach to Backtesting Expected Shortfall

ESSEC WORKING PAPER 1617
Number of pages: 32 Posted: 13 Jan 2017 Last Revised: 13 Jul 2017
Marie Kratz, Yen H Lok and Alexander J. McNeil
ESSEC Business School - Information & Decision Sciences Department, Heriot-Watt University and Heriot-Watt University
Downloads 0 (159,978)

Abstract:

backtesting, banking regulation, coherence, elicitability, expected short-fall, heavy tail, likelihood ratio test, multinomial distribution, Nass test, Pearson test, risk management, risk measure, statistical test, tail of distribution, value-at-risk