Alexander McNeil

ETH Zürich - Department of Mathematics

Professor

ETH Zentrum HG-F 42.1

Raemistr. 101

CH-8092 Zurich, 8092

Switzerland

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 5,287

SSRN RANKINGS

Top 5,287

in Total Papers Downloads

8,586

SSRN CITATIONS
Rank 21,362

SSRN RANKINGS

Top 21,362

in Total Papers Citations

3

CROSSREF CITATIONS

39

Scholarly Papers (5)

1.

Modelling Operational Risk

Journal of Risk, Vol. 5, No. 3, pp. 1-16, 2003
Number of pages: 23 Posted: 11 Dec 2001 Last Revised: 06 Jan 2010
Zurich Cantonal Bank, University of Basel, ETH Zürich - Department of Mathematics and Zurich Cantonal Bank
Downloads 5,547 (1,406)
Citation 16

Abstract:

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Operational Risk, Risk Management, Extreme Value Theory, VaR

Operational Risk: A Practitioner's View

Journal of Risk, Vol. 5, No. 3, pp. 1-16, 2003
Number of pages: 15 Posted: 18 Nov 2002 Last Revised: 15 Feb 2011
University of Basel, Zurich Cantonal Bank, Zurich Cantonal Bank and ETH Zürich - Department of Mathematics
Downloads 2,287 (6,368)

Abstract:

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Operational Risk, Risk Management, VaR

Operational Risk: A Practitioner's View

Journal of Risk, Vol. 5, No. 3, Spring 2003
Posted: 18 Jun 2003
University of Basel, Zurich Cantonal Bank, Zurich Cantonal Bank and ETH Zürich - Department of Mathematics

Abstract:

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3.

The Grouped t-Copula with an Application to Credit Risk

Number of pages: 7 Posted: 13 Mar 2009
Pictet Asset Management, University of St. Gallen - SEPS: Economics and Political Sciences, affiliation not provided to SSRN and ETH Zürich - Department of Mathematics
Downloads 493 (62,250)
Citation 15

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risk management, credit risk, copula, estimation

4.

From Default Probabilities to Credit Spreads: Credit Risk Models Do Explain Market Prices

Finance Research Letters, Vol. 3, No. 2, June 2006, Pages 79–95
Number of pages: 18 Posted: 07 Aug 2013
Swiss Coordination Centre for Research in Education, DEAR-Consulting, Olsen & Associates and ETH Zürich - Department of Mathematics
Downloads 204 (163,026)

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credit risk modeling, default risk, credit spread, expected default frequency,actual default probability and risk-neutral default probability, bond pricing

5.

Spectral Backtests of Forecast Distributions with Application to Risk Management

FEDS Working Paper No. 2018-021
Number of pages: 41 Posted: 06 Jun 2018 Last Revised: 29 Apr 2020
Michael B. Gordy and Alexander McNeil
Federal Reserve Board and ETH Zürich - Department of Mathematics
Downloads 55 (404,492)
Citation 1

Abstract:

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Backtesting, Risk management, Volatility