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 9,122

SSRN RANKINGS

Top 9,122

in Total Papers Downloads

9,422

SSRN CITATIONS
Rank 22,803

SSRN RANKINGS

Top 22,803

in Total Papers Citations

15

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 5,902 (2,536)
Citation 16

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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 2,336 (11,587)

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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

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3.

The Grouped t-Copula with an Application to Credit Risk

Number of pages: 7 Posted: 13 Mar 2009
affiliation not provided to SSRNPictet Asset Management, University of St. Gallen - SEPS: Economics and Political Sciences, affiliation not provided to SSRN and ETH Zürich - Department of Mathematics
Downloads 778 (60,337)
Citation 21

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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, PRS Solutions, Olsen & Associates and ETH Zürich - Department of Mathematics
Downloads 285 (197,056)

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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. 2018-21
Number of pages: 41 Posted: 06 Jun 2018 Last Revised: 29 Apr 2020
Michael B. Gordy and Alexander McNeil
Board of Governors of the Federal Reserve System and ETH Zürich - Department of Mathematics
Downloads 121 (421,333)
Citation 5

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