Alexander McNeil

ETH Zürich - Department of Mathematics

Professor

ETH Zentrum HG-F 42.1

Raemistr. 101

CH-8092 Zurich, 8092

Switzerland

  • ETH Zürich - Department of Mathematics

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    • Tel: +41 1 632 61 62
    • Fax: +41 1 632 10 85
SCHOLARLY PAPERS

5

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TOTAL CITATIONS
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Top 23,779

in Total Papers Citations

40

Scholarly Papers (5)

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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
Silvan Ebnöther, Paolo Vanini, Alexander McNeil and Pierre Antolinez-Fehr
Zurich Cantonal Bank, University of Basel, ETH Zürich - Department of Mathematics and Zurich Cantonal Bank
Downloads 6,049 (2,878)
Citation 16

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Operational Risk, Risk Management, Extreme Value Theory, VaR

2.

Operational Risk: A Practitioner's View

Downloads 2,353 (13,607)

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
Paolo Vanini, Silvan Ebnöther, Pierre Antolinez-Fehr and Alexander McNeil
University of Basel, Zurich Cantonal Bank, Zurich Cantonal Bank and ETH Zürich - Department of Mathematics
Downloads 2,353 (13,347)

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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
Paolo Vanini, Pierre Antolinez-Fehr, Silvan Ebnöther and Alexander McNeil
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
Stéphane Daul, Stéphane Daul, Enrico G. De Giorgi, Filip Lindskog and Alexander McNeil
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 901 (57,359)
Citation 19

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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
Stefan Denzler, Michel M. Dacorogna, Ulrich A. Müller and Alexander McNeil
Swiss Coordination Centre for Research in Education, PRS Solutions, Olsen & Associates and ETH Zürich - Department of Mathematics
Downloads 298 (220,101)

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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 130 (472,587)
Citation 5

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