Axel Kirchner

University of Edinburgh

Old College

South Bridge

Edinburgh, Scotland EH8 9JY

United Kingdom

  • University of Edinburgh

SCHOLARLY PAPERS

7

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Top 20,761

in Total Papers Downloads

2,830

SSRN CITATIONS

2

CROSSREF CITATIONS

8

Scholarly Papers (7)

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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 756 (39,142)
Citation 2

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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 747 (39,807)

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

3.

Commodity Price Shocks and Economic State Variables: Empirical Insights into Asset Valuation and Risk in the Oil and Gas Sector

Number of pages: 40 Posted: 18 Sep 2006
Gavin Lee Kretzschmar and Axel Kirchner
University of Edinburgh - Accounting and Finance and University of Edinburgh
Downloads 478 (70,827)
Citation 3

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Oil and Gas, Oilfield, Asset, Risk, Oil Price Volatility

4.

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 404 (86,490)

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Enterprise Risk, Economic Capital, Banks, Basel

5.

Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework

Quaderni DSE Working Paper No. 831
Number of pages: 35 Posted: 08 Jun 2012
Alexandros Gabrielsen, Paolo Zagaglia, Axel Kirchner and Zhuoshi Liu
Credit Suisse AG, University of Bologna, University of Edinburgh and Bank of England - Monetary Analysis
Downloads 236 (154,048)
Citation 8

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exponential weighted moving average, time-varying higher moments, Cornish- Fisher expansion, Gram-Charlier density, risk management, Value-at-Risk

6.

Recovery of Hidden Economic and State Variable Effects on Oil and Gas Asset Value and Risk Measures

Number of pages: 32 Posted: 26 Sep 2006
Gavin Lee Kretzschmar and Axel Kirchner
University of Edinburgh - Accounting and Finance and University of Edinburgh
Downloads 150 (231,044)

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Oil and Gas, Time Variance, Risk

7.

Russian Capitalism - Mixing Economic and Political Signals

Number of pages: 33 Posted: 17 Dec 2008 Last Revised: 05 Jan 2009
Gavin Lee Kretzschmar, Axel Kirchner and Liliya Sharifzyanova
University of Edinburgh - Accounting and Finance, University of Edinburgh and affiliation not provided to SSRN
Downloads 59 (421,691)

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Oil and gas, event study, Russian capitalism