A
Alexander Mcneil
Researcher at Swiss Re
Publications - 3
Citations - 1254
Alexander Mcneil is an academic researcher from Swiss Re. The author has contributed to research in topics: Operational risk & Calibration (statistics). The author has an hindex of 3, co-authored 3 publications receiving 1238 citations.
Papers
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Book ChapterDOI
Chapter 8 – Modelling Dependence with Copulas and Applications to Risk Management
TL;DR: One main aim of this paper is to show that when addressing the problem of simulating dependent data arises naturally in Monte Carlo approaches to risk management knowledge of copulas and copula based dependence concepts is important, and also the usefulness of copula ideas in this approach torisk management.
Book
Quantitative Risk Management: Concepts, Techniques and Tools : Concepts, Techniques and Tools
TL;DR: This book provides the most comprehensive treatment of the theoretical concepts and modelling techniques of quantitative risk management and explores key concepts such as loss distributions, risk measures and risk aggregation and allocation principles.
Patent
System and method for performing risk analysis
TL;DR: In this article, a computerized data processing system for performing risk analysis of a portfolio, the system including a modeling and calibration unit configured to describe risk factors as random variables, the random variables being related to each other by a correlation matrix, is presented.