Search Results - "McNeil, Alexander J."

Multivariate Spectral Backtests of Forecast Distributions under Unknown Dependencies by Balter, Janine, McNeil, Alexander J.

“…Under the revised market risk framework of the Basel Committee on Banking Supervision, the model validation regime for internal models now requires that models…”
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Modelling volatile time series with v-transforms and copulas by McNeil, Alexander J

“…An approach to the modelling of volatile time series using a class of uniformity-preserving transforms for uniform random variables is proposed. V-transforms…”
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Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach by McNeil, Alexander J., Frey, Rüdiger

“…We propose a method for estimating Value at Risk (VaR) and related risk measures describing the tail of the conditional distribution of a heteroscedastic…”
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On the Basel Liquidity Formula for Elliptical Distributions by Balter, Janine, McNeil, Alexander

“…A justification of the Basel liquidity formula for risk capital in the trading book is given under the assumption that market risk-factor changes form a…”
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Multinomial VaR backtests: A simple implicit approach to backtesting expected shortfall by Kratz, Marie, Lok, Yen H., McNeil, Alexander J.

“…Under the Fundamental Review of the Trading Book, capital charges are based on the coherent Expected Shortfall (ES) risk measure, which is sensitive to tail…”
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Spectral backtests of forecast distributions with application to risk management by Gordy, Michael B., McNeil, Alexander J.

“…We study a class of backtests for forecast distributions in which the test statistic depends on a spectral transformation that weights exceedance events by a…”
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On attainability of Kendall’s tau matrices and concordance signatures by McNeil, Alexander J., Nešlehová, Johanna G., Smith, Andrew D.

“…Methods are developed for checking and completing systems of bivariate and multivariate Kendall’s tau concordance measures in applications where only partial…”
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Sampling nested Archimedean copulas by McNeil, Alexander J.

“…We give algorithms for sampling from non-exchangeable Archimedean copulas created by the nesting of Archimedean copula generators, where in the most general…”
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MULTIVARIATE ARCHIMEDEAN COPULAS, d-MONOTONE FUNCTIONS AND ℓ1-NORM SYMMETRIC DISTRIBUTIONS by MCNEIL, Alexander J, NESLEHOVA, Johanna

“…It is shown that a necessary and sufficient condition for an Archimedean copula generator to generate a d-dimensional copula is that the generator is a…”
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Likelihood inference for Archimedean copulas in high dimensions under known margins by Hofert, Marius, Mächler, Martin, McNeil, Alexander J.

“…Explicit functional forms for the generator derivatives of well-known one-parameter Archimedean copulas are derived. These derivatives are essential for…”
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The t Copula and Related Copulas by Demarta, Stefano, McNeil, Alexander J.

“…The t copula and its properties are described with a focus on issues related to the dependence of extreme values. The Gaussian mixture representation of a…”
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Time series with infinite-order partial copula dependence by Bladt, Martin, McNeil, Alexander J.

“…Stationary and ergodic time series can be constructed using an s-vine decomposition based on sets of bivariate copula functions. The extension of such…”
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From Archimedean to Liouville copulas by McNeil, Alexander J., Nešlehová, Johanna

“…We use a recent characterization of the d -dimensional Archimedean copulas as the survival copulas of d -dimensional simplex distributions (McNeil and…”
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Integrated models of capital adequacy – Why banks are undercapitalised by Kretzschmar, Gavin, McNeil, Alexander J., Kirchner, Axel

“…With the majority of large UK and many US banks collapsing or being forced to raise capital over the 2007–9 period, blaming bankers may be satisfying but is…”
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Bayesian inference for generalized linear mixed models of portfolio credit risk by McNeil, Alexander J., Wendin, Jonathan P.

“…The aims of this paper are threefold. First, we highlight the usefulness of generalized linear mixed models (GLMMs) in the modelling of portfolio credit…”
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Multivariate stress scenarios and solvency by McNeil, Alexander J., Smith, Andrew D.

“…We show how the probabilistic concepts of half-space trimming and depth may be used to define convex scenario sets Qα for stress testing the risk factors that…”
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VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights by Frey, Rüdiger, McNeil, Alexander J.

“…In the first part of this paper we address the non-coherence of value-at-risk (VaR) as a risk measure in the context of portfolio credit risk, and highlight…”
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An algorithm for nonparametric GARCH modelling by Bühlmann, Peter, McNeil, Alexander J.

“…A simple iterative algorithm for nonparametric first-order GARCH modelling is proposed. This method offers an alternative to fitting one of the many different…”
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Modelling of scale change, periodicity and conditional heteroskedasticity in return volatility by Feng, Yuanhua, McNeil, Alexander J.

“…This paper extends the GARCH model to a wide class of nonstationary processes by proposing a semiparametric GARCH model for simultaneous modelling of…”
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Time series copula models using d-vines and v-transforms by Bladt, Martin, McNeil, Alexander J.

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