Quantitative risk management: concepts, techniques and tools-revised edition AJ McNeil, R Frey, P Embrechts Princeton university press, 2015 | 7348 | 2015 |
Correlation and dependence in risk management: properties and pitfalls P Embrechts, A McNeil, D Straumann Risk management: value at risk and beyond 1, 176-223, 2002 | 3192 | 2002 |
Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach AJ McNeil, R Frey Journal of empirical finance 7 (3-4), 271-300, 2000 | 2513 | 2000 |
Modelling dependence with copulas P Embrechts, F Lindskog, A McNeil Rapport technique, Département de mathématiques, Institut Fédéral de …, 2001 | 2143 | 2001 |
The t Copula and Related Copulas S Demarta, AJ McNeil International statistical review 73 (1), 111-129, 2005 | 1311 | 2005 |
Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions AJ McNeil, J Nešlehová | 837 | 2009 |
Estimating the tails of loss severity distributions using extreme value theory AJ McNeil ASTIN Bulletin: The Journal of the IAA 27 (1), 117-137, 1997 | 808 | 1997 |
Correlation: pitfalls and alternatives P Embrechts Risk magazine, 69-71, 1999 | 693 | 1999 |
Extreme value theory for risk managers AJ McNeil Departement Mathematik ETH Zentrum 12 (5), 217-237, 1999 | 628 | 1999 |
Dependent defaults in models of portfolio credit risk R Frey, AJ McNeil Journal of Risk 6, 59-92, 2003 | 484 | 2003 |
Quantitative Risk Management. P Embrechts, R Frey, A McNeil International Encyclopedia of Statistical Science, 1151-1154, 2011 | 409 | 2011 |
Sampling nested Archimedean copulas AJ McNeil Journal of Statistical Computation and Simulation 78 (6), 567-581, 2008 | 328 | 2008 |
Modelling complexity: applications of Gibbs sampling in medicine WR Gilks, DG Clayton, DJ Spiegelhalter, NG Best, AJ McNeil, ... Journal of the Royal Statistical Society Series B: Statistical Methodology …, 1993 | 326 | 1993 |
Common Poisson shock models: applications to insurance and credit risk modelling F Lindskog, AJ McNeil ASTIN Bulletin: The Journal of the IAA 33 (2), 209-238, 2003 | 325 | 2003 |
VaR and expected shortfall in portfolios of dependent credit risks: conceptual and practical insights R Frey, AJ McNeil Journal of banking & finance 26 (7), 1317-1334, 2002 | 313 | 2002 |
Modelling dependent defaults R Frey, AJ McNeil ETH Zurich, 2001 | 305 | 2001 |
Kendall’s tau for elliptical distributions F Lindskog, A McNeil, U Schmock Credit risk: Measurement, evaluation and management, 149-156, 2003 | 290 | 2003 |
The peaks over thresholds method for estimating high quantiles of loss distributions AJ McNeil, T Saladin Proceedings of 28th international ASTIN Colloquium 23, 43, 1997 | 262 | 1997 |
Copulas and credit models R Frey, AJ McNeil, M Nyfeler Risk 10 (111114.10), 2001 | 261 | 2001 |
Bayesian inference for generalized linear mixed models of portfolio credit risk AJ McNeil, JP Wendin Journal of Empirical Finance 14 (2), 131-149, 2007 | 254 | 2007 |