Alexander McNeil
Professor in Actuarial Science, Accounting & Finance

Profile

Biography

Alexander McNeil has been Professor of Actuarial Science at the University of York since September 2016. Educated at Imperial College London and Cambridge University, he was formerly Assistant Professor in the Department of Mathematics at ETH Zurich and Maxwell Professor of Mathematics in the Department of Actuarial Mathematics and Statistics at Heriot-Watt University. He founded and led the Scottish Financial Risk Academy (SFRA) between 2010 and 2016.

His research interests lie in the development of quantitative methodology for financial risk management and include models for market, credit and insurance risks, financial time series analysis, models for extreme risks and correlated risks and enterprise-wide models for solvency and capital adequacy. He has published papers in leading actuarial, statistics, econometrics and financial mathematics journals and is a regular speaker at international risk management conferences.

He is joint author, together with Rüdiger Frey and Paul Embrechts, of the book "Quantitative Risk Management: Concepts, Techniques and Tools", published by Princeton University Press (2005/2015). He is also an Honorary Fellow of the Institute and Faculty of Actuaries and a Corresponding Member of the Swiss Association of Actuaries.

Departmental roles

Programme Leader

• BSc Actuarial Science
• BSc Finance, Operations Research, Management & Statistics

Research

Overview

My research interests lie in the development of mathematical and statistical methodology for financial risk management in banking and insurance. Sound methodology has gained in importance due to the increasing regulation of the financial service industry, in particular the Basel Accords in banking and the Solvency II process in insurance, both of which set out capital standards based on the measurement of risk.

I am particularly interested in market and credit risk models, financial time series analysis, models for extreme risks and correlated risks, models for the valuation and risk management of insurance liabilities, and techniques for backtesting and validating models.

Publications

Selected publications

Calculating variable annuity liability "Greeks" using Monte Carlo simulation
ASTIN Bulletin
2015 | journal-article
DOI: 10.1017/asb.2014.31
EID: 2-s2.0-84928767218
URL: http://www.scopus.com/inward/record.url?eid=2-s2.0-84928767218&partnerID=MN8TOARS

Quantitative risk management: Concepts, techniques and tools: Revised edition
2015 | book
EID: 2-s2.0-84937787962
URL: http://www.scopus.com/inward/record.url?eid=2-s2.0-84937787962&partnerID=MN8TOARS

Subadditivity of Value-at-Risk for Bernoulli random variables
Statistics and Probability Letters
2015 | journal-article
DOI: 10.1016/j.spl.2014.12.016
EID: 2-s2.0-84920885389
URL: http://www.scopus.com/inward/record.url?eid=2-s2.0-84920885389&partnerID=MN8TOARS

On the computation of multivariate scenario sets for the skew-t and generalized hyperbolic families
Computational Statistics and Data Analysis
2014 | journal-article
DOI: 10.1016/j.csda.2014.06.024
EID: 2-s2.0-84904084488
URL: http://www.scopus.com/inward/record.url?eid=2-s2.0-84904084488&partnerID=MN8TOARS

Multivariate stress scenarios and solvency
Insurance: Mathematics and Economics
2012 | journal-article
DOI: 10.1016/j.insmatheco.2011.12.005
EID: 2-s2.0-84862796619
URL: http://www.scopus.com/inward/record.url?eid=2-s2.0-84862796619&partnerID=MN8TOARS

From Archimedean to Liouville copulas
Journal of Multivariate Analysis
2010 | journal-article
DOI: 10.1016/j.jmva.2010.03.015
EID: 2-s2.0-77953082512
URL: http://www.scopus.com/inward/record.url?eid=2-s2.0-77953082512&partnerID=MN8TOARS

Integrated models of capital adequacy - Why banks are undercapitalised
Journal of Banking and Finance
2010 | journal-article
DOI: 10.1016/j.jbankfin.2010.02.028
EID: 2-s2.0-77956919242
URL: http://www.scopus.com/inward/record.url?eid=2-s2.0-77956919242&partnerID=MN8TOARS

Multivariate archimedean copulas, d-monotone functions and l 1-norm symmetric distributions
Annals of Statistics
2009 | journal-article
DOI: 10.1214/07-AOS556
EID: 2-s2.0-68049091067
URL: http://www.scopus.com/inward/record.url?eid=2-s2.0-68049091067&partnerID=MN8TOARS

Modelling of scale change, periodicity and conditional heteroskedasticity in return volatility
Economic Modelling
2008 | journal-article
DOI: 10.1016/j.econmod.2007.11.007
EID: 2-s2.0-47349086716
URL: http://www.scopus.com/inward/record.url?eid=2-s2.0-47349086716&partnerID=MN8TOARS

Bayesian inference for generalized linear mixed models of portfolio credit risk
Journal of Empirical Finance
2007 | journal-article
DOI: 10.1016/j.jempfin.2006.05.002
EID: 2-s2.0-33847255363
URL: http://www.scopus.com/inward/record.url?eid=2-s2.0-33847255363&partnerID=MN8TOARS

Full publications list

Compositions

Recordings