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Alexander McNeil
Professor in Actuarial Science, Accounting & Finance



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

Joint Head of Accounting and Finance Group



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.


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

Quantitative risk management: Concepts, techniques and tools: Revised edition
2015 | book
EID: 2-s2.0-84937787962

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

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

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

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

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

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

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

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

Full publications list






School for Business and Society
University of York
Church Lane Building
York Science Park
York YO10 5ZF

Tel: +44 (0) 1904 325307
Room: CL/A/122F

Subject Group

Accounting and Finance


Feedback & Support hours

Tuesday 9-10

Tuesday 10-11