Prof. Alexander J McNeil Hon FFA

I am Director of the Scottish Financial Risk Academy and Programme Director of the MSc in Quantitative Financial Risk Management

My interests lie in the development of mathematical and statistical methodology for integrated financial risk management and include extreme value theory (EVT), risk theory, financial time series analysis and the modelling of correlated risks.

• 2010. Kretzschmar G, McNeil AJ and Kirchner A. Integrated models of capital adequacy: Why banks Are undercapitalised. Journal of Banking and Finance, 34(12): 2838-2850.
• 2010. McNeil AJ and Nešlehová: From Archimedean to Liouville Copulas. Journal of MultivariateAnalysis, 101(8): 1772-1790.
• 2009. McNeil AJ and Nešlehová: Multivariate Archimedean copulas, d-monotone functions and L1-norm symmetric distributions. Annals of Statistics, 37(5b): 3059-3097.
• 2008. McNeil AJ: Sampling nested Archimedean copulas. Journal of Statistical Computation and Simulation, 78(6): 567-581.
• 2008. Feng Y and McNeil AJ: Modelling of scale change, periodicity and conditional heteroskedasticity in return volatility. Economic Modelling, 25: 850-867

I am Maxwell Professor of Mathematics in the Department of Actuarial Mathematics and Statistics at Heriot-Watt University. I was formerly Assistant Professor in the Department of Mathematics at ETH Zurich. I have a BSc in mathematics from Imperial College, London and a PhD in mathematical statistics from Cambridge University. I have published papers in leading statistics, econometrics, finance and insurance mathematics journals and am a regular speaker at international risk management conferences. I am joint author, together with Rüdiger Frey and Paul Embrechts, of the book 'Quantitative Risk Management: Concepts, Techniques and Tools', published by Princeton University Press in 2005.