McNeil

Results: 504



#Item
31Correlation: Pitfalls and Alternatives Paul Embrechts, Alexander McNeil & Daniel Straumann Departement Mathematik, ETH Zentrum, CH-8092 Zurich Tel: +, Fax: +embrechts/mcneil/strauman@math.e

Correlation: Pitfalls and Alternatives Paul Embrechts, Alexander McNeil & Daniel Straumann Departement Mathematik, ETH Zentrum, CH-8092 Zurich Tel: +, Fax: +embrechts/mcneil/strauman@math.e

Add to Reading List

Source URL: www.macs.hw.ac.uk

Language: English - Date: 2006-09-27 08:41:44
    32June 26, 2001 KENDALL’S TAU FOR ELLIPTICAL DISTRIBUTIONS∗ FILIP LINDSKOG, ALEXANDER MCNEIL, AND UWE SCHMOCK Abstract. By using well known properties of elliptical distributions we show

    June 26, 2001 KENDALL’S TAU FOR ELLIPTICAL DISTRIBUTIONS∗ FILIP LINDSKOG, ALEXANDER MCNEIL, AND UWE SCHMOCK Abstract. By using well known properties of elliptical distributions we show

    Add to Reading List

    Source URL: www.macs.hw.ac.uk

    Language: English - Date: 2006-09-27 08:40:38
      33CORRELATION AND DEPENDENCY IN RISK MANAGEMENT: PROPERTIES AND PITFALLS PAUL EMBRECHTS, ALEXANDER MCNEIL, AND DANIEL STRAUMANN Abstract. Modern risk management calls for an understanding of stochastic dependence going bey

      CORRELATION AND DEPENDENCY IN RISK MANAGEMENT: PROPERTIES AND PITFALLS PAUL EMBRECHTS, ALEXANDER MCNEIL, AND DANIEL STRAUMANN Abstract. Modern risk management calls for an understanding of stochastic dependence going bey

      Add to Reading List

      Source URL: www.macs.hw.ac.uk

      Language: English - Date: 2006-09-27 08:41:41
        34Modelling Dependence with Copulas and Applications to Risk Management Paul Embrechts, Filip Lindskog∗ and Alexander McNeil∗∗ Department of Mathematics ETHZ CH-8092 Z¨

        Modelling Dependence with Copulas and Applications to Risk Management Paul Embrechts, Filip Lindskog∗ and Alexander McNeil∗∗ Department of Mathematics ETHZ CH-8092 Z¨

        Add to Reading List

        Source URL: www.macs.hw.ac.uk

        Language: English - Date: 2006-09-27 08:40:35
          35Sampling Nested Archimedean Copulas Alexander J. McNeil∗ Maxwell Institute for the Mathematical Sciences & Department of Actuarial Mathematics and Statistics Heriot-Watt University Edinburgh EH14 4AS, Scotland

          Sampling Nested Archimedean Copulas Alexander J. McNeil∗ Maxwell Institute for the Mathematical Sciences & Department of Actuarial Mathematics and Statistics Heriot-Watt University Edinburgh EH14 4AS, Scotland

          Add to Reading List

          Source URL: www.macs.hw.ac.uk

          Language: English - Date: 2007-02-02 04:40:35
            36June 26, 2001; Remark 2 added August 7, 2002 Discussion of credit risks added Nov. 28, 2002 KENDALL’S TAU FOR ELLIPTICAL DISTRIBUTIONS∗ FILIP LINDSKOG, ALEXANDER MCNEIL, AND UWE SCHMOCK

            June 26, 2001; Remark 2 added August 7, 2002 Discussion of credit risks added Nov. 28, 2002 KENDALL’S TAU FOR ELLIPTICAL DISTRIBUTIONS∗ FILIP LINDSKOG, ALEXANDER MCNEIL, AND UWE SCHMOCK

            Add to Reading List

            Source URL: people.kth.se

            Language: English - Date: 2005-03-14 12:22:58
            37Nonparametric GARCH Models Peter Buhlmann Alexander J. McNeil Seminar fur Statistik Department of Mathematics Federal Institute of Technology

            Nonparametric GARCH Models Peter Buhlmann Alexander J. McNeil Seminar fur Statistik Department of Mathematics Federal Institute of Technology

            Add to Reading List

            Source URL: www.macs.hw.ac.uk

            Language: English - Date: 2006-09-27 08:41:32
              38On Extremes and Crashes Alexander J. McNeil Departement Mathematik ETH Zentrum CH-8092 Zurich Tel: +

              On Extremes and Crashes Alexander J. McNeil Departement Mathematik ETH Zentrum CH-8092 Zurich Tel: +

              Add to Reading List

              Source URL: www.macs.hw.ac.uk

              Language: English - Date: 2006-09-27 08:41:16
                39Dependent Defaults in Models of Portfolio Credit Risk Alexander J. McNeil∗ Department of Mathematics Federal Institute of Technology ETH Zentrum CH-8092 Zurich

                Dependent Defaults in Models of Portfolio Credit Risk Alexander J. McNeil∗ Department of Mathematics Federal Institute of Technology ETH Zentrum CH-8092 Zurich

                Add to Reading List

                Source URL: www.macs.hw.ac.uk

                Language: English - Date: 2006-09-27 08:41:18
                  40The t Copula and Related Copulas Stefano Demarta & Alexander J. McNeil Department of Mathematics Federal Institute of Technology ETH Zentrum CH-8092 Zurich

                  The t Copula and Related Copulas Stefano Demarta & Alexander J. McNeil Department of Mathematics Federal Institute of Technology ETH Zentrum CH-8092 Zurich

                  Add to Reading List

                  Source URL: www.macs.hw.ac.uk

                  Language: English - Date: 2006-09-27 08:41:55