502 citations · 517 across the 9 of their papers we have counts for
4 papers · 1 filter
Modelling volatile time series with v-transforms and copulas
Alexander J. McNeil
An approach to the modelling of volatile time series using a class of uniformity-preserving transforms for uniform random variables is proposed. V-transforms describe the relations…
On the Basel Liquidity Formula for Elliptical Distributions
Janine Balter, Alexander J. McNeil
A justification of the Basel liquidity formula for risk capital in the trading book is given under the assumption that market risk-factor changes form a Gaussian white noise proces…
Spectral backtests of forecast distributions with application to risk management
Michael B. Gordy, Alexander J. McNeil
We study a class of backtests for forecast distributions in which the test statistic depends on a spectral transformation that weights exceedance events by a function of the modele…
Calculating Variable Annuity Liability 'Greeks' Using Monte Carlo Simulation
Mark J. Cathcart, Steven Morrison, Alexander J. McNeil
Hedging methods to mitigate the exposure of variable annuity products to market risks require the calculation of market risk sensitivities (or "Greeks"). The complex, path-dependen…