Work with risk-factor return series, study their empirical properties, and make estimates of value-at-risk.
5 Hours
Alexander J. McNeil
Professor of Actuarial Science at the University of York.
Alexander McNeil has been Professor of Actuarial Science at the University of York since September 2016. 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 (2015). He is also an Honorary Fellow of the Institute and Faculty of Actuaries and a Corresponding Member of the Swiss Association of Actuaries.
See profile.