| Quantitative risk management: concepts, techniques and tools-revised edition AJ McNeil, R Frey, P Embrechts Princeton university press, 2015 | 7718 | 2015 |
| Correlation and Dependence in Risk Management: Properties and Pitfalls P Embrechts Risk Management: Value at Risk and Beyond/Cambridge University Press, 2002 | 3268 | 2002 |
| Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach AJ McNeil, R Frey Journal of empirical finance 7 (3-4), 271-300, 2000 | 2598 | 2000 |
| Modelling dependence with copulas P Embrechts, F Lindskog, A McNeil Rapport technique, Département de mathématiques, Institut Fédéral de …, 2001 | 2187 | 2001 |
| The t Copula and Related Copulas S Demarta, AJ McNeil International statistical review 73 (1), 111-129, 2005 | 1347 | 2005 |
| Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions AJ McNeil, J Nešlehová | 861 | 2009 |
| Estimating the tails of loss severity distributions using extreme value theory AJ McNeil ASTIN Bulletin: The Journal of the IAA 27 (1), 117-137, 1997 | 842 | 1997 |
| Correlation: pitfalls and alternatives P Embrechts Risk magazine, 69-71, 1999 | 706 | 1999 |
| Extreme value theory for risk managers AJ McNeil Departement Mathematik ETH Zentrum 12 (5), 217-237, 1999 | 650 | 1999 |
| Dependent defaults in models of portfolio credit risk R Frey, AJ McNeil Journal of Risk 6, 59-92, 2003 | 494 | 2003 |
| Quantitative Risk Management. P Embrechts, R Frey, A McNeil International Encyclopedia of Statistical Science, 1151-1154, 2011 | 426 | 2011 |
| Common Poisson shock models: applications to insurance and credit risk modelling F Lindskog, AJ McNeil ASTIN Bulletin: The Journal of the IAA 33 (2), 209-238, 2003 | 336 | 2003 |
| Sampling nested Archimedean copulas AJ McNeil Journal of Statistical Computation and Simulation 78 (6), 567-581, 2008 | 335 | 2008 |
| Modelling complexity: applications of Gibbs sampling in medicine WR Gilks, DG Clayton, DJ Spiegelhalter, NG Best, AJ McNeil, ... Journal of the Royal Statistical Society Series B: Statistical Methodology …, 1993 | 331 | 1993 |
| VaR and expected shortfall in portfolios of dependent credit risks: conceptual and practical insights R Frey, AJ McNeil Journal of banking & finance 26 (7), 1317-1334, 2002 | 319 | 2002 |
| Modelling dependent defaults R Frey, AJ McNeil ETH Zurich, 2001 | 307 | 2001 |
| Kendall’s tau for elliptical distributions F Lindskog, A McNeil, U Schmock Credit risk: Measurement, evaluation and management, 149-156, 2003 | 303 | 2003 |
| The Peaks over Thresholds Method for Estimating High Quantiles of Loss Distributions A McNeil Department of Mathematics, ETH Zentrum, 1997 | 269 | 1997 |
| Copulas and credit models R Frey, AJ McNeil, M Nyfeler Risk 10 (111114.10), 2001 | 262 | 2001 |
| Bayesian inference for generalized linear mixed models of portfolio credit risk AJ McNeil, JP Wendin Journal of Empirical Finance 14 (2), 131-149, 2007 | 258 | 2007 |