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Large portfolio losses
Dembo, Amir; Deuschel, Jean-Dominique; Duffie, Darrell - 2002
Persistent link: https://www.econbiz.de/10001699426
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Large portfolio losses
Dembo, Amir; Deuschel, Jean-Dominique; Duffie, Darrell - In: Finance and stochastics 8 (2004) 1, pp. 3-16
Persistent link: https://www.econbiz.de/10001910658
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Large Portfolio Losses
Dembo, Amir - 2002
This paper provide a large-deviations approximation of the tail distribution of total financial losses on a portfolio consisting of many positions. Applications include the total default losses on a bank portfolio, or the total claims against an insurer. The results may be useful in allocating...
Persistent link: https://www.econbiz.de/10012469533
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Dynamic asset pricing theory
Duffie, Darrell - 1992
Persistent link: https://www.econbiz.de/10000322723
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Security markets : stochastic models
Duffie, Darrell - 1988
Persistent link: https://www.econbiz.de/10008731013
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Dynamic asset pricing theory
Duffie, Darrell - 1996 - 2. ed.
Persistent link: https://www.econbiz.de/10009700845
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Systemic risk exposures : a 10-by-10-by-10 approach
Duffie, Darrell - In: Risk topography : systemic risk and macro modeling, (pp. 47-56). 2014
Persistent link: https://www.econbiz.de/10010408520
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Systemic risk exposures : a 10-by-10-by-10 approach
Duffie, Darrell - 2011
Persistent link: https://www.econbiz.de/10009296420
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Measuring corporate default risk
Duffie, Darrell - 2011 - 1. publ.
Persistent link: https://www.econbiz.de/10009236171
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Credit swap valuation
Duffie, Darrell - In: Credit risk models and management, (pp. 375-401). 2004
Persistent link: https://www.econbiz.de/10002432624