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An Econometric Model of the Term Structure of Interest-Rate Swap Yields
Duffie, Darrell; Singleton, Kenneth J. - In: The journal of finance : the journal of the American … 52 (1997) 4, pp. 1287-1322
Persistent link: https://www.econbiz.de/10007368129
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Common Failings: How Corporate Defaults Are Correlated
Das, Sanjivr; Duffie, Darrell; Kapadia, Nikunj; Saita, … - In: The journal of finance : the journal of the American … 62 (2007) 1, pp. 93-118
Persistent link: https://www.econbiz.de/10007396572
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Opinion: Time to adapt copula methods for modelling credit risk correlation - In an evolving market, a new standard for the price quotation of credit products that models correlate...
Duffie, Darrell - In: Risk : managing risk in the world's financial markets 17 (2004) 4, pp. 77-78
Persistent link: https://www.econbiz.de/10007028175
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Market Pricing of Deposit Insurance
Duffie, Darrell; Jarrow, Robert; Purnanandam, Amiyatosh; … - In: Journal of financial services research : JFSR 24 (2003) 2, pp. 93-120
Persistent link: https://www.econbiz.de/10007030278
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RISK MEASUREMENT AND MANAGEMENT - Liquidation Risk - What is the impact on key risk measures of spreads that are likely to widen just when positions must be liquidated to maintain...
Duffie, Darrell; Ziegler, Alexandre - In: Financial analysts' journal : FAJ 59 (2003) 3, pp. 42-51
Persistent link: https://www.econbiz.de/10006255195
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A Dialogue on the Costs and Benefits of Automatic Stays for Derivatives and Repurchase Agreements
Duffie, Darrell; Skeel, David A. - In: Bankruptcy Not Bailout
Persistent link: https://www.econbiz.de/10010737052
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The theory of value in security markets
Duffie, Darrell - In: Handbook of Mathematical Economics
Persistent link: https://www.econbiz.de/10005247311
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Credit risk modeling with affine processes
Duffie, Darrell - In: Journal of Banking & Finance 29 (2005) 11, pp. 2751-2802
Persistent link: https://www.econbiz.de/10005213408
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Incomplete security markets with infinitely many states: An introduction
Duffie, Darrell - In: Journal of Mathematical Economics 26 (1996) 1, pp. 1-8
Persistent link: https://www.econbiz.de/10005216657
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Intertemporal asset pricing theory
Duffie, Darrell - In: Handbook of the Economics of Finance
This is a survey of the basic theoretical foundations of intertemporal asset pricing theory. The broader theory is first reviewed in a simple discrete-time setting, emphasizing the key role of state prices. The existence of state prices is equivalent to the absence of arbitrage. State prices,...
Persistent link: https://www.econbiz.de/10005221077