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Resolution of failing central counterparties

Duffie, Darrell - 2014

A central counterparty (CCP) is a financial market utility that lowers counterparty default risk on specified financial contracts by acting as a buyer to every seller, and as a seller to every buyer. When at risk of failure, a CCP could be forced into a normal insolvency process such as...

Persistent link: https://www.econbiz.de/10011862010

Building a stronger financial system : opportunities for a digital dollar

Duffie, Darrell - In: Central bank digital currency : considerations, …, (pp. 137-145). 2021

Persistent link: https://www.econbiz.de/10012704687

Compression auctions : with an application to LIBOR-SOFR swap conversion

Duffie, Darrell - 2018

Persistent link: https://www.econbiz.de/10011941937

Resilience redux in the US Treasury market

Duffie, Darrell - 2023

Persistent link: https://www.econbiz.de/10014476664

Transform analysis and asset pricing for affine jump-diffusions

Duffie, Darrell; Pan, Jun; Singleton, Kenneth J. - 1999

Persistent link: https://www.econbiz.de/10001388790

Liquidation risk

Ziegler, Alexandre; Duffie, Darrell - 2001

Persistent link: https://www.econbiz.de/10001592003

Large portfolio losses

Dembo, Amir; Deuschel, Jean-Dominique; Duffie, Darrell - 2002

Persistent link: https://www.econbiz.de/10001699426

Affine processes and applications in finance

Duffie, Darrell; Filipović, Damir; Schachermayer, Walter - 2002

Persistent link: https://www.econbiz.de/10001704101

Measuring default risk premia from default swap rates and EDFs

Berndt, Antje; Douglas, Rohan; Duffie, Darrell; … - 2005

Persistent link: https://www.econbiz.de/10002671389

Multi-period corporate failure prediction with stochastic covariates

Duffie, Darrell; Wang, Ke - 2004

Persistent link: https://www.econbiz.de/10002221321

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