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Large portfolio losses

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

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

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

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

Competitive equilibria in general choice spaces

Duffie, Darrell - In: Journal of mathematical economics 15 (1986) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10001025271

Black, Merton and Scholes : their central contributions to economics

Duffie, Darrell - In: The Scandinavian journal of economics 100 (1998) 2, pp. 411-423

Persistent link: https://www.econbiz.de/10001245494

The nature of incomplete security markets

Duffie, Darrell - 1992

Persistent link: https://www.econbiz.de/10001326964

The theory of value in security markets

Duffie, Darrell - 1991

Persistent link: https://www.econbiz.de/10001328996

Asset pricing in incomplete markets

Duffie, Darrell - In: Hitotsubashi journal of economics 34 (1993), pp. 139-148

Persistent link: https://www.econbiz.de/10001162443

Special repo rates

Duffie, Darrell - In: The journal of finance : the journal of the American … 51 (1996) 2, pp. 493-526

Persistent link: https://www.econbiz.de/10001205904

Stochastic equilibria with incomplete financial markets

Duffie, Darrell - In: Journal of economic theory 41 (1987) 2, pp. 405-416

Persistent link: https://www.econbiz.de/10001044367

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