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Large Portfolio Losses
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1
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/10008215025
Saved in:
2
LARGE PORTFOLIO LOSSES
Dembo, Amir
;
Deuschel, Jean-Dominique
;
Duffie, Darrell
-
2002
Persistent link: https://www.econbiz.de/10006972578
Saved in:
3
Is there a case for banning short speculation in sovereign bond markets?
Duffie, Darrell
- In:
Financial stability review : FSR
14
(
2010
),
pp. 55-59
Persistent link: https://www.econbiz.de/10009921103
Saved in:
4
Over-the-Counter Markets
Duffie, Darrell
;
Gârleanu, Nicolae
;
Pedersen, Lasse Heje
- In:
Econometrica : journal of the Econometric Society, an …
73
(
2005
)
6
,
pp. 1815-1848
Persistent link: https://www.econbiz.de/10006750275
Saved in:
5
Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals
Duffie, Darrell
;
Glynn, Peter
- In:
Econometrica : journal of the Econometric Society, an …
72
(
2004
)
6
,
pp. 1773-1808
Persistent link: https://www.econbiz.de/10006754935
Saved in:
6
Securities lending, shorting, and pricing
Duffie, Darrell
;
Gârleanu, Nicolae
;
Pedersen, Lasse Heje
- In:
Journal of financial economics
66
(
2002
)
2
,
pp. 307-340
Persistent link: https://www.econbiz.de/10006508359
Saved in:
7
A Liquidity-Based Model of Security Design
Demarzo, Peter
;
Duffie, Darrell
- In:
Econometrica : journal of the Econometric Society, an …
67
(
1999
)
1
,
pp. 65-100
Persistent link: https://www.econbiz.de/10006786516
Saved in:
8
Hedging in incomplete markets with HARA utility
Duffie, Darrell
;
Fleming, Wendell
;
Mete Soner, H.
; …
- In:
Journal of economic dynamics & control
21
(
1997
)
4-5
,
pp. 753-782
Persistent link: https://www.econbiz.de/10006792640
Saved in:
9
Simulated Moments Estimation of Markov Models of Asset Prices
Duffie, Darrell
;
Singleton, Kenneth J.
- In:
Econometrica : journal of the Econometric Society, an …
61
(
1993
)
4
,
pp. 929-952
Persistent link: https://www.econbiz.de/10006805375
Saved in:
10
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 capital ratios?
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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