Similar Search Results - EconBiz

Measuring corporate default risk

Duffie, Darrell - 2011 - 1. publ.

Persistent link: https://www.econbiz.de/10009236171

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/10003121049

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

Simulating correlated defaults

Duffie, Darrell; Singleton, Kenneth J. - 1998

Persistent link: https://www.econbiz.de/10001509438

Modeling term structures of defaultable bonds

Duffie, Darrell; Singleton, Kenneth J. - In: The review of financial studies 12 (1999) 4, pp. 687-720

Persistent link: https://www.econbiz.de/10001421853

Analytical value-at-risk with jumps and credit risk

Duffie, Darrell; Pan, Jun - In: Finance and stochastics 5 (2001) 2, pp. 155-180

Persistent link: https://www.econbiz.de/10001571486

Modeling sovereign yield spreads : a case study of Russian debt

Duffie, Darrell; Pedersen, Lasse Heje; Singleton, Kenneth J. - In: The journal of finance : the journal of the American … 58 (2003) 1, pp. 119-159

Persistent link: https://www.econbiz.de/10001737267

Credit risk : pricing, measurement, and management

Duffie, Darrell; Singleton, Kenneth J. - 2003

Persistent link: https://www.econbiz.de/10001685614

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

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