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Miniature of Large Portfolio Losses

Large Portfolio Losses

GSB Authors: Darrell Duffie
Date: 2004-01-01
Publication Type: Articles
Publication: Finance and Stochastics

Miniature of Analytical Value-At-Risk with Jumps and Credit Risk

Analytical Value-At-Risk with Jumps and Credit Risk

GSB Authors: Darrell Duffie
Date: 2001-05-01
Publication Type: Articles
Publication: Finance and Stochastics