Interview: Darrell Duffie on credit risk modelling
Darrell Duffie, Dean Witter Distinguished Professor of Finance at the Graduate School of Business, Stanford University, is an expert in credit risk. His most recent research has examined the over-the-counter derivatives markets with a primary focus on counterparty risk.
His current work is on corporate credit risk and its measurement, looking at the factors that predict corporate default and how to predict whether there could be multiple corporate defaults around the same time. His recent paper
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