Interview: Darrell Duffie on credit risk modelling
Stanford University’s credit risk expert, Darrell Duffie, talks with Katie Holliday about changes in the modelling of credit risk within energy markets since the financial crisis
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
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