Risk and hedging: Do credit derivatives increase bank risk?

Term Structures of Credit Spreads with Incomplete Accounting Information

Darrell Duffie, David Lando · Econometrica · 2001 · 1.4K citations

Empirical Finance, Credit Score, Financial Economics +15

An Overview of Value at Risk

Darrell Duffie, Jun Pan · The Journal of Derivatives · 1997 · 1.3K citations

Economics, Risk Management, Value Theory +7

Controlled markov processes and viscosity solutions

M. R. James · Stochastics and stochastics reports · 1994 · 1.1K citations

Stochastic Simulation, Process Dynamics, Engineering +14

The prudential regulation of banks

Journal of Macroeconomics · 1996 · 887 citations

Securities Law, Finance, Business +6

How Accurate Are Value‐at‐Risk Models at Commercial Banks?

Jeremy Berkowitz, James M. O’Brien · The Journal of Finance · 2002 · 545 citations

Financial Data, Financial Risk Management, Risk Model Validation +19