Details about Darrell Duffie
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Last updated 2018-06-04. Update your information in the RePEc Author Service.
Short-id: pdu341
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Working Papers
2022
- How Abundant Are Reserves? Evidence from the Wholesale Payment System
NBER Working Papers, National Bureau of Economic Research, Inc
2021
- Reserves Were Not So Ample After All
NBER Working Papers, National Bureau of Economic Research, Inc View citations (10)
2020
- Market Fragmentation
NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
2018
- Corporate Credit Risk Premia
NBER Working Papers, National Bureau of Economic Research, Inc View citations (22)
Also in Research Papers, Stanford University, Graduate School of Business (2017) View citations (5)
2017
- Augmenting Markets with Mechanisms
NBER Working Papers, National Bureau of Economic Research, Inc 
Also in Research Papers, Stanford University, Graduate School of Business (2017)
- Dynamic Directed Random Matching
Research Papers, Stanford University, Graduate School of Business 
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2015) 
See also Journal Article in Journal of Economic Theory (2018)
- Funding Value Adjustments
NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)
2016
- Financial Regulatory Reform after the Crisis: An Assessment
Research Papers, Stanford University, Graduate School of Business View citations (20)
- Size Discovery
Research Papers, Stanford University, Graduate School of Business View citations (2)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2015) View citations (1)
See also Journal Article in Review of Financial Studies (2017)
2015
- Benchmarks in Search Markets
2015 Meeting Papers, Society for Economic Dynamics View citations (1)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2014) View citations (21)
See also Journal Article in Journal of Finance (2017)
2014
- Central Clearing and Collateral Demand
NBER Working Papers, National Bureau of Economic Research, Inc View citations (18)
Also in Working Paper Series, European Central Bank (2014) View citations (21) Economics Working Papers, Hoover Institution, Stanford University (2014) View citations (28)
See also Journal Article in Journal of Financial Economics (2015)
- Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs
Economics Working Papers, Hoover Institution, Stanford University View citations (13)
See also Journal Article in The Journal of Legal Studies (2014)
- Financial Market Infrastructure: Too Important to Fail
Economics Working Papers, Hoover Institution, Stanford University 
See also Chapter (2014)
- Robust Benchmark Design
NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)
2013
- A sampling-window approach to transactions-based Libor fixing
Staff Reports, Federal Reserve Bank of New York View citations (8)
2011
- Capital Mobility and Asset Pricing
NBER Working Papers, National Bureau of Economic Research, Inc View citations (12)
Also in Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science (2009) View citations (12) 2009 Meeting Papers, Society for Economic Dynamics (2009) View citations (3)
See also Journal Article in Econometrica (2012)
- Information Percolation in Segmented Markets
NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2010) View citations (15)
See also Journal Article in Journal of Economic Theory (2014)
- Systemic Risk Exposures: A 10-by-10-by-10 Approach
NBER Working Papers, National Bureau of Economic Research, Inc View citations (13)
See also Chapter (2013)
- The Exact Law of Large Numbers for Independent Random Matching
NBER Working Papers, National Bureau of Economic Research, Inc 
See also Journal Article in Journal of Economic Theory (2012)
2010
- Policy Perspectives on OTC Derivatives Market Infrastructure
Research Papers, Stanford University, Graduate School of Business View citations (37)
Also in Staff Reports, Federal Reserve Bank of New York (2010) View citations (22)
- The failure mechanics of dealer banks
BIS Working Papers, Bank for International Settlements View citations (86)
See also Journal Article in Journal of Economic Perspectives (2010)
2009
- Information Percolation with Equilibrium Search Dynamics
Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (81)
See also Journal Article in Econometrica (2009)
- The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation
Research Papers, Stanford University, Graduate School of Business View citations (1)
Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2009) View citations (1)
See also Journal Article in Journal of Economic Theory (2010)
2008
- Frailty Correlated Default
Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (4)
See also Journal Article in Journal of Finance (2009)
- Information Percolation
2008 Meeting Papers, Society for Economic Dynamics 
See also Journal Article in American Economic Journal: Microeconomics (2010)
- Innovations in credit risk transfer: implications for financial stability
BIS Working Papers, Bank for International Settlements View citations (73)
2007
- Over the Counter Search Frictions: A Case Study of the Federal Funds Market
2007 Meeting Papers, Society for Economic Dynamics View citations (2)
- Report on “The Committee on Yen Risk-free-rate Model Estimationâ€Â
Finance Working Papers, East Asian Bureau of Economic Research
2006
- Common Failings: How Corporate Defaults are Correlated
NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
See also Journal Article in Journal of Finance (2007)
- Multi-Period Corporate Default Prediction With Stochastic Covariates
NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)
Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2005) View citations (9) CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2005) View citations (11)
See also Journal Article in Journal of Financial Economics (2007)
- Valuation in Over-the-Counter Markets
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2006) View citations (4)
See also Journal Article in Review of Financial Studies (2007)
2005
- Measuring default risk premia from default swap rates and EDFs
BIS Working Papers, Bank for International Settlements View citations (104)
Also in GSIA Working Papers, Carnegie Mellon University, Tepper School of Business View citations (9)
2004
- Liquidity Premia in Dynamic Bargaining Markets
Econometric Society 2004 North American Winter Meetings, Econometric Society
- Multi-Period Corporate Failure Prediction With Stochastic Covariates
Econometric Society 2004 Far Eastern Meetings, Econometric Society View citations (21)
Also in Econometric Society 2004 Far Eastern Meetings, Econometric Society (2004) View citations (14) NBER Working Papers, National Bureau of Economic Research, Inc (2004) View citations (19)
- Over-the-Counter Markets
NBER Working Papers, National Bureau of Economic Research, Inc View citations (10)
See also Chapter (2012) Journal Article in Econometrica (2005)
- Valuation in Dynamic Bargaining Markets
Econometric Society 2004 North American Winter Meetings, Econometric Society
Also in Econometric Society 2004 North American Winter Meetings, Econometric Society (2004) View citations (6)
2002
- Affine Processes and Application in Finance
NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (9)
- Large Portfolio Losses
NBER Working Papers, National Bureau of Economic Research, Inc 
See also Journal Article in Finance and Stochastics (2004)
2001
- Liquidation Risk
FAME Research Paper Series, International Center for Financial Asset Management and Engineering
1999
- Transform Analysis and Asset Pricing for Affine Jump-Diffusions
NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
See also Journal Article in Econometrica (2000)
1990
- Simulated Moments Estimation of Markov Models of Asset Prices
NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (9)
See also Journal Article in Econometrica (1993)
1988
- The Consumption-Based Capital Asset Pricing Model
Discussion Papers, University of Copenhagen. Department of Economics View citations (10)
See also Journal Article in Econometrica (1989)
Journal Articles
2018
- Dynamic directed random matching
Journal of Economic Theory, 2018, 174, (C), 124-183 View citations (3)
See also Working Paper (2017)
2017
- Benchmarks in Search Markets
Journal of Finance, 2017, 72, (5), 1983-2044 View citations (33)
See also Working Paper (2015)
- Size Discovery
Review of Financial Studies, 2017, 30, (4), 1095-1150 
See also Working Paper (2016)
2016
- Preface to the Special Issue on Systemic Risk: Models and Mechanisms
Operations Research, 2016, 64, (5), 1053-1055
2015
- Central clearing and collateral demand
Journal of Financial Economics, 2015, 116, (2), 237-256 View citations (118)
See also Working Paper (2014)
- Reforming LIBOR and Other Financial Market Benchmarks
Journal of Economic Perspectives, 2015, 29, (2), 191-212 View citations (49)
- Reprint of: Information percolation in segmented markets
Journal of Economic Theory, 2015, 158, (PB), 838-869 View citations (8)
2014
- Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs
The Journal of Legal Studies, 2014, 43, (S2), S173 - S182 View citations (13)
See also Working Paper (2014)
- Information percolation in segmented markets
Journal of Economic Theory, 2014, 153, (C), 1-32 View citations (30)
See also Working Paper (2011)
2013
- Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group
Journal of Applied Corporate Finance, 2013, 25, (4), 37-40 View citations (6)
- Replumbing Our Financial System: Uneven Progress
International Journal of Central Banking, 2013, 9, (1), 251-280 View citations (10)
2012
- Capital Mobility and Asset Pricing
Econometrica, 2012, 80, (6), 2469-2509 View citations (31)
See also Working Paper (2011)
- Comment
NBER Macroeconomics Annual, 2012, 26, (1), 177 - 183
- Explaining the U.S. tri-party repo market
Economic Policy Review, 2012, 18, (Nov), 17-28 View citations (1)
- The exact law of large numbers for independent random matching
Journal of Economic Theory, 2012, 147, (3), 1105-1139 View citations (37)
See also Working Paper (2011)
2011
- Does a Central Clearing Counterparty Reduce Counterparty Risk?
The Review of Asset Pricing Studies, 2011, 1, (1), 74-95 View citations (77)
2010
- Information Percolation
American Economic Journal: Microeconomics, 2010, 2, (1), 100-111 View citations (20)
See also Working Paper (2008)
- Is there a case for banning short speculation in sovereign bond markets?
Financial Stability Review, 2010, (14), 55-59 View citations (30)
- Presidential Address: Asset Price Dynamics with Slow‐Moving Capital
Journal of Finance, 2010, 65, (4), 1237-1267 View citations (226)
- The Failure Mechanics of Dealer Banks
Journal of Economic Perspectives, 2010, 24, (1), 51-72 View citations (86)
Also in Economic Policy, 2010, 4, 131-153 (2010) View citations (80)
See also Working Paper (2010)
- The Squam Lake Report: Fixing the Financial System
Journal of Applied Corporate Finance, 2010, 22, (3), 8-21 View citations (116)
See also Book (2010)
- The relative contributions of private information sharing and public information releases to information aggregation
Journal of Economic Theory, 2010, 145, (4), 1574-1601 View citations (8)
See also Working Paper (2009)
2009
- Frailty Correlated Default
Journal of Finance, 2009, 64, (5), 2089-2123 View citations (206)
See also Working Paper (2008)
- Information Percolation With Equilibrium Search Dynamics
Econometrica, 2009, 77, (5), 1513-1574 View citations (76)
See also Working Paper (2009)
2007
- Common Failings: How Corporate Defaults Are Correlated
Journal of Finance, 2007, 62, (1), 93-117 View citations (241)
See also Working Paper (2006)
- Information Percolation in Large Markets
American Economic Review, 2007, 97, (2), 203-209 View citations (65)
- Multi-period corporate default prediction with stochastic covariates
Journal of Financial Economics, 2007, 83, (3), 635-665 View citations (303)
See also Working Paper (2006)
- Systemic Illiquidity in the Federal Funds Market
American Economic Review, 2007, 97, (2), 221-225 View citations (103)
- Valuation in Over-the-Counter Markets
Review of Financial Studies, 2007, 20, (6), 1865-1900 View citations (189)
See also Working Paper (2006)
2005
- Credit risk modeling with affine processes
Journal of Banking & Finance, 2005, 29, (11), 2751-2802 View citations (25)
- Over-the-Counter Markets
Econometrica, 2005, 73, (6), 1815-1847 View citations (336)
See also Working Paper (2004) Chapter (2012)
2004
- Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals
Econometrica, 2004, 72, (6), 1773-1808 View citations (27)
- Large portfolio losses
Finance and Stochastics, 2004, 8, (1), 3-16 View citations (30)
See also Working Paper (2002)
2003
- Market Pricing of Deposit Insurance
Journal of Financial Services Research, 2003, 24, (2), 93-119 View citations (30)
See also Chapter (2008)
- Modeling Sovereign Yield Spreads: A Case Study of Russian Debt
Journal of Finance, 2003, 58, (1), 119-159 View citations (186)
2002
- Securities lending, shorting, and pricing
Journal of Financial Economics, 2002, 66, (2-3), 307-339 View citations (233)
- Universal state prices and asymmetric information
Journal of Mathematical Economics, 2002, 38, (1-2), 191-196
2001
- Analytical value-at-risk with jumps and credit risk
Finance and Stochastics, 2001, 5, (2), 155-180 View citations (50)
- Term Structures of Credit Spreads with Incomplete Accounting Information
Econometrica, 2001, 69, (3), 633-64 View citations (377)
2000
- Transform Analysis and Asset Pricing for Affine Jump-Diffusions
Econometrica, 2000, 68, (6), 1343-1376 View citations (1021)
See also Working Paper (1999)
1999
- A Liquidity-Based Model of Security Design
Econometrica, 1999, 67, (1), 65-100 View citations (274)
- Modeling Term Structures of Defaultable Bonds
Review of Financial Studies, 1999, 12, (4), 687-720 View citations (791)
1997
- An Econometric Model of the Term Structure of Interest-Rate Swap Yields
Journal of Finance, 1997, 52, (4), 1287-1321 View citations (264)
- Hedging in incomplete markets with HARA utility
Journal of Economic Dynamics and Control, 1997, 21, (4-5), 753-782 View citations (83)
1996
- A YIELD‐FACTOR MODEL OF INTEREST RATES
Mathematical Finance, 1996, 6, (4), 379-406 View citations (723)
- A term structure model with preferences for the timing of resolution of uncertainty (*)
Economic Theory, 1996, 9, (1), 3-22
- Asset Pricing with Heterogeneous Consumers
Journal of Political Economy, 1996, 104, (2), 219-40 View citations (660)
- Incomplete security markets with infinitely many states: An introduction
Journal of Mathematical Economics, 1996, 26, (1), 1-8 View citations (4)
- Special Repo Rates
Journal of Finance, 1996, 51, (2), 493-526 View citations (185)
- Swap Rates and Credit Quality
Journal of Finance, 1996, 51, (3), 921-49 View citations (206)
1995
- Corporate Incentives for Hedging and Hedge Accounting
Review of Financial Studies, 1995, 8, (3), 743-71 View citations (200)
- Financial Market Innovation and Security Design: An Introduction
Journal of Economic Theory, 1995, 65, (1), 1-42 View citations (117)
1994
- Continuous-time security pricing: A utility gradient approach
Journal of Mathematical Economics, 1994, 23, (2), 107-131 View citations (81)
- Efficient and equilibrium allocations with stochastic differential utility
Journal of Mathematical Economics, 1994, 23, (2), 133-146 View citations (12)
- Stationary Markov Equilibria
Econometrica, 1994, 62, (4), 745-81 View citations (125)
1993
- Optimal Investment With Undiversifiable Income Risk
Mathematical Finance, 1993, 3, (2), 135-148 View citations (31)
- Simulated Moments Estimation of Markov Models of Asset Prices
Econometrica, 1993, 61, (4), 929-52 View citations (456)
See also Working Paper (1990)
1992
- Asset Pricing with Stochastic Differential Utility
Review of Financial Studies, 1992, 5, (3), 411-36 View citations (326)
- From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1
Mathematical Finance, 1992, 2, (1), 1-15 View citations (28)
- PDE solutions of stochastic differential utility
Journal of Mathematical Economics, 1992, 21, (6), 577-606 View citations (236)
- Pricing continuously resettled contingent claims
Journal of Economic Dynamics and Control, 1992, 16, (3-4), 561-573 View citations (18)
- Stochastic Differential Utility
Econometrica, 1992, 60, (2), 353-94 View citations (367)
1991
- Corporate financial hedging with proprietary information
Journal of Economic Theory, 1991, 53, (2), 261-286 View citations (75)
1990
- Optimal hedging and equilibrium in a dynamic futures market
Journal of Economic Dynamics and Control, 1990, 14, (1), 21-33 View citations (30)
- The New Palgrave: Finance: A book review
Journal of Monetary Economics, 1990, 25, (3), 477-480
- Transactions costs and portfolio choice in a discrete-continuous-time setting
Journal of Economic Dynamics and Control, 1990, 14, (1), 35-51 View citations (60)
1989
- Arrow and General Equilibrium Theory
Journal of Economic Literature, 1989, 27, (2), 565-98 View citations (10)
- The Consumption-Based Capital Asset Pricing Model
Econometrica, 1989, 57, (6), 1279-97 View citations (73)
See also Working Paper (1988)
1988
- An extension of the Black-Scholes model of security valuation
Journal of Economic Theory, 1988, 46, (1), 194-204 View citations (7)
1987
- Stochastic equilibria with incomplete financial markets
Journal of Economic Theory, 1987, 41, (2), 405-416 View citations (29)
1986
- Competitive equilibria in general choice spaces
Journal of Mathematical Economics, 1986, 15, (1), 1-23 View citations (3)
- Equilibrium in incomplete markets: II: Generic existence in stochastic economies
Journal of Mathematical Economics, 1986, 15, (3), 199-216 View citations (73)
- Multiperiod security markets with differential information: Martingales and resolution times
Journal of Mathematical Economics, 1986, 15, (3), 283-303 View citations (31)
- Stochastic Equilibria: Existence, Spanning Number, and the 'No Expected Financial Gain from Trade' Hypothesis
Econometrica, 1986, 54, (5), 1161-83 View citations (23)
1985
- Equilibrium in incomplete markets: I: A basic model of generic existence
Journal of Mathematical Economics, 1985, 14, (3), 285-300 View citations (200)
- Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities
Econometrica, 1985, 53, (6), 1337-56 View citations (135)
See also Chapter (2005)
Books
2012
- Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets
Economics Books, Princeton University Press View citations (76)
2011
- How Big Banks Fail and What to Do about It
Economics Books, Princeton University Press View citations (17)
- Measuring Corporate Default Risk
OUP Catalogue, Oxford University Press View citations (16)
2010
- The Squam Lake Report: Fixing the Financial System
Economics Books, Princeton University Press View citations (105)
See also Journal Article in Journal of Applied Corporate Finance (2010)
Chapters
2015
- Resolution of Failing Central Counterparties
Chapter 4 in Making Failure Feasible, 2015 View citations (12)
2014
- Financial Market Infrastructure: Too Important to Fail
Chapter 11 in Across the Great Divide: New Perspectives on the Financial Crisis, 2014 
See also Working Paper (2014)
2013
- Systemic Risk Exposures: A 10-by-10-by-10 Approach
A chapter in Risk Topography: Systemic Risk and Macro Modeling, 2013, pp 47-56 
See also Working Paper (2011)
2012
- A Dialogue on the Costs and Benefits of Automatic Stays for Derivatives and Repurchase Agreements
Chapter 5 in Bankruptcy Not Bailout, 2012 View citations (13)
- Over-The-Counter Markets
A chapter in Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets, 2012 
See also Working Paper (2004) Journal Article in Econometrica (2005)
2011
- Comment on "Risk Topography"
A chapter in NBER Macroeconomics Annual 2011, Volume 26, 2011, pp 177-183
- Introduction
A chapter in How Big Banks Fail and What to Do about It, 2011
2010
- A Contractual Approach to Restructuring Financial Institutions
Chapter 6 in Ending Government Bailouts As We Know Them, 2010 View citations (4)
- Introduction
A chapter in The Squam Lake Report: Fixing the Financial System, 2010
2009
- Policy Issues Facing the Market for Credit Derivatives
Chapter 8 in The Road Ahead for the Fed, 2009 View citations (2)
2008
- Market Pricing of Deposit Insurance
Chapter 22 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 551-577 
See also Journal Article in Journal of Financial Services Research (2003)
2005
- IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES
Chapter 4 in Theory Of Valuation, 2005, pp 97-127 
See also Journal Article in Econometrica (1985)
2003
- Intertemporal asset pricing theory
Chapter 11 in Handbook of the Economics of Finance, 2003, vol. 1, Part 2, pp 639-742 View citations (2)
1991
- The theory of value in security markets
Chapter 31 in Handbook of Mathematical Economics, 1991, vol. 4, pp 1615-1682 View citations (5)
1990
- Money in general equilibrium theory
Chapter 03 in Handbook of Monetary Economics, 1990, vol. 1, pp 81-100 View citations (5)
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