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Details about Darrell Duffie

Homepage:http://darrellduffie.com
Workplace:Graduate School of Business, Stanford University, (more information at EDIRC)

Access statistics for papers by Darrell Duffie.

Last updated 2023-02-24. Update your information in the RePEc Author Service.

Short-id: pdu341


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Working Papers

2023

  1. Bank Funding Risk, Reference Rates, and Credit Supply
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)

2022

  1. How Abundant Are Reserves? Evidence from the Wholesale Payment System
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)

2021

  1. Reserves Were Not So Ample After All
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (14)

2020

  1. Market Fragmentation
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)

2018

  1. Corporate Credit Risk Premia
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (29)
    Also in Research Papers, Stanford University, Graduate School of Business (2017) Downloads View citations (5)

2017

  1. Augmenting Markets with Mechanisms
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    Also in Research Papers, Stanford University, Graduate School of Business (2017) Downloads View citations (1)
  2. Dynamic Directed Random Matching
    Research Papers, Stanford University, Graduate School of Business Downloads
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2015) Downloads

    See also Journal Article Dynamic directed random matching, Journal of Economic Theory, Elsevier (2018) Downloads View citations (6) (2018)
  3. Funding Value Adjustments
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (8)

2016

  1. Financial Regulatory Reform after the Crisis: An Assessment
    Research Papers, Stanford University, Graduate School of Business Downloads View citations (20)
  2. Size Discovery
    Research Papers, Stanford University, Graduate School of Business Downloads View citations (2)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2015) Downloads View citations (1)

    See also Journal Article Size Discovery, The Review of Financial Studies, Society for Financial Studies (2017) Downloads (2017)

2015

  1. Benchmarks in Search Markets
    2015 Meeting Papers, Society for Economic Dynamics Downloads View citations (1)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2014) Downloads View citations (22)

    See also Journal Article Benchmarks in Search Markets, Journal of Finance, American Finance Association (2017) Downloads View citations (39) (2017)

2014

  1. Central Clearing and Collateral Demand
    Economics Working Papers, Hoover Institution, Stanford University Downloads View citations (28)
    Also in Working Paper Series, European Central Bank (2014) Downloads View citations (21)
    NBER Working Papers, National Bureau of Economic Research, Inc (2014) Downloads View citations (18)

    See also Journal Article Central clearing and collateral demand, Journal of Financial Economics, Elsevier (2015) Downloads View citations (136) (2015)
  2. Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs
    Economics Working Papers, Hoover Institution, Stanford University Downloads View citations (15)
    See also Journal Article Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs, The Journal of Legal Studies, University of Chicago Press (2014) Downloads View citations (15) (2014)
  3. Financial Market Infrastructure: Too Important to Fail
    Economics Working Papers, Hoover Institution, Stanford University Downloads View citations (1)
    See also Chapter Financial Market Infrastructure: Too Important to Fail, Book Chapters, Hoover Institution, Stanford University (2014) Downloads View citations (1) (2014)
  4. Robust Benchmark Design
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (12)

2013

  1. A sampling-window approach to transactions-based Libor fixing
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (8)

2011

  1. Capital Mobility and Asset Pricing
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (13)
    Also in Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science (2009) Downloads View citations (13)
    2009 Meeting Papers, Society for Economic Dynamics (2009) View citations (4)

    See also Journal Article Capital Mobility and Asset Pricing, Econometrica, Econometric Society (2012) Downloads View citations (35) (2012)
  2. Information Percolation in Segmented Markets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2010) Downloads View citations (17)

    See also Journal Article Information percolation in segmented markets, Journal of Economic Theory, Elsevier (2014) Downloads View citations (34) (2014)
  3. Systemic Risk Exposures: A 10-by-10-by-10 Approach
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (13)
    See also Chapter Systemic Risk Exposures: A 10-by-10-by-10 Approach, NBER Chapters, National Bureau of Economic Research, Inc (2013) Downloads (2013)
  4. The Exact Law of Large Numbers for Independent Random Matching
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article The exact law of large numbers for independent random matching, Journal of Economic Theory, Elsevier (2012) Downloads View citations (39) (2012)

2010

  1. Policy Perspectives on OTC Derivatives Market Infrastructure
    Research Papers, Stanford University, Graduate School of Business Downloads View citations (39)
    Also in Staff Reports, Federal Reserve Bank of New York (2010) Downloads View citations (24)
  2. The failure mechanics of dealer banks
    BIS Working Papers, Bank for International Settlements Downloads View citations (88)
    See also Journal Article The Failure Mechanics of Dealer Banks, Ekonomicheskaya Politika / Economic Policy, Russian Presidential Academy of National Economy and Public Administration (2010) Downloads View citations (83) (2010)

2009

  1. Information Percolation with Equilibrium Search Dynamics
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (87)
    See also Journal Article Information Percolation With Equilibrium Search Dynamics, Econometrica, Econometric Society (2009) Downloads View citations (82) (2009)
  2. The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation
    Research Papers, Stanford University, Graduate School of Business Downloads View citations (1)
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2009) Downloads View citations (1)

    See also Journal Article The relative contributions of private information sharing and public information releases to information aggregation, Journal of Economic Theory, Elsevier (2010) Downloads View citations (8) (2010)

2008

  1. Frailty Correlated Default
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (4)
    See also Journal Article Frailty Correlated Default, Journal of Finance, American Finance Association (2009) Downloads View citations (218) (2009)
  2. Information Percolation
    2008 Meeting Papers, Society for Economic Dynamics Downloads
    See also Journal Article Information Percolation, American Economic Journal: Microeconomics, American Economic Association (2010) Downloads View citations (22) (2010)
  3. Innovations in credit risk transfer: implications for financial stability
    BIS Working Papers, Bank for International Settlements Downloads View citations (75)

2007

  1. Over the Counter Search Frictions: A Case Study of the Federal Funds Market
    2007 Meeting Papers, Society for Economic Dynamics Downloads View citations (2)
  2. Report on “The Committee on Yen Risk-free-rate Model Estimationâ€Â
    Finance Working Papers, East Asian Bureau of Economic Research Downloads

2006

  1. Common Failings: How Corporate Defaults are Correlated
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)
    See also Journal Article Common Failings: How Corporate Defaults Are Correlated, Journal of Finance, American Finance Association (2007) Downloads View citations (256) (2007)
  2. Multi-Period Corporate Default Prediction With Stochastic Covariates
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (8)
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2005) Downloads View citations (9)
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2005) Downloads View citations (11)

    See also Journal Article Multi-period corporate default prediction with stochastic covariates, Journal of Financial Economics, Elsevier (2007) Downloads View citations (326) (2007)
  3. Valuation in Over-the-Counter Markets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2006) Downloads View citations (4)

    See also Journal Article Valuation in Over-the-Counter Markets, The Review of Financial Studies, Society for Financial Studies (2007) Downloads View citations (201) (2007)

2005

  1. Measuring default risk premia from default swap rates and EDFs
    BIS Working Papers, Bank for International Settlements Downloads View citations (105)
    Also in GSIA Working Papers, Carnegie Mellon University, Tepper School of Business Downloads View citations (9)

2004

  1. Liquidity Premia in Dynamic Bargaining Markets
    Econometric Society 2004 North American Winter Meetings, Econometric Society
  2. Multi-Period Corporate Failure Prediction With Stochastic Covariates
    Econometric Society 2004 Far Eastern Meetings, Econometric Society View citations (21)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) Downloads View citations (19)
    Econometric Society 2004 Far Eastern Meetings, Econometric Society (2004) View citations (14)
  3. Over-the-Counter Markets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (10)
    See also Journal Article Over-the-Counter Markets, Econometrica, Econometric Society (2005) Downloads View citations (368) (2005)
    Chapter Over-The-Counter Markets, Introductory Chapters, Princeton University Press (2012) Downloads (2012)
  4. Valuation in Dynamic Bargaining Markets
    Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (6)
    Also in Econometric Society 2004 North American Winter Meetings, Econometric Society (2004)

2002

  1. Affine Processes and Application in Finance
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (9)
  2. Large Portfolio Losses
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article Large portfolio losses, Finance and Stochastics, Springer (2004) Downloads View citations (30) (2004)

2001

  1. Liquidation Risk
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering Downloads

1999

  1. Transform Analysis and Asset Pricing for Affine Jump-Diffusions
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)
    See also Journal Article Transform Analysis and Asset Pricing for Affine Jump-Diffusions, Econometrica, Econometric Society (2000) View citations (1075) (2000)

1990

  1. Simulated Moments Estimation of Markov Models of Asset Prices
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (11)
    See also Journal Article Simulated Moments Estimation of Markov Models of Asset Prices, Econometrica, Econometric Society (1993) Downloads View citations (475) (1993)

1988

  1. The Consumption-Based Capital Asset Pricing Model
    Discussion Papers, University of Copenhagen. Department of Economics View citations (10)
    See also Journal Article The Consumption-Based Capital Asset Pricing Model, Econometrica, Econometric Society (1989) Downloads View citations (73) (1989)

Journal Articles

2018

  1. Dynamic directed random matching
    Journal of Economic Theory, 2018, 174, (C), 124-183 Downloads View citations (6)
    See also Working Paper Dynamic Directed Random Matching, Research Papers (2017) Downloads (2017)

2017

  1. Benchmarks in Search Markets
    Journal of Finance, 2017, 72, (5), 1983-2044 Downloads View citations (39)
    See also Working Paper Benchmarks in Search Markets, 2015 Meeting Papers (2015) Downloads View citations (1) (2015)
  2. Size Discovery
    The Review of Financial Studies, 2017, 30, (4), 1095-1150 Downloads
    See also Working Paper Size Discovery, Research Papers (2016) Downloads View citations (2) (2016)

2016

  1. Preface to the Special Issue on Systemic Risk: Models and Mechanisms
    Operations Research, 2016, 64, (5), 1053-1055 Downloads

2015

  1. Central clearing and collateral demand
    Journal of Financial Economics, 2015, 116, (2), 237-256 Downloads View citations (136)
    See also Working Paper Central Clearing and Collateral Demand, Economics Working Papers (2014) Downloads View citations (28) (2014)
  2. Reforming LIBOR and Other Financial Market Benchmarks
    Journal of Economic Perspectives, 2015, 29, (2), 191-212 Downloads View citations (56)
  3. Reprint of: Information percolation in segmented markets
    Journal of Economic Theory, 2015, 158, (PB), 838-869 Downloads View citations (8)

2014

  1. Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs
    The Journal of Legal Studies, 2014, 43, (S2), S173 - S182 Downloads View citations (15)
    See also Working Paper Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs, Economics Working Papers (2014) Downloads View citations (15) (2014)
  2. Information percolation in segmented markets
    Journal of Economic Theory, 2014, 153, (C), 1-32 Downloads View citations (34)
    See also Working Paper Information Percolation in Segmented Markets, NBER Working Papers (2011) Downloads View citations (7) (2011)

2013

  1. Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group
    Journal of Applied Corporate Finance, 2013, 25, (4), 37-40 Downloads View citations (6)
  2. Replumbing Our Financial System: Uneven Progress
    International Journal of Central Banking, 2013, 9, (1), 251-280 Downloads View citations (11)

2012

  1. Capital Mobility and Asset Pricing
    Econometrica, 2012, 80, (6), 2469-2509 Downloads View citations (35)
    See also Working Paper Capital Mobility and Asset Pricing, NBER Working Papers (2011) Downloads View citations (13) (2011)
  2. Comment
    NBER Macroeconomics Annual, 2012, 26, (1), 177 - 183 Downloads
  3. Explaining the U.S. tri-party repo market
    Economic Policy Review, 2012, 18, (Nov), 17-28 Downloads View citations (1)
  4. The exact law of large numbers for independent random matching
    Journal of Economic Theory, 2012, 147, (3), 1105-1139 Downloads View citations (39)
    See also Working Paper The Exact Law of Large Numbers for Independent Random Matching, NBER Working Papers (2011) Downloads (2011)

2011

  1. Does a Central Clearing Counterparty Reduce Counterparty Risk?
    The Review of Asset Pricing Studies, 2011, 1, (1), 74-95 Downloads View citations (84)

2010

  1. Information Percolation
    American Economic Journal: Microeconomics, 2010, 2, (1), 100-111 Downloads View citations (22)
    See also Working Paper Information Percolation, 2008 Meeting Papers (2008) Downloads (2008)
  2. Is there a case for banning short speculation in sovereign bond markets?
    Financial Stability Review, 2010, (14), 55-59 Downloads View citations (30)
  3. Presidential Address: Asset Price Dynamics with Slow‐Moving Capital
    Journal of Finance, 2010, 65, (4), 1237-1267 Downloads View citations (249)
  4. The Failure Mechanics of Dealer Banks
    Ekonomicheskaya Politika / Economic Policy, 2010, 4, 131-153 Downloads View citations (83)
    Also in Journal of Economic Perspectives, 2010, 24, (1), 51-72 (2010) Downloads View citations (88)

    See also Working Paper The failure mechanics of dealer banks, BIS Working Papers (2010) Downloads View citations (88) (2010)
  5. The Squam Lake Report: Fixing the Financial System
    Journal of Applied Corporate Finance, 2010, 22, (3), 8-21 Downloads View citations (120)
    See also Book The Squam Lake Report: Fixing the Financial System, Economics Books, 2010 (2010) View citations (110) (2010)
  6. The relative contributions of private information sharing and public information releases to information aggregation
    Journal of Economic Theory, 2010, 145, (4), 1574-1601 Downloads View citations (8)
    See also Working Paper The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation, Research Papers (2009) Downloads View citations (1) (2009)

2009

  1. Frailty Correlated Default
    Journal of Finance, 2009, 64, (5), 2089-2123 Downloads View citations (218)
    See also Working Paper Frailty Correlated Default, Swiss Finance Institute Research Paper Series (2008) Downloads View citations (4) (2008)
  2. Information Percolation With Equilibrium Search Dynamics
    Econometrica, 2009, 77, (5), 1513-1574 Downloads View citations (82)
    See also Working Paper Information Percolation with Equilibrium Search Dynamics, Swiss Finance Institute Research Paper Series (2009) Downloads View citations (87) (2009)

2007

  1. Common Failings: How Corporate Defaults Are Correlated
    Journal of Finance, 2007, 62, (1), 93-117 Downloads View citations (256)
    See also Working Paper Common Failings: How Corporate Defaults are Correlated, NBER Working Papers (2006) Downloads View citations (7) (2006)
  2. Information Percolation in Large Markets
    American Economic Review, 2007, 97, (2), 203-209 Downloads View citations (70)
  3. Multi-period corporate default prediction with stochastic covariates
    Journal of Financial Economics, 2007, 83, (3), 635-665 Downloads View citations (326)
    See also Working Paper Multi-Period Corporate Default Prediction With Stochastic Covariates, NBER Working Papers (2006) Downloads View citations (8) (2006)
  4. Systemic Illiquidity in the Federal Funds Market
    American Economic Review, 2007, 97, (2), 221-225 Downloads View citations (108)
  5. Valuation in Over-the-Counter Markets
    The Review of Financial Studies, 2007, 20, (6), 1865-1900 Downloads View citations (201)
    See also Working Paper Valuation in Over-the-Counter Markets, CEPR Discussion Papers (2006) Downloads View citations (2) (2006)

2005

  1. Credit risk modeling with affine processes
    Journal of Banking & Finance, 2005, 29, (11), 2751-2802 Downloads View citations (27)
  2. Over-the-Counter Markets
    Econometrica, 2005, 73, (6), 1815-1847 Downloads View citations (368)
    See also Working Paper Over-the-Counter Markets, NBER Working Papers (2004) Downloads View citations (10) (2004)
    Chapter Over-The-Counter Markets, Introductory Chapters, 2012 (2012) Downloads (2012)

2004

  1. Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals
    Econometrica, 2004, 72, (6), 1773-1808 Downloads View citations (27)
  2. Large portfolio losses
    Finance and Stochastics, 2004, 8, (1), 3-16 Downloads View citations (30)
    See also Working Paper Large Portfolio Losses, NBER Working Papers (2002) Downloads (2002)

2003

  1. Market Pricing of Deposit Insurance
    Journal of Financial Services Research, 2003, 24, (2), 93-119 Downloads View citations (32)
    See also Chapter Market Pricing of Deposit Insurance, World Scientific Book Chapters, 2008, 551-577 (2008) Downloads (2008)
  2. Modeling Sovereign Yield Spreads: A Case Study of Russian Debt
    Journal of Finance, 2003, 58, (1), 119-159 Downloads View citations (193)

2002

  1. Securities lending, shorting, and pricing
    Journal of Financial Economics, 2002, 66, (2-3), 307-339 Downloads View citations (249)
  2. Universal state prices and asymmetric information
    Journal of Mathematical Economics, 2002, 38, (1-2), 191-196 Downloads

2001

  1. Analytical value-at-risk with jumps and credit risk
    Finance and Stochastics, 2001, 5, (2), 155-180 Downloads View citations (53)
  2. Term Structures of Credit Spreads with Incomplete Accounting Information
    Econometrica, 2001, 69, (3), 633-64 View citations (391)

2000

  1. Transform Analysis and Asset Pricing for Affine Jump-Diffusions
    Econometrica, 2000, 68, (6), 1343-1376 View citations (1075)
    See also Working Paper Transform Analysis and Asset Pricing for Affine Jump-Diffusions, NBER Working Papers (1999) Downloads View citations (7) (1999)

1999

  1. A Liquidity-Based Model of Security Design
    Econometrica, 1999, 67, (1), 65-100 View citations (286)
  2. Modeling Term Structures of Defaultable Bonds
    The Review of Financial Studies, 1999, 12, (4), 687-720 View citations (820)

1997

  1. An Econometric Model of the Term Structure of Interest-Rate Swap Yields
    Journal of Finance, 1997, 52, (4), 1287-1321 Downloads View citations (283)
  2. Hedging in incomplete markets with HARA utility
    Journal of Economic Dynamics and Control, 1997, 21, (4-5), 753-782 Downloads View citations (86)

1996

  1. A YIELD‐FACTOR MODEL OF INTEREST RATES
    Mathematical Finance, 1996, 6, (4), 379-406 Downloads View citations (745)
  2. A term structure model with preferences for the timing of resolution of uncertainty (*)
    Economic Theory, 1996, 9, (1), 3-22
  3. Asset Pricing with Heterogeneous Consumers
    Journal of Political Economy, 1996, 104, (2), 219-40 Downloads View citations (678)
  4. Incomplete security markets with infinitely many states: An introduction
    Journal of Mathematical Economics, 1996, 26, (1), 1-8 Downloads View citations (5)
  5. Special Repo Rates
    Journal of Finance, 1996, 51, (2), 493-526 Downloads View citations (188)
  6. Swap Rates and Credit Quality
    Journal of Finance, 1996, 51, (3), 921-49 Downloads View citations (207)

1995

  1. Corporate Incentives for Hedging and Hedge Accounting
    The Review of Financial Studies, 1995, 8, (3), 743-71 Downloads View citations (216)
  2. Financial Market Innovation and Security Design: An Introduction
    Journal of Economic Theory, 1995, 65, (1), 1-42 Downloads View citations (124)

1994

  1. Continuous-time security pricing: A utility gradient approach
    Journal of Mathematical Economics, 1994, 23, (2), 107-131 Downloads View citations (83)
  2. Efficient and equilibrium allocations with stochastic differential utility
    Journal of Mathematical Economics, 1994, 23, (2), 133-146 Downloads View citations (12)
  3. Stationary Markov Equilibria
    Econometrica, 1994, 62, (4), 745-81 Downloads View citations (128)

1993

  1. Optimal Investment With Undiversifiable Income Risk
    Mathematical Finance, 1993, 3, (2), 135-148 Downloads View citations (32)
  2. Simulated Moments Estimation of Markov Models of Asset Prices
    Econometrica, 1993, 61, (4), 929-52 Downloads View citations (475)
    See also Working Paper Simulated Moments Estimation of Markov Models of Asset Prices, NBER Technical Working Papers (1990) Downloads View citations (11) (1990)

1992

  1. Asset Pricing with Stochastic Differential Utility
    The Review of Financial Studies, 1992, 5, (3), 411-36 Downloads View citations (353)
  2. From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1
    Mathematical Finance, 1992, 2, (1), 1-15 Downloads View citations (29)
  3. PDE solutions of stochastic differential utility
    Journal of Mathematical Economics, 1992, 21, (6), 577-606 Downloads View citations (248)
  4. Pricing continuously resettled contingent claims
    Journal of Economic Dynamics and Control, 1992, 16, (3-4), 561-573 Downloads View citations (18)
  5. Stochastic Differential Utility
    Econometrica, 1992, 60, (2), 353-94 Downloads View citations (392)

1991

  1. Corporate financial hedging with proprietary information
    Journal of Economic Theory, 1991, 53, (2), 261-286 Downloads View citations (85)

1990

  1. Optimal hedging and equilibrium in a dynamic futures market
    Journal of Economic Dynamics and Control, 1990, 14, (1), 21-33 Downloads View citations (32)
  2. The New Palgrave: Finance: A book review
    Journal of Monetary Economics, 1990, 25, (3), 477-480 Downloads
  3. Transactions costs and portfolio choice in a discrete-continuous-time setting
    Journal of Economic Dynamics and Control, 1990, 14, (1), 35-51 Downloads View citations (60)

1989

  1. Arrow and General Equilibrium Theory
    Journal of Economic Literature, 1989, 27, (2), 565-98 Downloads View citations (11)
  2. The Consumption-Based Capital Asset Pricing Model
    Econometrica, 1989, 57, (6), 1279-97 Downloads View citations (73)
    See also Working Paper The Consumption-Based Capital Asset Pricing Model, Discussion Papers (1988) View citations (10) (1988)

1988

  1. An extension of the Black-Scholes model of security valuation
    Journal of Economic Theory, 1988, 46, (1), 194-204 Downloads View citations (7)

1987

  1. Stochastic equilibria with incomplete financial markets
    Journal of Economic Theory, 1987, 41, (2), 405-416 Downloads View citations (30)

1986

  1. Competitive equilibria in general choice spaces
    Journal of Mathematical Economics, 1986, 15, (1), 1-23 Downloads View citations (3)
  2. Equilibrium in incomplete markets: II: Generic existence in stochastic economies
    Journal of Mathematical Economics, 1986, 15, (3), 199-216 Downloads View citations (73)
  3. Multiperiod security markets with differential information: Martingales and resolution times
    Journal of Mathematical Economics, 1986, 15, (3), 283-303 Downloads View citations (31)
  4. Stochastic Equilibria: Existence, Spanning Number, and the 'No Expected Financial Gain from Trade' Hypothesis
    Econometrica, 1986, 54, (5), 1161-83 Downloads View citations (23)

1985

  1. Equilibrium in incomplete markets: I: A basic model of generic existence
    Journal of Mathematical Economics, 1985, 14, (3), 285-300 Downloads View citations (200)
  2. Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities
    Econometrica, 1985, 53, (6), 1337-56 Downloads View citations (139)
    See also Chapter IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES, World Scientific Book Chapters, 2005, 97-127 (2005) Downloads (2005)

Books

2012

  1. Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets
    Economics Books, Princeton University Press View citations (78)

2011

  1. How Big Banks Fail and What to Do about It
    Economics Books, Princeton University Press View citations (18)
  2. Measuring Corporate Default Risk
    OUP Catalogue, Oxford University Press View citations (17)

2010

  1. The Squam Lake Report: Fixing the Financial System
    Economics Books, Princeton University Press View citations (110)
    See also Journal Article The Squam Lake Report: Fixing the Financial System, Journal of Applied Corporate Finance, Morgan Stanley (2010) Downloads View citations (120) (2010)

Chapters

2015

  1. Resolution of Failing Central Counterparties
    Chapter 4 in Making Failure Feasible, 2015 View citations (16)

2014

  1. Financial Market Infrastructure: Too Important to Fail
    Chapter 11 in Across the Great Divide: New Perspectives on the Financial Crisis, 2014 Downloads View citations (1)
    See also Working Paper Financial Market Infrastructure: Too Important to Fail, Hoover Institution, Stanford University (2014) Downloads View citations (1) (2014)

2013

  1. Systemic Risk Exposures: A 10-by-10-by-10 Approach
    A chapter in Risk Topography: Systemic Risk and Macro Modeling, 2013, pp 47-56 Downloads
    See also Working Paper Systemic Risk Exposures: A 10-by-10-by-10 Approach, National Bureau of Economic Research, Inc (2011) Downloads View citations (13) (2011)

2012

  1. A Dialogue on the Costs and Benefits of Automatic Stays for Derivatives and Repurchase Agreements
    Chapter 5 in Bankruptcy Not Bailout, 2012 Downloads View citations (21)
  2. Over-The-Counter Markets
    A chapter in Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets, 2012 Downloads
    See also Working Paper Over-the-Counter Markets, National Bureau of Economic Research, Inc (2004) Downloads View citations (10) (2004)
    Journal Article Over-the-Counter Markets, Econometric Society (2005) Downloads View citations (368) (2005)

2011

  1. Comment on "Risk Topography"
    A chapter in NBER Macroeconomics Annual 2011, Volume 26, 2011, pp 177-183 Downloads
  2. Introduction
    A chapter in How Big Banks Fail and What to Do about It, 2011 Downloads

2010

  1. A Contractual Approach to Restructuring Financial Institutions
    Chapter 6 in Ending Government Bailouts As We Know Them, 2010 Downloads View citations (4)
  2. Introduction
    A chapter in The Squam Lake Report: Fixing the Financial System, 2010 Downloads

2009

  1. Policy Issues Facing the Market for Credit Derivatives
    Chapter 8 in The Road Ahead for the Fed, 2009 Downloads View citations (2)

2008

  1. Market Pricing of Deposit Insurance
    Chapter 22 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 551-577 Downloads
    See also Journal Article Market Pricing of Deposit Insurance, Springer (2003) Downloads View citations (32) (2003)

2005

  1. IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES
    Chapter 4 in Theory Of Valuation, 2005, pp 97-127 Downloads
    See also Journal Article Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities, Econometric Society (1985) Downloads View citations (139) (1985)

2003

  1. Intertemporal asset pricing theory
    Chapter 11 in Handbook of the Economics of Finance, 2003, vol. 1, Part 2, pp 639-742 Downloads View citations (3)

1991

  1. The theory of value in security markets
    Chapter 31 in Handbook of Mathematical Economics, 1991, vol. 4, pp 1615-1682 Downloads View citations (5)

1990

  1. Money in general equilibrium theory
    Chapter 03 in Handbook of Monetary Economics, 1990, vol. 1, pp 81-100 Downloads View citations (5)
 
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