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 2018-06-04. Update your information in the RePEc Author Service.

Short-id: pdu341

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Working Papers

2022

1. How Abundant Are Reserves? Evidence from the Wholesale Payment System
   NBER Working Papers, National Bureau of Economic Research, Inc

2021

2. Reserves Were Not So Ample After All
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (10)

2020

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

2018

4. 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

5. Augmenting Markets with Mechanisms
   NBER Working Papers, National Bureau of Economic Research, Inc
   Also in Research Papers, Stanford University, Graduate School of Business (2017)
6. 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)
7. Funding Value Adjustments
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)

2016

8. Financial Regulatory Reform after the Crisis: An Assessment
   Research Papers, Stanford University, Graduate School of Business View citations (20)
9. 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

10. 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

11. 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)
12. 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)
13. Financial Market Infrastructure: Too Important to Fail
    Economics Working Papers, Hoover Institution, Stanford University
    See also Chapter (2014)
14. Robust Benchmark Design
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)

2013

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

2011

16. 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)
17. 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)
18. 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)
19. 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

20. 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)
21. 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

22. 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)
23. 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

24. Frailty Correlated Default
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (4)
    See also Journal Article in Journal of Finance (2009)
25. Information Percolation
    2008 Meeting Papers, Society for Economic Dynamics
    See also Journal Article in American Economic Journal: Microeconomics (2010)
26. Innovations in credit risk transfer: implications for financial stability
    BIS Working Papers, Bank for International Settlements View citations (73)

2007

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

2006

29. 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)
30. 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)
31. 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

32. 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

33. Liquidity Premia in Dynamic Bargaining Markets
    Econometric Society 2004 North American Winter Meetings, Econometric Society
34. 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)
35. 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)
36. 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

37. Affine Processes and Application in Finance
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (9)
38. Large Portfolio Losses
    NBER Working Papers, National Bureau of Economic Research, Inc
    See also Journal Article in Finance and Stochastics (2004)

2001

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

1999

40. 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

41. 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

42. 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

1. Dynamic directed random matching
   Journal of Economic Theory, 2018, 174, (C), 124-183 View citations (3)
   See also Working Paper (2017)

2017

2. Benchmarks in Search Markets
   Journal of Finance, 2017, 72, (5), 1983-2044 View citations (33)
   See also Working Paper (2015)
3. Size Discovery
   Review of Financial Studies, 2017, 30, (4), 1095-1150
   See also Working Paper (2016)

2016

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

2015

5. Central clearing and collateral demand
   Journal of Financial Economics, 2015, 116, (2), 237-256 View citations (118)
   See also Working Paper (2014)
6. Reforming LIBOR and Other Financial Market Benchmarks
   Journal of Economic Perspectives, 2015, 29, (2), 191-212 View citations (49)
7. Reprint of: Information percolation in segmented markets
   Journal of Economic Theory, 2015, 158, (PB), 838-869 View citations (8)

2014

8. 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)
9. Information percolation in segmented markets
   Journal of Economic Theory, 2014, 153, (C), 1-32 View citations (30)
   See also Working Paper (2011)

2013

10. 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)
11. Replumbing Our Financial System: Uneven Progress
    International Journal of Central Banking, 2013, 9, (1), 251-280 View citations (10)

2012

12. Capital Mobility and Asset Pricing
    Econometrica, 2012, 80, (6), 2469-2509 View citations (31)
    See also Working Paper (2011)
13. Comment
    NBER Macroeconomics Annual, 2012, 26, (1), 177 - 183
14. Explaining the U.S. tri-party repo market
    Economic Policy Review, 2012, 18, (Nov), 17-28 View citations (1)
15. 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

16. Does a Central Clearing Counterparty Reduce Counterparty Risk?
    The Review of Asset Pricing Studies, 2011, 1, (1), 74-95 View citations (77)

2010

17. Information Percolation
    American Economic Journal: Microeconomics, 2010, 2, (1), 100-111 View citations (20)
    See also Working Paper (2008)
18. Is there a case for banning short speculation in sovereign bond markets?
    Financial Stability Review, 2010, (14), 55-59 View citations (30)
19. Presidential Address: Asset Price Dynamics with Slow‐Moving Capital
    Journal of Finance, 2010, 65, (4), 1237-1267 View citations (226)
20. 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)
21. 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)
22. 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

23. Frailty Correlated Default
    Journal of Finance, 2009, 64, (5), 2089-2123 View citations (206)
    See also Working Paper (2008)
24. Information Percolation With Equilibrium Search Dynamics
    Econometrica, 2009, 77, (5), 1513-1574 View citations (76)
    See also Working Paper (2009)

2007

25. Common Failings: How Corporate Defaults Are Correlated
    Journal of Finance, 2007, 62, (1), 93-117 View citations (241)
    See also Working Paper (2006)
26. Information Percolation in Large Markets
    American Economic Review, 2007, 97, (2), 203-209 View citations (65)
27. 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)
28. Systemic Illiquidity in the Federal Funds Market
    American Economic Review, 2007, 97, (2), 221-225 View citations (103)
29. Valuation in Over-the-Counter Markets
    Review of Financial Studies, 2007, 20, (6), 1865-1900 View citations (189)
    See also Working Paper (2006)

2005

30. Credit risk modeling with affine processes
    Journal of Banking & Finance, 2005, 29, (11), 2751-2802 View citations (25)
31. Over-the-Counter Markets
    Econometrica, 2005, 73, (6), 1815-1847 View citations (336)
    See also Working Paper (2004)
    Chapter (2012)

2004

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

2003

34. Market Pricing of Deposit Insurance
    Journal of Financial Services Research, 2003, 24, (2), 93-119 View citations (30)
    See also Chapter (2008)
35. Modeling Sovereign Yield Spreads: A Case Study of Russian Debt
    Journal of Finance, 2003, 58, (1), 119-159 View citations (186)

2002

36. Securities lending, shorting, and pricing
    Journal of Financial Economics, 2002, 66, (2-3), 307-339 View citations (233)
37. Universal state prices and asymmetric information
    Journal of Mathematical Economics, 2002, 38, (1-2), 191-196

2001

38. Analytical value-at-risk with jumps and credit risk
    Finance and Stochastics, 2001, 5, (2), 155-180 View citations (50)
39. Term Structures of Credit Spreads with Incomplete Accounting Information
    Econometrica, 2001, 69, (3), 633-64 View citations (377)

2000

40. Transform Analysis and Asset Pricing for Affine Jump-Diffusions
    Econometrica, 2000, 68, (6), 1343-1376 View citations (1021)
    See also Working Paper (1999)

1999

41. A Liquidity-Based Model of Security Design
    Econometrica, 1999, 67, (1), 65-100 View citations (274)
42. Modeling Term Structures of Defaultable Bonds
    Review of Financial Studies, 1999, 12, (4), 687-720 View citations (791)

1997

43. An Econometric Model of the Term Structure of Interest-Rate Swap Yields
    Journal of Finance, 1997, 52, (4), 1287-1321 View citations (264)
44. Hedging in incomplete markets with HARA utility
    Journal of Economic Dynamics and Control, 1997, 21, (4-5), 753-782 View citations (83)

1996

45. A YIELD‐FACTOR MODEL OF INTEREST RATES
    Mathematical Finance, 1996, 6, (4), 379-406 View citations (723)
46. A term structure model with preferences for the timing of resolution of uncertainty (*)
    Economic Theory, 1996, 9, (1), 3-22
47. Asset Pricing with Heterogeneous Consumers
    Journal of Political Economy, 1996, 104, (2), 219-40 View citations (660)
48. Incomplete security markets with infinitely many states: An introduction
    Journal of Mathematical Economics, 1996, 26, (1), 1-8 View citations (4)
49. Special Repo Rates
    Journal of Finance, 1996, 51, (2), 493-526 View citations (185)
50. Swap Rates and Credit Quality
    Journal of Finance, 1996, 51, (3), 921-49 View citations (206)

1995

51. Corporate Incentives for Hedging and Hedge Accounting
    Review of Financial Studies, 1995, 8, (3), 743-71 View citations (200)
52. Financial Market Innovation and Security Design: An Introduction
    Journal of Economic Theory, 1995, 65, (1), 1-42 View citations (117)

1994

53. Continuous-time security pricing: A utility gradient approach
    Journal of Mathematical Economics, 1994, 23, (2), 107-131 View citations (81)
54. Efficient and equilibrium allocations with stochastic differential utility
    Journal of Mathematical Economics, 1994, 23, (2), 133-146 View citations (12)
55. Stationary Markov Equilibria
    Econometrica, 1994, 62, (4), 745-81 View citations (125)

1993

56. Optimal Investment With Undiversifiable Income Risk
    Mathematical Finance, 1993, 3, (2), 135-148 View citations (31)
57. Simulated Moments Estimation of Markov Models of Asset Prices
    Econometrica, 1993, 61, (4), 929-52 View citations (456)
    See also Working Paper (1990)

1992

58. Asset Pricing with Stochastic Differential Utility
    Review of Financial Studies, 1992, 5, (3), 411-36 View citations (326)
59. From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1
    Mathematical Finance, 1992, 2, (1), 1-15 View citations (28)
60. PDE solutions of stochastic differential utility
    Journal of Mathematical Economics, 1992, 21, (6), 577-606 View citations (236)
61. Pricing continuously resettled contingent claims
    Journal of Economic Dynamics and Control, 1992, 16, (3-4), 561-573 View citations (18)
62. Stochastic Differential Utility
    Econometrica, 1992, 60, (2), 353-94 View citations (367)

1991

63. Corporate financial hedging with proprietary information
    Journal of Economic Theory, 1991, 53, (2), 261-286 View citations (75)

1990

64. Optimal hedging and equilibrium in a dynamic futures market
    Journal of Economic Dynamics and Control, 1990, 14, (1), 21-33 View citations (30)
65. The New Palgrave: Finance: A book review
    Journal of Monetary Economics, 1990, 25, (3), 477-480
66. 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

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

1988

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

1987

70. Stochastic equilibria with incomplete financial markets
    Journal of Economic Theory, 1987, 41, (2), 405-416 View citations (29)

1986

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

1985

75. Equilibrium in incomplete markets: I: A basic model of generic existence
    Journal of Mathematical Economics, 1985, 14, (3), 285-300 View citations (200)
76. 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

1. Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets
   Economics Books, Princeton University Press View citations (76)

2011

2. How Big Banks Fail and What to Do about It
   Economics Books, Princeton University Press View citations (17)
3. Measuring Corporate Default Risk
   OUP Catalogue, Oxford University Press View citations (16)

2010

4. 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

1. Resolution of Failing Central Counterparties
   Chapter 4 in Making Failure Feasible, 2015 View citations (12)

2014

2. 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

3. 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

4. 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)
5. 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

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

2010

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

2009

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

2008

11. 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

12. 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

13. 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

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

1990

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