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 2024-12-06. 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 View citations (5)
   Also in Staff Reports, Federal Reserve Bank of New York (2022) View citations (2)
   Research Papers, Stanford University, Graduate School of Business (2022) View citations (4)
   See also Journal Article Bank Funding Risk, Reference Rates, and Credit Supply, Journal of Finance, American Finance Association (2025) View citations (1) (2025)
2. Dealer Capacity and U.S. Treasury Market Functionality
   Staff Reports, Federal Reserve Bank of New York View citations (3)
   Also in BIS Working Papers, Bank for International Settlements (2023) View citations (4)
3. How the LIBOR Transition Affects the Supply of Revolving Credit
   Liberty Street Economics, Federal Reserve Bank of New York
4. Market-Function Asset Purchases
   Staff Reports, Federal Reserve Bank of New York View citations (5)

2022

5. How Abundant Are Reserves? Evidence from the Wholesale Payment System
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
   Also in Staff Reports, Federal Reserve Bank of New York (2022) View citations (2)
   Research Papers, Stanford University, Graduate School of Business (2022) View citations (4)
   BIS Working Papers, Bank for International Settlements (2022) View citations (4)

2021

6. Reserves Were Not So Ample After All
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (16)
   Also in Research Papers, Stanford University, Graduate School of Business (2021) View citations (18)
   Staff Reports, Federal Reserve Bank of New York (2021) View citations (7)
   See also Journal Article Reserves Were Not So Ample After All*, The Quarterly Journal of Economics, President and Fellows of Harvard College (2025) (2025)
7. What Quantity of Reserves Is Sufficient?
   Liberty Street Economics, Federal Reserve Bank of New York

2020

8. Across-the-Curve Credit Spread Indices
   Research Papers, Stanford University, Graduate School of Business View citations (8)
   See also Journal Article Across‐the‐Curve Credit Spread Indices, Financial Markets, Institutions & Instruments, John Wiley & Sons (2023) (2023)
9. Interoperable Payment Systems and the Role of Central Bank Digital Currencies
   Research Papers, Stanford University, Graduate School of Business View citations (2)
10. Market Fragmentation
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
    Also in Research Papers, Stanford University, Graduate School of Business (2020) View citations (2)
    See also Journal Article Market Fragmentation, American Economic Review, American Economic Association (2021) View citations (14) (2021)

2018

11. Augmenting Markets with Mechanisms
    Research Papers, Stanford University, Graduate School of Business View citations (2)
    Also in Research Papers, Stanford University, Graduate School of Business (2017) View citations (1)
    NBER Working Papers, National Bureau of Economic Research, Inc (2017) View citations (1)
    See also Journal Article Augmenting Markets with Mechanisms, The Review of Economic Studies, Review of Economic Studies Ltd (2021) View citations (2) (2021)
12. Compression Auctions With an Application to LIBOR-SOFR Swap Conversion
    Research Papers, Stanford University, Graduate School of Business View citations (3)
13. Corporate Credit Risk Premia
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (34)
    Also in Research Papers, Stanford University, Graduate School of Business (2017) View citations (5)
    See also Journal Article Corporate Credit Risk Premia, Review of Finance, European Finance Association (2018) View citations (15) (2018)
14. Funding Value Adjustments
    Research Papers, Stanford University, Graduate School of Business View citations (5)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2017) View citations (8)
    See also Journal Article Funding Value Adjustments, Journal of Finance, American Finance Association (2019) View citations (76) (2019)

2017

15. Dynamic Directed Random Matching
    Research Papers, Stanford University, Graduate School of Business
    Also in Research Papers, Stanford University, Graduate School of Business (2015)
    NBER Working Papers, National Bureau of Economic Research, Inc (2015)
    See also Journal Article Dynamic directed random matching, Journal of Economic Theory, Elsevier (2018) View citations (7) (2018)

2016

16. Financial Regulatory Reform after the Crisis: An Assessment
    Research Papers, Stanford University, Graduate School of Business View citations (20)
    See also Journal Article Financial Regulatory Reform After the Crisis: An Assessment, Management Science, INFORMS (2018) View citations (31) (2018)
17. 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 Size Discovery, The Review of Financial Studies, Society for Financial Studies (2017) (2017)

2015

18. Benchmarks in Search Markets
    2015 Meeting Papers, Society for Economic Dynamics View citations (1)
    Also in Research Papers, Stanford University, Graduate School of Business (2014) View citations (9)
    NBER Working Papers, National Bureau of Economic Research, Inc (2014) View citations (22)
    See also Journal Article Benchmarks in Search Markets, Journal of Finance, American Finance Association (2017) View citations (41) (2017)

2014

19. Central Clearing and Collateral Demand
    Economics Working Papers, Hoover Institution, Stanford University View citations (27)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2014) View citations (17)
    Working Paper Series, European Central Bank (2014) View citations (20)
    See also Journal Article Central clearing and collateral demand, Journal of Financial Economics, Elsevier (2015) View citations (144) (2015)
20. Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs
    Economics Working Papers, Hoover Institution, Stanford University 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) View citations (15) (2014)
21. Financial Market Infrastructure: Too Important to Fail
    Economics Working Papers, Hoover Institution, Stanford University View citations (3)
    See also Chapter Financial Market Infrastructure: Too Important to Fail, Book Chapters, Hoover Institution, Stanford University (2014) View citations (1) (2014)
22. Reforming LIBOR and Other Financial-Market Benchmarks
    Research Papers, Stanford University, Graduate School of Business View citations (7)
    See also Journal Article Reforming LIBOR and Other Financial Market Benchmarks, Journal of Economic Perspectives, American Economic Association (2015) View citations (59) (2015)
23. Resolution of Failing Central Counterparties
    Research Papers, Stanford University, Graduate School of Business View citations (17)
    See also Chapter Resolution of Failing Central Counterparties, Book Chapters, Hoover Institution, Stanford University (2015) View citations (16) (2015)
24. Robust Benchmark Design
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (12)
    Also in Research Papers, Stanford University, Graduate School of Business (2014) View citations (14)
    See also Journal Article Robust benchmark design, Journal of Financial Economics, Elsevier (2021) View citations (8) (2021)

2013

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

2011

26. Capital Mobility and Asset Pricing
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (13)
    Also in 2009 Meeting Papers, Society for Economic Dynamics (2009) View citations (3)
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science (2009) View citations (11)
    See also Journal Article Capital Mobility and Asset Pricing, Econometrica, Econometric Society (2012) View citations (36) (2012)
27. 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 (17)
    See also Journal Article Information percolation in segmented markets, Journal of Economic Theory, Elsevier (2014) View citations (34) (2014)
28. 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 Systemic Risk Exposures: A 10-by-10-by-10 Approach, NBER Chapters, National Bureau of Economic Research, Inc (2013) (2013)
29. The Exact Law of Large Numbers for Independent Random Matching
    NBER Working Papers, National Bureau of Economic Research, Inc
    Also in Levine's Bibliography, UCLA Department of Economics (2004) View citations (5)
    See also Journal Article The exact law of large numbers for independent random matching, Journal of Economic Theory, Elsevier (2012) View citations (39) (2012)

2010

30. Policy Perspectives on OTC Derivatives Market Infrastructure
    Research Papers, Stanford University, Graduate School of Business View citations (40)
    Also in Staff Reports, Federal Reserve Bank of New York (2010) View citations (24)
31. The failure mechanics of dealer banks
    BIS Working Papers, Bank for International Settlements View citations (90)
    See also Journal Article The Failure Mechanics of Dealer Banks, Journal of Economic Perspectives, American Economic Association (2010) View citations (89) (2010)

2009

32. Information Percolation with Equilibrium Search Dynamics
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (88)
    See also Journal Article Information Percolation With Equilibrium Search Dynamics, Econometrica, Econometric Society (2009) View citations (83) (2009)
33. 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 The relative contributions of private information sharing and public information releases to information aggregation, Journal of Economic Theory, Elsevier (2010) View citations (9) (2010)

2008

34. Frailty Correlated Default
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (4)
    See also Journal Article Frailty Correlated Default, Journal of Finance, American Finance Association (2009) View citations (224) (2009)
35. Information Percolation
    2008 Meeting Papers, Society for Economic Dynamics
    See also Journal Article Information Percolation, American Economic Journal: Microeconomics, American Economic Association (2010) View citations (22) (2010)
36. Innovations in credit risk transfer: implications for financial stability
    BIS Working Papers, Bank for International Settlements View citations (83)

2007

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

2006

39. Common Failings: How Corporate Defaults are Correlated
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
    See also Journal Article Common Failings: How Corporate Defaults Are Correlated, Journal of Finance, American Finance Association (2007) View citations (266) (2007)
40. Multi-Period Corporate Default Prediction With Stochastic Covariates
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)
    Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2005) View citations (13)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2005) View citations (9)
    See also Journal Article Multi-period corporate default prediction with stochastic covariates, Journal of Financial Economics, Elsevier (2007) View citations (338) (2007)
41. Valuation in Over-the-Counter Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2006) View citations (2)
    See also Journal Article Valuation in Over-the-Counter Markets, The Review of Financial Studies, Society for Financial Studies (2007) View citations (209) (2007)

2005

42. Measuring default risk premia from default swap rates and EDFs
    BIS Working Papers, Bank for International Settlements View citations (117)
    Also in GSIA Working Papers, Carnegie Mellon University, Tepper School of Business View citations (9)

2004

43. Liquidity Premia in Dynamic Bargaining Markets
    Econometric Society 2004 North American Winter Meetings, Econometric Society
44. Multi-Period Corporate Failure Prediction With Stochastic Covariates
    Econometric Society 2004 Far Eastern Meetings, Econometric Society View citations (14)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) View citations (19)
    Econometric Society 2004 Far Eastern Meetings, Econometric Society (2004) View citations (21)
45. Over-the-Counter Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (10)
    See also Chapter Over-The-Counter Markets, Introductory Chapters, Princeton University Press (2012) (2012)
    Journal Article Over-the-Counter Markets, Econometrica, Econometric Society (2005) View citations (394) (2005)
46. 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

47. Affine Processes and Application in Finance
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (11)
48. Large Portfolio Losses
    NBER Working Papers, National Bureau of Economic Research, Inc
    See also Journal Article Large portfolio losses, Finance and Stochastics, Springer (2004) View citations (30) (2004)

2001

49. Liquidation Risk
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering
    See also Journal Article Liquidation Risk, Financial Analysts Journal, Taylor & Francis Journals (2003) (2003)

1999

50. 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 Transform Analysis and Asset Pricing for Affine Jump-Diffusions, Econometrica, Econometric Society (2000) View citations (1113) (2000)

1990

51. Simulated Moments Estimation of Markov Models of Asset Prices
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (12)
    See also Journal Article Simulated Moments Estimation of Markov Models of Asset Prices, Econometrica, Econometric Society (1993) View citations (480) (1993)

1988

52. 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) View citations (73) (1989)

Journal Articles

2025

1. Bank Funding Risk, Reference Rates, and Credit Supply
   Journal of Finance, 2025, 80, (1), 5-56 View citations (1)
   See also Working Paper Bank Funding Risk, Reference Rates, and Credit Supply, NBER Working Papers (2023) View citations (5) (2023)
2. Reserves Were Not So Ample After All*
   The Quarterly Journal of Economics, 2025, 140, (1), 239-281
   See also Working Paper Reserves Were Not So Ample After All, NBER Working Papers (2021) View citations (16) (2021)
3. The Decline of Too Big to Fail
   American Economic Review, 2025, 115, (3), 945-74

2023

4. Across‐the‐Curve Credit Spread Indices
   Financial Markets, Institutions & Instruments, 2023, 32, (3), 115-130
   See also Working Paper Across-the-Curve Credit Spread Indices, Research Papers (2020) View citations (8) (2020)
5. Jackson Hole 2023 - Structural Changes in Financial Markets and the Conduct of Monetary Policy
   Proceedings - Economic Policy Symposium - Jackson Hole, 2023

2021

6. Augmenting Markets with Mechanisms
   (Optimal Execution of Portfolio Transactions)
   The Review of Economic Studies, 2021, 88, (4), 1665-1719 View citations (2)
   See also Working Paper Augmenting Markets with Mechanisms, Research Papers (2018) View citations (2) (2018)
7. Market Fragmentation
   American Economic Review, 2021, 111, (7), 2247-74 View citations (14)
   See also Working Paper Market Fragmentation, NBER Working Papers (2020) View citations (2) (2020)
8. Robust benchmark design
   Journal of Financial Economics, 2021, 142, (2), 775-802 View citations (8)
   See also Working Paper Robust Benchmark Design, NBER Working Papers (2014) View citations (12) (2014)

2019

9. Funding Value Adjustments
   Journal of Finance, 2019, 74, (1), 145-192 View citations (76)
   See also Working Paper Funding Value Adjustments, Research Papers (2018) View citations (5) (2018)
10. Prone to Fail: The Pre-crisis Financial System
    Journal of Economic Perspectives, 2019, 33, (1), 81-106 View citations (17)

2018

11. Corporate Credit Risk Premia
    (Fallen angels and price pressure)
    Review of Finance, 2018, 22, (2), 419-454 View citations (15)
    See also Working Paper Corporate Credit Risk Premia, NBER Working Papers (2018) View citations (34) (2018)
12. Dynamic directed random matching
    Journal of Economic Theory, 2018, 174, (C), 124-183 View citations (7)
    See also Working Paper Dynamic Directed Random Matching, Research Papers (2017) (2017)
13. Financial Regulatory Reform After the Crisis: An Assessment
    Management Science, 2018, 64, (10), 4835-4857 View citations (31)
    See also Working Paper Financial Regulatory Reform after the Crisis: An Assessment, Research Papers (2016) View citations (20) (2016)

2017

14. Benchmarks in Search Markets
    Journal of Finance, 2017, 72, (5), 1983-2044 View citations (41)
    See also Working Paper Benchmarks in Search Markets, 2015 Meeting Papers (2015) View citations (1) (2015)
15. Size Discovery
    The Review of Financial Studies, 2017, 30, (4), 1095-1150
    See also Working Paper Size Discovery, Research Papers (2016) View citations (2) (2016)

2016

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

2015

17. Central clearing and collateral demand
    Journal of Financial Economics, 2015, 116, (2), 237-256 View citations (144)
    See also Working Paper Central Clearing and Collateral Demand, Economics Working Papers (2014) View citations (27) (2014)
18. Reforming LIBOR and Other Financial Market Benchmarks
    Journal of Economic Perspectives, 2015, 29, (2), 191-212 View citations (59)
    See also Working Paper Reforming LIBOR and Other Financial-Market Benchmarks, Research Papers (2014) View citations (7) (2014)
19. Reprint of: Information percolation in segmented markets
    Journal of Economic Theory, 2015, 158, (PB), 838-869 View citations (8)

2014

20. 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 (15)
    See also Working Paper Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs, Economics Working Papers (2014) View citations (15) (2014)
21. Information percolation in segmented markets
    Journal of Economic Theory, 2014, 153, (C), 1-32 View citations (34)
    See also Working Paper Information Percolation in Segmented Markets, NBER Working Papers (2011) View citations (7) (2011)

2013

22. 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)
23. Replumbing Our Financial System: Uneven Progress
    International Journal of Central Banking, 2013, 9, (1), 251-280 View citations (13)

2012

24. Capital Mobility and Asset Pricing
    Econometrica, 2012, 80, (6), 2469-2509 View citations (36)
    See also Working Paper Capital Mobility and Asset Pricing, NBER Working Papers (2011) View citations (13) (2011)
25. Comment
    NBER Macroeconomics Annual, 2012, 26, (1), 177 - 183
26. Explaining the U.S. tri-party repo market
    Economic Policy Review, 2012, 18, (Nov), 17-28 View citations (1)
27. The exact law of large numbers for independent random matching
    Journal of Economic Theory, 2012, 147, (3), 1105-1139 View citations (39)
    See also Working Paper The Exact Law of Large Numbers for Independent Random Matching, NBER Working Papers (2011) (2011)

2011

28. Does a Central Clearing Counterparty Reduce Counterparty Risk?
    The Review of Asset Pricing Studies, 2011, 1, (1), 74-95 View citations (88)

2010

29. Information Percolation
    American Economic Journal: Microeconomics, 2010, 2, (1), 100-111 View citations (22)
    See also Working Paper Information Percolation, 2008 Meeting Papers (2008) (2008)
30. Is there a case for banning short speculation in sovereign bond markets?
    Financial Stability Review, 2010, (14), 55-59 View citations (32)
31. Presidential Address: Asset Price Dynamics with Slow‐Moving Capital
    Journal of Finance, 2010, 65, (4), 1237-1267 View citations (263)
32. The Failure Mechanics of Dealer Banks
    Journal of Economic Perspectives, 2010, 24, (1), 51-72 View citations (89)
    See also Working Paper The failure mechanics of dealer banks, BIS Working Papers (2010) View citations (90) (2010)
33. The Squam Lake Report: Fixing the Financial System
    Journal of Applied Corporate Finance, 2010, 22, (3), 8-21 View citations (120)
    See also Book The Squam Lake Report: Fixing the Financial System, Economics Books, 2010 (2010) View citations (110) (2010)
34. 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 (9)
    See also Working Paper The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation, Research Papers (2009) View citations (1) (2009)

2009

35. Frailty Correlated Default
    Journal of Finance, 2009, 64, (5), 2089-2123 View citations (224)
    See also Working Paper Frailty Correlated Default, Swiss Finance Institute Research Paper Series (2008) View citations (4) (2008)
36. Information Percolation With Equilibrium Search Dynamics
    Econometrica, 2009, 77, (5), 1513-1574 View citations (83)
    See also Working Paper Information Percolation with Equilibrium Search Dynamics, Swiss Finance Institute Research Paper Series (2009) View citations (88) (2009)

2007

37. Common Failings: How Corporate Defaults Are Correlated
    Journal of Finance, 2007, 62, (1), 93-117 View citations (266)
    See also Working Paper Common Failings: How Corporate Defaults are Correlated, NBER Working Papers (2006) View citations (7) (2006)
38. Information Percolation in Large Markets
    American Economic Review, 2007, 97, (2), 203-209 View citations (70)
39. Multi-period corporate default prediction with stochastic covariates
    Journal of Financial Economics, 2007, 83, (3), 635-665 View citations (338)
    See also Working Paper Multi-Period Corporate Default Prediction With Stochastic Covariates, NBER Working Papers (2006) View citations (8) (2006)
40. Systemic Illiquidity in the Federal Funds Market
    American Economic Review, 2007, 97, (2), 221-225 View citations (109)
41. Valuation in Over-the-Counter Markets
    The Review of Financial Studies, 2007, 20, (6), 1865-1900 View citations (209)
    See also Working Paper Valuation in Over-the-Counter Markets, NBER Working Papers (2006) View citations (4) (2006)

2005

42. Credit risk modeling with affine processes
    Journal of Banking & Finance, 2005, 29, (11), 2751-2802 View citations (30)
43. Over-the-Counter Markets
    Econometrica, 2005, 73, (6), 1815-1847 View citations (394)
    See also Chapter Over-The-Counter Markets, Introductory Chapters, 2012 (2012) (2012)
    Working Paper Over-the-Counter Markets, NBER Working Papers (2004) View citations (10) (2004)

2004

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

2003

46. Liquidation Risk
    Financial Analysts Journal, 2003, 59, (3), 42-51
    See also Working Paper Liquidation Risk, FAME Research Paper Series (2001) (2001)
47. Market Pricing of Deposit Insurance
    Journal of Financial Services Research, 2003, 24, (2), 93-119 View citations (33)
    See also Chapter Market Pricing of Deposit Insurance, World Scientific Book Chapters, 2008, 551-577 (2008) (2008)
48. Modeling Sovereign Yield Spreads: A Case Study of Russian Debt
    Journal of Finance, 2003, 58, (1), 119-159 View citations (197)

2002

49. Securities lending, shorting, and pricing
    Journal of Financial Economics, 2002, 66, (2-3), 307-339 View citations (255)
50. Universal state prices and asymmetric information
    Journal of Mathematical Economics, 2002, 38, (1-2), 191-196

2001

51. Analytical value-at-risk with jumps and credit risk
    Finance and Stochastics, 2001, 5, (2), 155-180 View citations (54)
52. Floating–Fixed Credit Spreads
    Financial Analysts Journal, 2001, 57, (3), 76-87 View citations (5)
53. Risk and Valuation of Collateralized Debt Obligations
    Financial Analysts Journal, 2001, 57, (1), 41-59 View citations (2)
54. Term Structures of Credit Spreads with Incomplete Accounting Information
    Econometrica, 2001, 69, (3), 633-64 View citations (401)

2000

55. Transform Analysis and Asset Pricing for Affine Jump-Diffusions
    Econometrica, 2000, 68, (6), 1343-1376 View citations (1113)
    See also Working Paper Transform Analysis and Asset Pricing for Affine Jump-Diffusions, NBER Working Papers (1999) View citations (7) (1999)

1999

56. A Liquidity-Based Model of Security Design
    Econometrica, 1999, 67, (1), 65-100 View citations (295)
57. Credit Swap Valuation
    Financial Analysts Journal, 1999, 55, (1), 73-87 View citations (37)
58. Modeling Term Structures of Defaultable Bonds
    The Review of Financial Studies, 1999, 12, (4), 687-720 View citations (844)

1998

59. Black, Merton and Scholes — Their Central Contributions to Economics
    Scandinavian Journal of Economics, 1998, 100, (2), 411-424 View citations (4)

1997

60. An Econometric Model of the Term Structure of Interest-Rate Swap Yields
    Journal of Finance, 1997, 52, (4), 1287-1321 View citations (288)
61. Hedging in incomplete markets with HARA utility
    Journal of Economic Dynamics and Control, 1997, 21, (4-5), 753-782 View citations (85)

1996

62. A YIELD‐FACTOR MODEL OF INTEREST RATES
    Mathematical Finance, 1996, 6, (4), 379-406 View citations (750)
63. A term structure model with preferences for the timing of resolution of uncertainty (*)
    Economic Theory, 1996, 9, (1), 3-22
64. Asset Pricing with Heterogeneous Consumers
    Journal of Political Economy, 1996, 104, (2), 219-40 View citations (690)
65. Incomplete security markets with infinitely many states: An introduction
    Journal of Mathematical Economics, 1996, 26, (1), 1-8 View citations (5)
66. Special Repo Rates
    Journal of Finance, 1996, 51, (2), 493-526 View citations (188)
67. Swap Rates and Credit Quality
    Journal of Finance, 1996, 51, (3), 921-49 View citations (208)

1995

68. Corporate Incentives for Hedging and Hedge Accounting
    The Review of Financial Studies, 1995, 8, (3), 743-71 View citations (227)
69. Financial Market Innovation and Security Design: An Introduction
    Journal of Economic Theory, 1995, 65, (1), 1-42 View citations (128)

1994

70. Continuous-time security pricing: A utility gradient approach
    Journal of Mathematical Economics, 1994, 23, (2), 107-131 View citations (84)
71. Efficient and equilibrium allocations with stochastic differential utility
    Journal of Mathematical Economics, 1994, 23, (2), 133-146 View citations (12)
72. Stationary Markov Equilibria
    Econometrica, 1994, 62, (4), 745-81 View citations (130)

1993

73. Optimal Investment With Undiversifiable Income Risk
    Mathematical Finance, 1993, 3, (2), 135-148 View citations (32)
74. Simulated Moments Estimation of Markov Models of Asset Prices
    Econometrica, 1993, 61, (4), 929-52 View citations (480)
    See also Working Paper Simulated Moments Estimation of Markov Models of Asset Prices, NBER Technical Working Papers (1990) View citations (12) (1990)

1992

75. Asset Pricing with Stochastic Differential Utility
    The Review of Financial Studies, 1992, 5, (3), 411-36 View citations (376)
76. From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1
    Mathematical Finance, 1992, 2, (1), 1-15 View citations (29)
77. PDE solutions of stochastic differential utility
    Journal of Mathematical Economics, 1992, 21, (6), 577-606 View citations (251)
78. Pricing continuously resettled contingent claims
    Journal of Economic Dynamics and Control, 1992, 16, (3-4), 561-573 View citations (19)
79. Stochastic Differential Utility
    Econometrica, 1992, 60, (2), 353-94 View citations (410)

1991

80. Corporate financial hedging with proprietary information
    Journal of Economic Theory, 1991, 53, (2), 261-286 View citations (86)

1990

81. Optimal hedging and equilibrium in a dynamic futures market
    Journal of Economic Dynamics and Control, 1990, 14, (1), 21-33 View citations (32)
82. The New Palgrave: Finance: A book review
    Journal of Monetary Economics, 1990, 25, (3), 477-480
83. Transactions costs and portfolio choice in a discrete-continuous-time setting
    Journal of Economic Dynamics and Control, 1990, 14, (1), 35-51 View citations (64)

1989

84. Arrow and General Equilibrium Theory
    Journal of Economic Literature, 1989, 27, (2), 565-98 View citations (12)
85. The Consumption-Based Capital Asset Pricing Model
    Econometrica, 1989, 57, (6), 1279-97 View citations (73)
    See also Working Paper The Consumption-Based Capital Asset Pricing Model, Discussion Papers (1988) View citations (10) (1988)

1988

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

1987

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

1986

88. Competitive equilibria in general choice spaces
    Journal of Mathematical Economics, 1986, 15, (1), 1-23 View citations (4)
89. Equilibrium in incomplete markets: II: Generic existence in stochastic economies
    Journal of Mathematical Economics, 1986, 15, (3), 199-216 View citations (73)
90. Multiperiod security markets with differential information: Martingales and resolution times
    Journal of Mathematical Economics, 1986, 15, (3), 283-303 View citations (33)
91. Stochastic Equilibria: Existence, Spanning Number, and the 'No Expected Financial Gain from Trade' Hypothesis
    Econometrica, 1986, 54, (5), 1161-83 View citations (24)

1985

92. Equilibrium in incomplete markets: I: A basic model of generic existence
    Journal of Mathematical Economics, 1985, 14, (3), 285-300 View citations (205)
93. Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities
    Econometrica, 1985, 53, (6), 1337-56 View citations (141)
    See also Chapter IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES, World Scientific Book Chapters, 2005, 97-127 (2005) (2005)

Books

2012

1. Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets
   Economics Books, Princeton University Press View citations (80)

2011

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

2010

4. 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) View citations (120) (2010)

Chapters

2023

1. Dollar Funding Stresses in ChinaChina
   Springer

2015

2. Resolution of Failing Central Counterparties
   Chapter 4 in Making Failure Feasible, 2015 View citations (16)
   See also Working Paper Resolution of Failing Central Counterparties, Stanford University, Graduate School of Business (2014) View citations (17) (2014)

2014

3. Financial Market Infrastructure: Too Important to Fail
   Chapter 11 in Across the Great Divide: New Perspectives on the Financial Crisis, 2014 View citations (1)
   See also Working Paper Financial Market Infrastructure: Too Important to Fail, Hoover Institution, Stanford University (2014) View citations (3) (2014)

2013

4. 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 Systemic Risk Exposures: A 10-by-10-by-10 Approach, National Bureau of Economic Research, Inc (2011) View citations (13) (2011)

2012

5. A Dialogue on the Costs and Benefits of Automatic Stays for Derivatives and Repurchase Agreements
   Chapter 5 in Bankruptcy Not Bailout, 2012 View citations (21)
6. Over-The-Counter Markets
   A chapter in Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets, 2012
   See also Journal Article Over-the-Counter Markets, Econometric Society (2005) View citations (394) (2005)
   Working Paper Over-the-Counter Markets, National Bureau of Economic Research, Inc (2004) View citations (10) (2004)

2011

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

2010

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

2009

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

2008

12. Market Pricing of Deposit Insurance
    Chapter 22 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 551-577
    See also Journal Article Market Pricing of Deposit Insurance, Springer (2003) View citations (33) (2003)

2005

13. 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 Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities, Econometric Society (1985) View citations (141) (1985)

2003

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

1991

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

1990

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