Access Statistics for Darrell Duffie

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A sampling-window approach to transactions-based Libor fixing 0 0 0 16 0 1 1 71
Across-the-Curve Credit Spread Indices 0 0 0 3 0 0 2 22
Affine Processes and Application in Finance 0 0 1 421 0 0 4 1,369
Augmenting Markets with Mechanisms 0 0 0 27 0 0 1 49
Augmenting Markets with Mechanisms 0 0 0 9 0 0 1 16
Augmenting Markets with Mechanisms 0 0 0 25 1 2 2 53
Bank Funding Risk, Reference Rates, and Credit Supply 0 1 4 32 0 3 16 84
Bank Funding Risk, Reference Rates, and Credit Supply 1 1 1 2 1 2 2 3
Bank Funding Risk, Reference Rates, and Credit Supply 0 0 0 10 0 0 4 23
Benchmarks in Search Markets 0 0 0 37 0 0 1 154
Benchmarks in Search Markets 0 0 0 9 0 0 2 38
Benchmarks in Search Markets 0 0 0 8 0 0 0 86
Capital Mobility and Asset Pricing 0 0 0 31 0 0 0 104
Capital Mobility and Asset Pricing 0 0 0 55 0 1 3 199
Capital Mobility and Asset Pricing 0 0 0 0 0 0 1 74
Central Clearing and Collateral Demand 0 0 0 8 1 2 3 88
Central Clearing and Collateral Demand 0 0 0 26 0 0 2 143
Central clearing and collateral demand 0 0 0 38 0 0 3 257
Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs 0 0 0 15 1 1 2 61
Common Failings: How Corporate Defaults are Correlated 0 0 1 160 0 0 2 547
Compression Auctions With an Application to LIBOR-SOFR Swap Conversion 0 0 0 8 1 1 1 18
Corporate Credit Risk Premia 0 0 0 27 1 2 2 67
Corporate Credit Risk Premia 0 0 2 46 1 1 4 107
Dealer Capacity and U.S. Treasury Market Functionality 0 0 0 17 1 2 9 22
Dealer capacity and US Treasury market functionality 0 0 1 5 1 3 11 16
Dynamic Directed Random Matching 0 0 0 24 0 2 2 44
Dynamic Directed Random Matching 0 0 0 28 0 0 2 62
Dynamic Directed Random Matching 0 0 0 29 0 0 2 48
Financial Market Infrastructure: Too Important to Fail 0 0 2 39 1 1 5 109
Financial Regulatory Reform after the Crisis: An Assessment 0 0 0 57 3 3 3 134
Frailty Correlated Default 0 0 2 38 0 1 6 256
Funding Value Adjustments 0 0 1 18 2 2 5 67
Funding Value Adjustments 0 0 0 30 3 4 5 114
How Abundant Are Reserves? Evidence from the Wholesale Payment System 0 0 0 10 0 0 2 18
How Abundant Are Reserves? Evidence from the Wholesale Payment System 0 0 0 17 1 2 3 14
How Abundant Are Reserves? Evidence from the Wholesale Payment System 0 0 0 11 0 0 1 7
How abundant are reserves? Evidence from the wholesale payment system 0 1 1 23 1 2 5 21
How the LIBOR Transition Affects the Supply of Revolving Credit 0 0 5 38 1 2 13 77
Information Percolation 0 0 0 5 0 0 0 107
Information Percolation in Segmented Markets 0 0 0 7 0 1 1 67
Information Percolation in Segmented Markets 0 0 1 28 0 0 1 125
Information Percolation with Equilibrium Search Dynamics 0 0 0 26 0 1 3 117
Innovations in credit risk transfer: implications for financial stability 0 0 4 362 0 1 9 1,015
Interoperable Payment Systems and the Role of Central Bank Digital Currencies 0 0 0 65 1 1 2 95
Large Portfolio Losses 0 0 0 138 1 1 1 308
Liquidation Risk 1 1 5 98 1 2 8 514
Liquidity Premia in Dynamic Bargaining Markets 0 0 0 0 0 0 0 143
Market Fragmentation 0 0 1 28 1 2 5 76
Market Fragmentation 0 0 0 13 0 0 2 31
Market-Function Asset Purchases 0 0 0 13 1 1 3 9
Measuring Default Risk Premia from Default Swap Rates and EDFs 0 0 0 64 1 2 4 292
Measuring default risk premia from default swap rates and EDFs 0 1 2 106 0 1 6 479
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 0 60 1 1 1 204
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 0 29 0 1 2 131
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 0 171 0 0 1 530
Multi-Period Corporate Failure Prediction With Stochastic Covariates 0 0 0 1 3 3 3 225
Multi-Period Corporate Failure Prediction With Stochastic Covariates 0 0 0 0 0 2 4 332
Multi-Period Corporate Failure Prediction with Stochastic Covariates 0 0 0 192 0 0 0 686
Over the Counter Search Frictions: A Case Study of the Federal Funds Market 0 0 3 58 0 1 5 138
Over-the-Counter Markets 0 0 0 217 0 0 1 755
Policy Perspectives on OTC Derivatives Market Infrastructure 0 0 1 37 0 0 3 119
Policy perspectives on OTC derivatives market infrastructure 0 0 0 81 0 0 0 191
Reforming LIBOR and Other Financial-Market Benchmarks 0 0 0 34 0 1 1 71
Report on “The Committee on Yen Risk-free-rate Model Estimation†0 0 0 12 0 0 0 119
Reserves Were Not So Ample After All 0 0 0 28 0 0 0 20
Reserves Were Not So Ample After All 0 1 2 21 2 4 16 84
Reserves Were Not So Ample after All 0 0 0 11 0 0 1 7
Resolution of Failing Central Counterparties 0 0 0 26 1 1 1 64
Robust Benchmark Design 0 0 0 11 0 0 3 87
Robust Benchmark Design 0 0 0 12 1 2 2 48
Simulated Moments Estimation of Markov Models of Asset Prices 0 0 0 112 1 3 5 487
Size Discovery 0 0 0 4 0 0 2 57
Size Discovery 0 0 0 6 0 2 2 23
Systemic Risk Exposures: A 10-by-10-by-10 Approach 0 1 1 59 1 3 3 125
The Consumption-Based Capital Asset Pricing Model 0 0 0 0 1 1 2 643
The Exact Law of Large Numbers for Independent Random Matching 0 0 0 38 0 0 2 127
The Exact Law of Large Numbers for Independent Random Matching 0 0 0 138 0 1 2 471
The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation 0 0 0 10 0 0 0 63
The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation 0 0 0 7 0 0 0 62
The failure mechanics of dealer banks 0 0 0 64 0 0 1 285
Transform Analysis and Asset Pricing for Affine Jump-Diffusions 0 0 0 1,615 1 3 8 3,061
Valuation in Dynamic Bargaining Markets 0 0 0 1 1 1 1 217
Valuation in Dynamic Bargaining Markets 0 0 0 1 0 0 0 125
Valuation in Over-the-Counter Markets 0 0 0 136 0 0 0 484
Valuation in Over-the-Counter Markets 0 0 0 41 0 1 1 229
What Quantity of Reserves Is Sufficient? 0 1 4 67 9 12 21 314
Total Working Papers 2 8 45 5,650 49 96 272 18,604

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Liquidity-Based Model of Security Design 0 0 0 1 2 6 16 1,124
A YIELD‐FACTOR MODEL OF INTEREST RATES 2 3 20 303 5 6 36 857
A term structure model with preferences for the timing of resolution of uncertainty (*) 0 0 0 0 0 0 0 200
Across‐the‐Curve Credit Spread Indices 0 1 1 1 0 2 5 5
Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group 0 0 0 47 1 1 1 164
An Econometric Model of the Term Structure of Interest-Rate Swap Yields 1 2 7 780 1 3 19 1,615
An extension of the Black-Scholes model of security valuation 0 0 0 205 0 0 3 470
Analytical value-at-risk with jumps and credit risk 0 0 0 416 1 4 6 1,023
Arrow and General Equilibrium Theory 0 0 2 201 0 7 43 487
Asset Pricing with Heterogeneous Consumers 1 1 7 1,271 1 2 17 3,005
Asset Pricing with Stochastic Differential Utility 0 0 4 419 0 0 9 952
Augmenting Markets with Mechanisms 0 0 0 1 0 1 1 10
Benchmarks in Search Markets 0 0 2 28 1 3 10 121
Black, Merton and Scholes — Their Central Contributions to Economics 0 0 1 3 0 0 2 9
Capital Mobility and Asset Pricing 0 0 0 67 0 1 2 363
Central clearing and collateral demand 0 0 3 109 2 4 14 386
Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs 0 1 1 7 0 1 4 39
Comment 0 0 0 1 0 1 1 27
Common Failings: How Corporate Defaults Are Correlated 0 1 6 100 0 2 16 476
Competitive equilibria in general choice spaces 0 0 0 18 0 0 0 44
Continuous-time security pricing: A utility gradient approach 1 1 4 362 1 2 8 608
Corporate Credit Risk Premia 2 3 4 4 6 8 11 14
Corporate Incentives for Hedging and Hedge Accounting 0 0 1 822 0 4 23 2,600
Corporate financial hedging with proprietary information 0 0 1 375 0 0 6 848
Credit Swap Valuation 0 0 0 0 0 0 0 0
Credit risk modeling with affine processes 0 0 0 138 0 0 3 325
Does a Central Clearing Counterparty Reduce Counterparty Risk? 1 2 5 34 1 4 15 145
Dynamic directed random matching 0 0 0 11 0 1 4 74
Efficient and equilibrium allocations with stochastic differential utility 0 0 1 97 0 1 10 187
Equilibrium in incomplete markets: I: A basic model of generic existence 0 2 4 227 1 4 11 414
Equilibrium in incomplete markets: II: Generic existence in stochastic economies 0 0 1 113 0 0 1 216
Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals 0 0 0 134 0 0 1 474
Explaining the U.S. tri-party repo market 0 1 2 95 1 4 12 279
Financial Market Innovation and Security Design: An Introduction 0 1 7 429 0 1 11 879
Financial Regulatory Reform After the Crisis: An Assessment 1 1 6 40 5 7 14 92
Floating–Fixed Credit Spreads 0 0 0 0 0 0 0 0
Frailty Correlated Default 1 2 5 45 1 4 16 281
From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1 0 0 0 21 0 2 2 88
Funding Value Adjustments 0 0 4 19 0 0 10 105
Hedging in incomplete markets with HARA utility 0 0 0 235 1 1 2 438
Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities 0 1 4 230 0 1 7 623
Incomplete security markets with infinitely many states: An introduction 0 0 0 37 0 0 1 108
Information Percolation 0 0 0 44 1 3 6 194
Information Percolation With Equilibrium Search Dynamics 0 0 0 47 0 0 0 204
Information Percolation in Large Markets 0 0 0 58 0 0 2 239
Information percolation in segmented markets 0 0 2 16 1 1 6 131
Is there a case for banning short speculation in sovereign bond markets? 0 1 3 41 0 2 10 178
Jackson Hole 2023 - Structural Changes in Financial Markets and the Conduct of Monetary Policy 0 0 7 10 1 1 12 18
Large portfolio losses 0 0 0 14 0 0 0 118
Liquidation Risk 0 0 0 0 1 1 1 1
Market Fragmentation 0 0 4 38 1 2 15 153
Market Pricing of Deposit Insurance 0 0 1 77 0 0 1 192
Modeling Sovereign Yield Spreads: A Case Study of Russian Debt 2 3 7 251 2 5 11 696
Modeling Term Structures of Defaultable Bonds 0 0 0 3 3 7 51 2,247
Multi-period corporate default prediction with stochastic covariates 0 0 3 296 0 4 17 837
Multiperiod security markets with differential information: Martingales and resolution times 0 0 2 103 1 2 5 204
Optimal Investment With Undiversifiable Income Risk 0 0 3 92 2 3 10 205
Optimal hedging and equilibrium in a dynamic futures market 0 0 3 180 0 0 6 367
Over-the-Counter Markets 1 2 7 395 1 4 27 1,389
PDE solutions of stochastic differential utility 0 1 4 232 2 5 14 435
Preface to the Special Issue on Systemic Risk: Models and Mechanisms 0 0 0 11 0 0 1 41
Presidential Address: Asset Price Dynamics with Slow‐Moving Capital 1 2 7 76 5 6 18 322
Pricing continuously resettled contingent claims 0 0 0 31 2 2 2 89
Prone to Fail: The Pre-crisis Financial System 0 0 1 31 0 0 2 136
Reforming LIBOR and Other Financial Market Benchmarks 0 1 3 89 3 6 11 311
Replumbing Our Financial System: Uneven Progress 0 0 1 20 1 1 4 151
Reprint of: Information percolation in segmented markets 0 0 1 11 0 1 5 69
Risk and Valuation of Collateralized Debt Obligations 0 0 0 0 0 0 1 1
Robust benchmark design 0 0 2 11 0 0 7 42
Securities lending, shorting, and pricing 0 2 8 390 1 7 22 958
Simulated Moments Estimation of Markov Models of Asset Prices 0 0 0 648 3 3 6 1,692
Size Discovery 0 0 1 11 0 2 4 67
Special Repo Rates 0 1 5 632 10 19 32 2,224
Stationary Markov Equilibria 0 0 0 273 1 1 2 902
Stochastic Differential Utility 0 1 4 746 1 2 9 1,584
Stochastic Equilibria: Existence, Spanning Number, and the 'No Expected Financial Gain from Trade' Hypothesis 0 0 0 38 0 1 1 134
Stochastic equilibria with incomplete financial markets 0 0 1 117 0 0 2 216
Swap Rates and Credit Quality 0 0 6 322 1 1 11 1,014
Systemic Illiquidity in the Federal Funds Market 0 0 2 135 0 0 2 398
Term Structures of Credit Spreads with Incomplete Accounting Information 0 0 0 2 1 2 24 1,063
The Consumption-Based Capital Asset Pricing Model 0 1 5 733 0 1 6 2,041
The Failure Mechanics of Dealer Banks 0 1 1 137 0 2 5 471
The Failure Mechanics of Dealer Banks 0 0 1 15 0 0 2 94
The New Palgrave: Finance: A book review 0 0 0 18 0 1 1 101
The Squam Lake Report: Fixing the Financial System 0 0 0 192 1 3 4 794
The exact law of large numbers for independent random matching 0 0 2 26 0 1 6 187
The relative contributions of private information sharing and public information releases to information aggregation 0 0 0 24 1 1 2 103
Transactions costs and portfolio choice in a discrete-continuous-time setting 0 1 2 247 0 3 6 437
Transform Analysis and Asset Pricing for Affine Jump-Diffusions 0 0 0 3 2 6 16 1,541
Universal state prices and asymmetric information 0 0 0 57 0 0 0 118
Valuation in Over-the-Counter Markets 0 1 1 63 1 3 5 287
Total Journal Articles 14 41 203 14,452 81 203 786 45,571

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets 0 0 0 0 1 3 17 127
How Big Banks Fail and What to Do about It 0 0 0 0 2 5 14 90
Measuring Corporate Default Risk 0 0 0 0 1 1 5 124
The Squam Lake Report: Fixing the Financial System 0 0 0 0 4 4 7 107
Total Books 0 0 0 0 8 13 43 448

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Contractual Approach to Restructuring Financial Institutions 0 0 4 61 1 2 11 198
A Dialogue on the Costs and Benefits of Automatic Stays for Derivatives and Repurchase Agreements 0 0 1 46 0 0 2 195
Comment 0 0 0 0 1 2 3 3
Comment on "Risk Topography" 0 0 1 3 0 0 2 42
Dollar Funding Stresses in ChinaChina 0 0 0 1 1 3 8 12
Financial Market Infrastructure: Too Important to Fail 0 0 0 17 1 1 3 86
IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES 0 0 0 1 0 1 8 36
Intertemporal asset pricing theory 0 0 4 500 3 5 33 1,305
Introduction 0 0 0 3 1 1 2 39
Introduction 0 0 0 1 0 0 2 25
Market Pricing of Deposit Insurance 0 0 0 4 0 0 1 24
Money in general equilibrium theory 0 0 3 448 0 0 7 1,192
Over-The-Counter Markets 0 0 3 23 1 2 13 155
Policy Issues Facing the Market for Credit Derivatives 0 0 0 14 0 0 0 72
Resolution of Failing Central Counterparties 0 0 0 0 0 0 0 130
Systemic Risk Exposures: A 10-by-10-by-10 Approach 0 0 1 35 0 6 8 112
The theory of value in security markets 0 1 2 148 0 2 4 333
Total Chapters 0 1 19 1,305 9 25 107 3,959

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Statistics updated 2025-03-03