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 2 72
Across-the-Curve Credit Spread Indices 0 0 0 3 0 0 2 22
Affine Processes and Application in Finance 0 1 2 422 0 1 4 1,370
Augmenting Markets with Mechanisms 0 0 0 9 0 0 0 16
Augmenting Markets with Mechanisms 0 0 0 25 0 1 3 54
Augmenting Markets with Mechanisms 0 0 0 27 0 1 2 50
Bank Funding Risk, Reference Rates, and Credit Supply 0 0 2 32 1 2 12 86
Bank Funding Risk, Reference Rates, and Credit Supply 0 0 0 10 0 0 1 23
Bank Funding Risk, Reference Rates, and Credit Supply 0 0 1 2 0 1 3 4
Benchmarks in Search Markets 0 0 0 8 1 2 2 88
Benchmarks in Search Markets 0 0 0 37 0 0 0 154
Benchmarks in Search Markets 0 0 0 9 0 0 0 38
Capital Mobility and Asset Pricing 0 0 0 55 0 0 3 199
Capital Mobility and Asset Pricing 0 0 0 31 0 0 0 104
Capital Mobility and Asset Pricing 0 0 0 0 0 0 1 74
Central Clearing and Collateral Demand 0 0 0 26 1 1 2 144
Central Clearing and Collateral Demand 0 0 0 8 1 1 3 89
Central clearing and collateral demand 0 0 0 38 1 1 2 258
Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs 0 0 0 15 0 0 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 0 0 1 18
Corporate Credit Risk Premia 0 1 1 28 0 1 3 68
Corporate Credit Risk Premia 0 0 1 46 0 0 3 107
Dealer Capacity and U.S. Treasury Market Functionality 0 0 0 17 0 2 8 24
Dealer capacity and US Treasury market functionality 0 0 0 5 0 0 9 16
Dynamic Directed Random Matching 0 0 0 24 0 0 2 44
Dynamic Directed Random Matching 0 0 0 28 0 0 2 62
Dynamic Directed Random Matching 0 0 0 29 1 1 3 49
Financial Market Infrastructure: Too Important to Fail 0 1 2 40 0 2 5 111
Financial Regulatory Reform after the Crisis: An Assessment 0 0 0 57 0 0 3 134
Frailty Correlated Default 0 0 2 38 0 0 4 256
Funding Value Adjustments 0 0 1 18 0 0 5 67
Funding Value Adjustments 0 0 0 30 0 0 5 114
How Abundant Are Reserves? Evidence from the Wholesale Payment System 0 0 0 17 0 0 3 14
How Abundant Are Reserves? Evidence from the Wholesale Payment System 0 0 0 10 0 0 1 18
How Abundant Are Reserves? Evidence from the Wholesale Payment System 0 0 0 11 1 1 2 8
How abundant are reserves? Evidence from the wholesale payment system 0 0 1 23 1 2 5 23
How the LIBOR Transition Affects the Supply of Revolving Credit 0 0 4 38 0 2 13 79
Information Percolation 0 0 0 5 0 0 0 107
Information Percolation in Segmented Markets 0 1 2 29 0 1 2 126
Information Percolation in Segmented Markets 0 0 0 7 0 0 1 67
Information Percolation with Equilibrium Search Dynamics 0 0 0 26 0 0 2 117
Innovations in credit risk transfer: implications for financial stability 0 2 5 364 1 4 11 1,019
Interoperable Payment Systems and the Role of Central Bank Digital Currencies 0 0 0 65 0 0 1 95
Large Portfolio Losses 1 1 1 139 1 1 2 309
Liquidation Risk 0 0 5 98 0 2 8 516
Liquidity Premia in Dynamic Bargaining Markets 0 0 0 0 0 0 0 143
Market Fragmentation 0 0 1 28 3 3 7 79
Market Fragmentation 0 0 0 13 0 0 2 31
Market-Function Asset Purchases 0 0 0 13 1 2 4 11
Measuring Default Risk Premia from Default Swap Rates and EDFs 0 0 0 64 1 1 4 293
Measuring default risk premia from default swap rates and EDFs 0 0 1 106 1 1 3 480
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 1 1 30 1 3 5 134
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 0 60 0 0 1 204
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 0 171 1 8 9 538
Multi-Period Corporate Failure Prediction With Stochastic Covariates 0 0 0 0 1 1 5 333
Multi-Period Corporate Failure Prediction With Stochastic Covariates 0 0 0 1 0 0 3 225
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 1 1 59 0 1 3 139
Over-the-Counter Markets 0 0 0 217 0 1 2 756
Policy Perspectives on OTC Derivatives Market Infrastructure 0 0 1 37 0 0 2 119
Policy perspectives on OTC derivatives market infrastructure 0 0 0 81 0 1 1 192
Reforming LIBOR and Other Financial-Market Benchmarks 0 0 0 34 0 0 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 0 1 21 4 5 17 89
Reserves Were Not So Ample after All 0 0 0 11 0 0 1 7
Resolution of Failing Central Counterparties 0 0 0 26 0 1 2 65
Robust Benchmark Design 0 0 0 12 0 0 2 48
Robust Benchmark Design 0 0 0 11 0 0 1 87
Simulated Moments Estimation of Markov Models of Asset Prices 0 0 0 112 0 1 4 488
Size Discovery 0 0 0 6 0 0 2 23
Size Discovery 0 0 0 4 0 0 1 57
Systemic Risk Exposures: A 10-by-10-by-10 Approach 0 0 1 59 0 0 3 125
The Consumption-Based Capital Asset Pricing Model 0 0 0 0 0 0 2 643
The Exact Law of Large Numbers for Independent Random Matching 0 0 0 38 1 1 3 128
The Exact Law of Large Numbers for Independent Random Matching 0 0 0 138 0 0 2 471
The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation 0 0 0 7 0 0 0 62
The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation 0 0 0 10 0 0 0 63
The failure mechanics of dealer banks 0 0 0 64 0 0 1 285
Transform Analysis and Asset Pricing for Affine Jump-Diffusions 1 2 2 1,617 1 3 10 3,064
Valuation in Dynamic Bargaining Markets 0 0 0 1 0 0 0 125
Valuation in Dynamic Bargaining Markets 0 0 0 1 0 0 1 217
Valuation in Over-the-Counter Markets 0 0 0 41 0 0 1 229
Valuation in Over-the-Counter Markets 0 0 0 136 0 0 0 484
What Quantity of Reserves Is Sufficient? 0 0 3 67 0 1 17 315
Total Working Papers 2 11 43 5,661 25 65 272 18,669

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 2 15 1,126
A YIELD‐FACTOR MODEL OF INTEREST RATES 2 3 15 306 4 7 31 864
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 0 1 1 0 0 5 5
Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group 0 0 0 47 0 0 1 164
An Econometric Model of the Term Structure of Interest-Rate Swap Yields 0 2 9 782 2 4 16 1,619
An extension of the Black-Scholes model of security valuation 0 0 0 205 0 0 2 470
Analytical value-at-risk with jumps and credit risk 0 0 0 416 1 1 7 1,024
Arrow and General Equilibrium Theory 0 0 1 201 1 1 30 488
Asset Pricing with Heterogeneous Consumers 0 0 6 1,271 1 3 14 3,008
Asset Pricing with Stochastic Differential Utility 0 0 3 419 1 2 7 954
Augmenting Markets with Mechanisms 0 0 0 1 0 1 2 11
Bank Funding Risk, Reference Rates, and Credit Supply 1 4 8 8 5 12 27 27
Benchmarks in Search Markets 0 1 3 29 1 2 10 123
Black, Merton and Scholes — Their Central Contributions to Economics 0 0 0 3 0 0 0 9
Capital Mobility and Asset Pricing 0 0 0 67 0 1 2 364
Central clearing and collateral demand 1 1 3 110 2 5 14 391
Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs 0 0 1 7 0 0 3 39
Comment 0 0 0 1 0 0 1 27
Common Failings: How Corporate Defaults Are Correlated 0 0 5 100 0 0 10 476
Competitive equilibria in general choice spaces 0 0 0 18 0 0 0 44
Continuous-time security pricing: A utility gradient approach 0 1 4 363 0 1 6 609
Corporate Credit Risk Premia 0 0 4 4 0 0 9 14
Corporate Incentives for Hedging and Hedge Accounting 0 0 0 822 0 1 14 2,601
Corporate financial hedging with proprietary information 0 0 1 375 0 0 2 848
Credit Swap Valuation 0 0 0 0 0 1 1 1
Credit risk modeling with affine processes 0 0 0 138 1 2 4 327
Does a Central Clearing Counterparty Reduce Counterparty Risk? 0 1 5 35 0 1 13 146
Dynamic directed random matching 0 0 0 11 1 1 5 75
Efficient and equilibrium allocations with stochastic differential utility 1 1 2 98 1 1 11 188
Equilibrium in incomplete markets: I: A basic model of generic existence 1 1 4 228 3 3 12 417
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 0 474
Explaining the U.S. tri-party repo market 0 0 1 95 0 1 10 280
Financial Market Innovation and Security Design: An Introduction 0 0 5 429 0 1 9 880
Financial Regulatory Reform After the Crisis: An Assessment 0 0 4 40 1 2 12 94
Floating–Fixed Credit Spreads 0 0 0 0 0 0 0 0
Frailty Correlated Default 1 1 5 46 2 4 19 285
From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1 0 1 1 22 1 3 5 91
Funding Value Adjustments 0 0 4 19 0 0 8 105
Hedging in incomplete markets with HARA utility 0 0 0 235 0 1 2 439
Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities 0 0 4 230 0 0 7 623
Incomplete security markets with infinitely many states: An introduction 0 0 0 37 0 1 2 109
Information Percolation 0 0 0 44 0 0 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 0 239
Information percolation in segmented markets 0 0 2 16 1 2 6 133
Is there a case for banning short speculation in sovereign bond markets? 0 2 4 43 0 3 9 181
Jackson Hole 2023 - Structural Changes in Financial Markets and the Conduct of Monetary Policy 0 0 4 10 1 4 13 22
Large portfolio losses 0 0 0 14 1 3 3 121
Liquidation Risk 0 0 0 0 2 2 3 3
Market Fragmentation 0 1 2 39 0 2 9 155
Market Pricing of Deposit Insurance 0 1 2 78 0 1 2 193
Modeling Sovereign Yield Spreads: A Case Study of Russian Debt 1 1 7 252 2 3 12 699
Modeling Term Structures of Defaultable Bonds 0 0 0 3 7 14 50 2,261
Multi-period corporate default prediction with stochastic covariates 2 4 7 300 4 9 22 846
Multiperiod security markets with differential information: Martingales and resolution times 0 0 1 103 0 0 4 204
Optimal Investment With Undiversifiable Income Risk 0 0 1 92 0 2 8 207
Optimal hedging and equilibrium in a dynamic futures market 0 0 2 180 0 0 5 367
Over-the-Counter Markets 1 2 9 397 9 17 39 1,406
PDE solutions of stochastic differential utility 0 1 4 233 1 4 17 439
Preface to the Special Issue on Systemic Risk: Models and Mechanisms 0 0 0 11 0 0 0 41
Presidential Address: Asset Price Dynamics with Slow‐Moving Capital 0 1 6 77 1 6 19 328
Pricing continuously resettled contingent claims 0 0 0 31 0 0 2 89
Prone to Fail: The Pre-crisis Financial System 0 0 1 31 0 1 2 137
Reforming LIBOR and Other Financial Market Benchmarks 0 0 2 89 0 2 11 313
Replumbing Our Financial System: Uneven Progress 0 0 1 20 1 1 5 152
Reprint of: Information percolation in segmented markets 0 0 1 11 1 1 6 70
Reserves Were Not So Ample After All* 2 4 4 4 4 14 14 14
Risk and Valuation of Collateralized Debt Obligations 0 0 0 0 1 2 3 3
Robust benchmark design 0 0 1 11 1 1 5 43
Securities lending, shorting, and pricing 0 1 7 391 2 4 21 962
Simulated Moments Estimation of Markov Models of Asset Prices 0 1 1 649 0 1 7 1,693
Size Discovery 0 0 1 11 0 0 4 67
Special Repo Rates 0 1 6 633 10 15 42 2,239
Stationary Markov Equilibria 0 0 0 273 0 0 1 902
Stochastic Differential Utility 0 0 3 746 2 2 10 1,586
Stochastic Equilibria: Existence, Spanning Number, and the 'No Expected Financial Gain from Trade' Hypothesis 0 0 0 38 0 0 1 134
Stochastic equilibria with incomplete financial markets 0 0 1 117 0 0 2 216
Swap Rates and Credit Quality 0 0 5 322 0 3 11 1,017
Systemic Illiquidity in the Federal Funds Market 0 0 2 135 0 1 3 399
Term Structures of Credit Spreads with Incomplete Accounting Information 0 0 0 2 3 4 14 1,067
The Consumption-Based Capital Asset Pricing Model 0 0 5 733 1 1 7 2,042
The Decline of Too Big to Fail 3 7 7 7 7 28 28 28
The Failure Mechanics of Dealer Banks 0 1 2 138 0 3 7 474
The New Palgrave: Finance: A book review 0 0 0 18 0 0 1 101
The Squam Lake Report: Fixing the Financial System 1 1 1 193 2 3 6 797
The exact law of large numbers for independent random matching 0 0 1 26 1 1 5 188
The relative contributions of private information sharing and public information releases to information aggregation 0 0 0 24 0 0 1 103
Transactions costs and portfolio choice in a discrete-continuous-time setting 0 0 1 247 1 2 7 439
Transform Analysis and Asset Pricing for Affine Jump-Diffusions 0 0 0 3 0 3 18 1,544
Universal state prices and asymmetric information 0 0 0 57 0 0 0 118
Valuation in Over-the-Counter Markets 0 0 1 63 0 2 5 289
Total Journal Articles 17 46 205 14,487 96 232 825 45,724
1 registered items for which data could not be found

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 5 15 132
How Big Banks Fail and What to Do about It 0 0 0 0 2 3 13 93
Measuring Corporate Default Risk 0 0 0 0 0 1 3 125
The Squam Lake Report: Fixing the Financial System 0 0 0 0 1 2 7 109
Total Books 0 0 0 0 4 11 38 459

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 1 61 0 0 3 198
A Dialogue on the Costs and Benefits of Automatic Stays for Derivatives and Repurchase Agreements 0 1 2 47 0 1 2 196
Comment 0 0 0 0 0 0 3 3
Comment on "Risk Topography" 0 0 0 3 0 0 1 42
Dollar Funding Stresses in ChinaChina 0 0 0 1 0 1 7 13
Financial Market Infrastructure: Too Important to Fail 0 1 1 18 0 2 4 88
IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES 0 0 0 1 0 0 8 36
Intertemporal asset pricing theory 0 0 2 500 2 3 31 1,308
Introduction 0 0 0 1 0 0 2 25
Introduction 0 0 0 3 0 0 2 39
Market Pricing of Deposit Insurance 0 0 0 4 0 0 0 24
Money in general equilibrium theory 0 0 0 448 0 0 2 1,192
Over-The-Counter Markets 0 1 4 24 2 7 17 162
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 1 1 1 131
Systemic Risk Exposures: A 10-by-10-by-10 Approach 0 0 0 35 0 1 8 113
The theory of value in security markets 0 1 2 149 0 1 4 334
Total Chapters 0 4 12 1,309 5 17 95 3,976

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Statistics updated 2025-06-06