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 0 2 72
Across-the-Curve Credit Spread Indices 0 0 0 3 1 2 4 24
Affine Processes and Application in Finance 0 0 2 422 2 2 5 1,372
Augmenting Markets with Mechanisms 0 0 0 27 0 0 1 50
Augmenting Markets with Mechanisms 0 0 0 9 0 0 0 16
Augmenting Markets with Mechanisms 0 0 0 25 1 1 4 55
Bank Funding Risk, Reference Rates, and Credit Supply 0 0 0 10 0 1 2 24
Bank Funding Risk, Reference Rates, and Credit Supply 0 0 1 2 1 2 5 6
Bank Funding Risk, Reference Rates, and Credit Supply 0 1 2 33 2 5 14 91
Benchmarks in Search Markets 0 0 0 37 0 0 0 154
Benchmarks in Search Markets 0 0 0 9 0 2 2 40
Benchmarks in Search Markets 0 0 0 8 0 0 2 88
Capital Mobility and Asset Pricing 0 0 0 31 1 1 1 105
Capital Mobility and Asset Pricing 0 0 0 55 0 0 1 199
Capital Mobility and Asset Pricing 0 0 0 0 0 0 1 74
Central Clearing and Collateral Demand 0 0 0 8 0 0 3 89
Central Clearing and Collateral Demand 0 0 0 26 3 4 5 148
Central clearing and collateral demand 0 0 0 38 0 1 3 259
Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs 0 0 0 15 0 1 3 62
Common Failings: How Corporate Defaults are Correlated 0 0 1 160 1 2 3 549
Compression Auctions With an Application to LIBOR-SOFR Swap Conversion 0 0 0 8 0 0 1 18
Corporate Credit Risk Premia 0 0 1 46 0 0 2 107
Corporate Credit Risk Premia 0 0 1 28 1 1 4 69
Dealer Capacity and U.S. Treasury Market Functionality 0 0 0 17 0 0 7 24
Dealer capacity and US Treasury market functionality 0 0 0 5 3 6 14 22
Dynamic Directed Random Matching 0 0 0 24 0 0 2 44
Dynamic Directed Random Matching 0 0 0 29 0 0 1 49
Dynamic Directed Random Matching 0 0 0 28 0 1 1 63
Financial Market Infrastructure: Too Important to Fail 0 0 1 40 1 1 5 112
Financial Regulatory Reform after the Crisis: An Assessment 0 0 0 57 1 1 4 135
Frailty Correlated Default 0 0 1 38 0 0 3 256
Funding Value Adjustments 0 0 0 30 0 0 5 114
Funding Value Adjustments 0 1 1 19 0 2 5 69
How Abundant Are Reserves? Evidence from the Wholesale Payment System 0 0 0 10 1 1 1 19
How Abundant Are Reserves? Evidence from the Wholesale Payment System 0 0 0 17 2 2 4 16
How Abundant Are Reserves? Evidence from the Wholesale Payment System 0 0 0 11 1 1 3 9
How abundant are reserves? Evidence from the wholesale payment system 0 0 1 23 0 0 5 23
How the LIBOR Transition Affects the Supply of Revolving Credit 0 3 6 41 0 5 15 84
Information Percolation 0 0 0 5 0 0 0 107
Information Percolation in Segmented Markets 0 0 0 7 1 1 2 68
Information Percolation in Segmented Markets 0 0 2 29 0 0 2 126
Information Percolation with Equilibrium Search Dynamics 0 0 0 26 0 0 1 117
Innovations in credit risk transfer: implications for financial stability 0 0 2 364 1 1 8 1,020
Interoperable Payment Systems and the Role of Central Bank Digital Currencies 1 1 1 66 1 2 3 97
Large Portfolio Losses 0 0 1 139 0 0 2 309
Liquidation Risk 0 0 2 98 0 0 5 516
Liquidity Premia in Dynamic Bargaining Markets 0 0 0 0 0 0 0 143
Market Fragmentation 0 0 0 13 0 0 2 31
Market Fragmentation 0 1 2 29 1 3 9 82
Market-Function Asset Purchases 0 0 0 13 1 1 5 12
Measuring Default Risk Premia from Default Swap Rates and EDFs 0 0 0 64 0 0 3 293
Measuring default risk premia from default swap rates and EDFs 0 0 1 106 1 1 3 481
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 1 1 61 1 2 3 206
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 0 171 0 0 9 538
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 1 30 1 1 5 135
Multi-Period Corporate Failure Prediction With Stochastic Covariates 0 0 0 0 2 2 5 335
Multi-Period Corporate Failure Prediction With Stochastic Covariates 0 0 0 1 0 2 5 227
Multi-Period Corporate Failure Prediction with Stochastic Covariates 0 0 0 192 0 2 2 688
Over the Counter Search Frictions: A Case Study of the Federal Funds Market 0 0 1 59 0 0 2 139
Over-the-Counter Markets 0 0 0 217 0 1 2 757
Policy Perspectives on OTC Derivatives Market Infrastructure 0 0 0 37 2 2 3 121
Policy perspectives on OTC derivatives market infrastructure 0 0 0 81 0 0 1 192
Reforming LIBOR and Other Financial-Market Benchmarks 0 0 0 34 1 1 2 72
Report on “The Committee on Yen Risk-free-rate Model Estimation†0 0 0 12 0 2 2 121
Reserves Were Not So Ample After All 0 0 0 28 2 3 3 23
Reserves Were Not So Ample After All 0 0 1 21 1 5 17 94
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 0 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 1 1 5 489
Size Discovery 0 0 0 6 0 0 2 23
Size Discovery 0 0 0 4 1 1 1 58
Systemic Risk Exposures: A 10-by-10-by-10 Approach 0 0 1 59 0 1 4 126
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 0 0 1 128
The Exact Law of Large Numbers for Independent Random Matching 0 0 0 138 0 1 2 472
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 1 1 1 63
The failure mechanics of dealer banks 0 0 0 64 0 0 0 285
Transform Analysis and Asset Pricing for Affine Jump-Diffusions 0 1 3 1,618 0 1 9 3,065
Valuation in Dynamic Bargaining Markets 0 0 0 1 1 1 1 126
Valuation in Dynamic Bargaining Markets 0 0 0 1 0 0 1 217
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 0 1 229
What Quantity of Reserves Is Sufficient? 0 0 3 67 0 1 16 316
Total Working Papers 1 9 40 5,670 42 85 301 18,754

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 0 3 14 1,129
A YIELD‐FACTOR MODEL OF INTEREST RATES 0 2 11 308 3 5 29 869
A term structure model with preferences for the timing of resolution of uncertainty (*) 0 0 0 0 0 1 1 201
Across‐the‐Curve Credit Spread Indices 0 0 1 1 1 1 6 6
Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group 0 0 0 47 1 1 2 165
An Econometric Model of the Term Structure of Interest-Rate Swap Yields 1 1 7 783 1 1 12 1,620
An extension of the Black-Scholes model of security valuation 0 0 0 205 0 1 3 471
Analytical value-at-risk with jumps and credit risk 0 0 0 416 1 1 8 1,025
Arrow and General Equilibrium Theory 0 0 1 201 0 4 17 492
Asset Pricing with Heterogeneous Consumers 0 1 4 1,272 2 5 15 3,013
Asset Pricing with Stochastic Differential Utility 0 0 1 419 1 2 6 956
Augmenting Markets with Mechanisms 0 0 0 1 3 5 7 16
Bank Funding Risk, Reference Rates, and Credit Supply 0 3 11 11 3 10 37 37
Benchmarks in Search Markets 0 0 2 29 1 2 9 125
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 0 2 364
Central clearing and collateral demand 0 0 3 110 2 2 13 393
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 3 100 2 2 9 478
Competitive equilibria in general choice spaces 0 0 0 18 0 1 1 45
Continuous-time security pricing: A utility gradient approach 0 0 3 363 1 1 6 610
Corporate Credit Risk Premia 0 0 3 4 2 2 10 16
Corporate Incentives for Hedging and Hedge Accounting 0 0 0 822 0 0 11 2,601
Corporate financial hedging with proprietary information 0 1 2 376 0 1 2 849
Credit Swap Valuation 0 0 0 0 0 0 1 1
Credit risk modeling with affine processes 0 0 0 138 0 0 3 327
Does a Central Clearing Counterparty Reduce Counterparty Risk? 0 1 5 36 0 4 14 150
Dynamic directed random matching 0 0 0 11 0 0 2 75
Efficient and equilibrium allocations with stochastic differential utility 0 0 2 98 1 3 13 191
Equilibrium in incomplete markets: I: A basic model of generic existence 1 1 5 229 1 2 13 419
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 2 2 476
Explaining the U.S. tri-party repo market 0 0 1 95 0 1 9 281
Financial Market Innovation and Security Design: An Introduction 0 0 3 429 0 4 11 884
Financial Regulatory Reform After the Crisis: An Assessment 0 0 4 40 0 0 12 94
Floating–Fixed Credit Spreads 0 0 0 0 2 2 2 2
Frailty Correlated Default 0 0 4 46 1 6 18 291
From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1 0 0 1 22 0 0 5 91
Funding Value Adjustments 0 0 1 19 0 1 4 106
Hedging in incomplete markets with HARA utility 0 0 0 235 3 3 5 442
How US Treasuries Can Remain the World's Safe Haven 1 1 4 4 8 10 16 16
Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities 0 0 4 230 0 2 7 625
Incomplete security markets with infinitely many states: An introduction 0 0 0 37 0 1 3 110
Information Percolation 0 0 0 44 1 2 8 196
Information Percolation With Equilibrium Search Dynamics 0 0 0 47 1 1 1 205
Information Percolation in Large Markets 0 0 0 58 0 0 0 239
Information percolation in segmented markets 0 0 1 16 0 1 6 134
Is there a case for banning short speculation in sovereign bond markets? 0 0 3 43 0 0 8 181
Jackson Hole 2023 - Structural Changes in Financial Markets and the Conduct of Monetary Policy 0 0 2 10 3 4 14 26
Large portfolio losses 0 0 0 14 0 0 3 121
Liquidation Risk 0 0 0 0 0 1 4 4
Market Fragmentation 0 1 3 40 0 3 10 158
Market Pricing of Deposit Insurance 0 0 1 78 0 0 1 193
Modeling Sovereign Yield Spreads: A Case Study of Russian Debt 0 0 5 252 0 0 10 699
Modeling Term Structures of Defaultable Bonds 0 0 0 3 2 10 44 2,271
Multi-period corporate default prediction with stochastic covariates 0 1 8 301 0 3 20 849
Multiperiod security markets with differential information: Martingales and resolution times 0 0 1 103 0 0 4 204
Optimal Investment With Undiversifiable Income Risk 2 3 3 95 2 3 10 210
Optimal hedging and equilibrium in a dynamic futures market 0 0 2 180 0 0 5 367
Over-the-Counter Markets 2 2 7 399 6 8 37 1,414
PDE solutions of stochastic differential utility 1 2 5 235 1 6 22 445
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 1 2 6 79 3 5 21 333
Pricing continuously resettled contingent claims 0 0 0 31 0 1 3 90
Prone to Fail: The Pre-crisis Financial System 0 0 0 31 2 3 4 140
Reforming LIBOR and Other Financial Market Benchmarks 0 0 1 89 4 5 14 318
Replumbing Our Financial System: Uneven Progress 0 0 1 20 0 2 6 154
Reprint of: Information percolation in segmented markets 0 0 1 11 0 1 5 71
Reserves Were Not So Ample After All* 0 2 6 6 3 13 27 27
Risk and Valuation of Collateralized Debt Obligations 0 2 2 2 0 3 5 6
Robust benchmark design 0 1 1 12 0 1 4 44
Securities lending, shorting, and pricing 0 0 5 391 1 2 20 964
Simulated Moments Estimation of Markov Models of Asset Prices 0 1 2 650 2 4 9 1,697
Size Discovery 0 0 0 11 0 0 2 67
Special Repo Rates 1 2 7 635 7 21 60 2,260
Stationary Markov Equilibria 0 0 0 273 0 1 2 903
Stochastic Differential Utility 0 1 3 747 1 2 9 1,588
Stochastic Equilibria: Existence, Spanning Number, and the 'No Expected Financial Gain from Trade' Hypothesis 0 0 0 38 0 2 3 136
Stochastic equilibria with incomplete financial markets 0 0 1 117 0 0 2 216
Swap Rates and Credit Quality 3 3 6 325 3 3 12 1,020
Systemic Illiquidity in the Federal Funds Market 0 0 2 135 0 0 3 399
Term Structures of Credit Spreads with Incomplete Accounting Information 0 0 0 2 0 1 12 1,068
The Consumption-Based Capital Asset Pricing Model 0 0 4 733 0 0 5 2,042
The Decline of Too Big to Fail 0 2 9 9 3 12 40 40
The Failure Mechanics of Dealer Banks 0 0 2 138 1 2 9 476
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 2 194 3 3 9 800
The exact law of large numbers for independent random matching 1 2 2 28 1 2 4 190
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 1 8 440
Transform Analysis and Asset Pricing for Affine Jump-Diffusions 0 0 0 3 0 3 19 1,547
Universal state prices and asymmetric information 0 0 0 57 0 1 1 119
Valuation in Over-the-Counter Markets 0 0 1 63 0 0 5 289
Total Journal Articles 15 39 194 14,529 91 228 897 45,958
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 0 3 17 135
How Big Banks Fail and What to Do about It 0 0 0 0 4 4 16 97
Measuring Corporate Default Risk 0 0 0 0 0 2 5 127
The Squam Lake Report: Fixing the Financial System 0 0 0 0 0 1 8 110
Total Books 0 0 0 0 4 10 46 469

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 1 1 1 62 1 1 3 199
A Dialogue on the Costs and Benefits of Automatic Stays for Derivatives and Repurchase Agreements 0 0 2 47 1 1 3 197
Comment 0 0 0 0 0 0 2 3
Comment on "Risk Topography" 0 0 0 3 1 1 2 43
Dollar Funding Stresses in ChinaChina 0 0 0 1 0 1 6 14
Financial Market Infrastructure: Too Important to Fail 0 0 1 18 0 0 3 88
IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES 0 0 0 1 0 0 4 36
Intertemporal asset pricing theory 1 2 2 502 3 5 30 1,313
Introduction 0 0 0 3 0 0 2 39
Introduction 0 0 0 1 0 0 1 25
Market Pricing of Deposit Insurance 0 0 0 4 1 1 1 25
Money in general equilibrium theory 0 0 0 448 0 0 2 1,192
Over-The-Counter Markets 0 1 2 25 0 1 13 163
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 2 132
Systemic Risk Exposures: A 10-by-10-by-10 Approach 0 0 0 35 0 1 8 114
The theory of value in security markets 0 0 2 149 0 0 3 334
Total Chapters 2 4 10 1,313 8 13 85 3,989

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Statistics updated 2025-09-05