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 1 1 3 23
Affine Processes and Application in Finance 0 0 2 422 0 0 3 1,370
Augmenting Markets with Mechanisms 0 0 0 27 0 0 2 50
Augmenting Markets with Mechanisms 0 0 0 25 0 1 3 54
Augmenting Markets with Mechanisms 0 0 0 9 0 0 0 16
Bank Funding Risk, Reference Rates, and Credit Supply 0 0 1 2 0 1 3 4
Bank Funding Risk, Reference Rates, and Credit Supply 0 0 0 10 0 0 1 23
Bank Funding Risk, Reference Rates, and Credit Supply 1 1 3 33 1 2 13 87
Benchmarks in Search Markets 0 0 0 8 0 1 2 88
Benchmarks in Search Markets 0 0 0 9 1 1 1 39
Benchmarks in Search Markets 0 0 0 37 0 0 0 154
Capital Mobility and Asset Pricing 0 0 0 55 0 0 2 199
Capital Mobility and Asset Pricing 0 0 0 0 0 0 1 74
Capital Mobility and Asset Pricing 0 0 0 31 0 0 0 104
Central Clearing and Collateral Demand 0 0 0 8 0 1 3 89
Central Clearing and Collateral Demand 0 0 0 26 0 1 1 144
Central clearing and collateral demand 0 0 0 38 0 1 2 258
Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs 0 0 0 15 1 1 3 62
Common Failings: How Corporate Defaults are Correlated 0 0 1 160 1 1 3 548
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 3 107
Corporate Credit Risk Premia 0 0 1 28 0 0 3 68
Dealer Capacity and U.S. Treasury Market Functionality 0 0 0 17 0 1 7 24
Dealer capacity and US Treasury market functionality 0 0 0 5 2 2 10 18
Dynamic Directed Random Matching 0 0 0 24 0 0 2 44
Dynamic Directed Random Matching 0 0 0 28 0 0 1 62
Dynamic Directed Random Matching 0 0 0 29 0 1 2 49
Financial Market Infrastructure: Too Important to Fail 0 1 2 40 0 1 5 111
Financial Regulatory Reform after the Crisis: An Assessment 0 0 0 57 0 0 3 134
Frailty Correlated Default 0 0 1 38 0 0 3 256
Funding Value Adjustments 0 0 1 18 0 0 4 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 10 0 0 0 18
How Abundant Are Reserves? Evidence from the Wholesale Payment System 0 0 0 11 0 1 2 8
How Abundant Are Reserves? Evidence from the Wholesale Payment System 0 0 0 17 0 0 2 14
How abundant are reserves? Evidence from the wholesale payment system 0 0 1 23 0 2 5 23
How the LIBOR Transition Affects the Supply of Revolving Credit 2 2 6 40 3 5 16 82
Information Percolation 0 0 0 5 0 0 0 107
Information Percolation in Segmented Markets 0 0 0 7 0 0 1 67
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 2 117
Innovations in credit risk transfer: implications for financial stability 0 2 3 364 0 4 9 1,019
Interoperable Payment Systems and the Role of Central Bank Digital Currencies 0 0 0 65 0 0 1 95
Large Portfolio Losses 0 1 1 139 0 1 2 309
Liquidation Risk 0 0 5 98 0 0 8 516
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 1 1 2 29 2 5 8 81
Market-Function Asset Purchases 0 0 0 13 0 2 4 11
Measuring Default Risk Premia from Default Swap Rates and EDFs 0 0 0 64 0 1 3 293
Measuring default risk premia from default swap rates and EDFs 0 0 1 106 0 1 2 480
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 0 1 9 538
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 1 1 30 0 3 4 134
Multi-Period Corporate Failure Prediction With Stochastic Covariates 0 0 0 0 0 1 4 333
Multi-Period Corporate Failure Prediction With Stochastic Covariates 0 0 0 1 1 1 4 226
Multi-Period Corporate Failure Prediction with Stochastic Covariates 0 0 0 192 2 2 2 688
Over the Counter Search Frictions: A Case Study of the Federal Funds Market 0 0 1 59 0 0 3 139
Over-the-Counter Markets 0 0 0 217 0 0 1 756
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 0 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 1 1 1 120
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 8 17 93
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 11 0 0 1 87
Robust Benchmark Design 0 0 0 12 0 0 2 48
Simulated Moments Estimation of Markov Models of Asset Prices 0 0 0 112 0 0 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 1 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 1 2 128
The Exact Law of Large Numbers for Independent Random Matching 0 0 0 138 1 1 3 472
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 0 2 2 1,617 0 3 10 3,064
Valuation in Dynamic Bargaining Markets 0 0 0 1 0 0 1 217
Valuation in Dynamic Bargaining Markets 0 0 0 1 0 0 0 125
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 1 1 17 316
Total Working Papers 4 11 44 5,665 23 64 270 18,692

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 4 15 1,128
A YIELD‐FACTOR MODEL OF INTEREST RATES 2 4 13 308 2 7 28 866
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 0 6 782 0 2 11 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 0 1 7 1,024
Arrow and General Equilibrium Theory 0 0 1 201 2 3 21 490
Asset Pricing with Heterogeneous Consumers 0 0 5 1,271 0 1 13 3,008
Asset Pricing with Stochastic Differential Utility 0 0 3 419 1 3 8 955
Augmenting Markets with Mechanisms 0 0 0 1 0 1 2 11
Bank Funding Risk, Reference Rates, and Credit Supply 0 1 8 8 2 9 29 29
Benchmarks in Search Markets 0 0 3 29 0 1 8 123
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 0 2 364
Central clearing and collateral demand 0 1 3 110 0 3 13 391
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 4 100 0 0 9 476
Competitive equilibria in general choice spaces 0 0 0 18 0 0 0 44
Continuous-time security pricing: A utility gradient approach 0 0 3 363 0 0 5 609
Corporate Credit Risk Premia 0 0 3 4 0 0 8 14
Corporate Incentives for Hedging and Hedge Accounting 0 0 0 822 0 1 12 2,601
Corporate financial hedging with proprietary information 1 1 2 376 1 1 3 849
Credit Swap Valuation 0 0 0 0 0 1 1 1
Credit risk modeling with affine processes 0 0 0 138 0 2 4 327
Does a Central Clearing Counterparty Reduce Counterparty Risk? 0 1 5 35 1 2 12 147
Dynamic directed random matching 0 0 0 11 0 1 4 75
Efficient and equilibrium allocations with stochastic differential utility 0 1 2 98 0 1 11 188
Equilibrium in incomplete markets: I: A basic model of generic existence 0 1 4 228 1 4 13 418
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 9 280
Financial Market Innovation and Security Design: An Introduction 0 0 5 429 2 2 11 882
Financial Regulatory Reform After the Crisis: An Assessment 0 0 4 40 0 2 12 94
Floating–Fixed Credit Spreads 0 0 0 0 0 0 0 0
Frailty Correlated Default 0 1 4 46 3 5 17 288
From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1 0 1 1 22 0 2 5 91
Funding Value Adjustments 0 0 2 19 0 0 5 105
Hedging in incomplete markets with HARA utility 0 0 0 235 0 1 2 439
How US Treasuries Can Remain the World's Safe Haven 0 3 3 3 0 6 6 6
Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities 0 0 4 230 1 1 7 624
Incomplete security markets with infinitely many states: An introduction 0 0 0 37 0 0 2 109
Information Percolation 0 0 0 44 1 1 7 195
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 0 1 6 133
Is there a case for banning short speculation in sovereign bond markets? 0 1 4 43 0 1 9 181
Jackson Hole 2023 - Structural Changes in Financial Markets and the Conduct of Monetary Policy 0 0 3 10 0 3 12 22
Large portfolio losses 0 0 0 14 0 2 3 121
Liquidation Risk 0 0 0 0 0 2 3 3
Market Fragmentation 1 2 3 40 2 4 9 157
Market Pricing of Deposit Insurance 0 1 1 78 0 1 1 193
Modeling Sovereign Yield Spreads: A Case Study of Russian Debt 0 1 6 252 0 3 11 699
Modeling Term Structures of Defaultable Bonds 0 0 0 3 5 15 47 2,266
Multi-period corporate default prediction with stochastic covariates 1 5 8 301 3 10 24 849
Multiperiod security markets with differential information: Martingales and resolution times 0 0 1 103 0 0 4 204
Optimal Investment With Undiversifiable Income Risk 1 1 2 93 1 3 9 208
Optimal hedging and equilibrium in a dynamic futures market 0 0 2 180 0 0 5 367
Over-the-Counter Markets 0 2 8 397 0 15 35 1,406
PDE solutions of stochastic differential utility 1 2 4 234 2 4 18 441
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 1 7 78 1 5 19 329
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 1 11 313
Replumbing Our Financial System: Uneven Progress 0 0 1 20 2 3 6 154
Reprint of: Information percolation in segmented markets 0 0 1 11 0 1 5 70
Reserves Were Not So Ample After All* 0 4 4 4 7 21 21 21
Risk and Valuation of Collateralized Debt Obligations 0 0 0 0 1 3 4 4
Robust benchmark design 0 0 1 11 0 1 5 43
Securities lending, shorting, and pricing 0 0 6 391 0 2 20 962
Simulated Moments Estimation of Markov Models of Asset Prices 1 1 2 650 1 1 7 1,694
Size Discovery 0 0 1 11 0 0 3 67
Special Repo Rates 0 1 5 633 7 22 47 2,246
Stationary Markov Equilibria 0 0 0 273 0 0 1 902
Stochastic Differential Utility 1 1 3 747 1 3 10 1,587
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 4 322 0 2 10 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 1 4 14 1,068
The Consumption-Based Capital Asset Pricing Model 0 0 4 733 0 1 6 2,042
The Decline of Too Big to Fail 2 6 9 9 6 24 34 34
The Failure Mechanics of Dealer Banks 0 1 2 138 0 1 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 0 1 1 193 0 3 6 797
The exact law of large numbers for independent random matching 1 1 2 27 1 2 5 189
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 0 1 7 439
Transform Analysis and Asset Pricing for Affine Jump-Diffusions 0 0 0 3 0 1 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 1 5 289
Total Journal Articles 13 47 197 14,503 60 238 814 45,790
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 2 6 16 134
How Big Banks Fail and What to Do about It 0 0 0 0 0 2 13 93
Measuring Corporate Default Risk 0 0 0 0 1 1 4 126
The Squam Lake Report: Fixing the Financial System 0 0 0 0 0 2 7 109
Total Books 0 0 0 0 3 11 40 462

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 0 61 0 0 2 198
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 2 3
Comment on "Risk Topography" 0 0 0 3 0 0 1 42
Dollar Funding Stresses in ChinaChina 0 0 0 1 0 1 6 13
Financial Market Infrastructure: Too Important to Fail 0 1 1 18 0 1 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 1 1 2 501 1 4 29 1,309
Introduction 0 0 0 3 0 0 2 39
Introduction 0 0 0 1 0 0 2 25
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 3 24 0 4 15 162
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 0 1 1 131
Systemic Risk Exposures: A 10-by-10-by-10 Approach 0 0 0 35 1 1 9 114
The theory of value in security markets 0 1 2 149 0 1 3 334
Total Chapters 1 5 10 1,310 2 14 88 3,978

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Statistics updated 2025-07-04