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


Statistics updated 2025-07-04