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 1 1 3 73
Across-the-Curve Credit Spread Indices 0 0 0 3 2 4 5 27
Affine Processes and Application in Finance 0 0 1 422 1 4 5 1,374
Augmenting Markets with Mechanisms 0 0 0 25 0 1 4 55
Augmenting Markets with Mechanisms 0 0 0 27 1 1 2 51
Augmenting Markets with Mechanisms 0 0 0 9 0 0 0 16
Bank Funding Risk, Reference Rates, and Credit Supply 0 0 2 33 2 5 14 94
Bank Funding Risk, Reference Rates, and Credit Supply 0 0 1 2 0 1 5 6
Bank Funding Risk, Reference Rates, and Credit Supply 0 0 0 10 0 0 2 24
Benchmarks in Search Markets 0 0 0 8 1 1 3 89
Benchmarks in Search Markets 0 0 0 37 0 0 0 154
Benchmarks in Search Markets 0 0 0 9 0 0 2 40
Capital Mobility and Asset Pricing 0 0 0 0 0 0 0 74
Capital Mobility and Asset Pricing 0 0 0 31 0 1 1 105
Capital Mobility and Asset Pricing 0 0 0 55 0 0 1 199
Central Clearing and Collateral Demand 0 0 0 26 0 3 5 148
Central Clearing and Collateral Demand 0 0 0 8 0 0 3 89
Central clearing and collateral demand 0 1 1 39 0 1 3 260
Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs 0 0 0 15 0 0 2 62
Common Failings: How Corporate Defaults are Correlated 0 0 0 160 0 1 2 549
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 28 0 2 5 70
Corporate Credit Risk Premia 0 0 0 46 1 1 2 108
Dealer Capacity and U.S. Treasury Market Functionality 0 0 0 17 1 1 5 25
Dealer capacity and US Treasury market functionality 0 0 0 5 1 5 11 24
Dynamic Directed Random Matching 0 0 0 28 1 1 2 64
Dynamic Directed Random Matching 0 0 0 29 1 1 2 50
Dynamic Directed Random Matching 0 0 0 24 0 1 3 45
Financial Market Infrastructure: Too Important to Fail 0 0 1 40 3 4 7 115
Financial Regulatory Reform after the Crisis: An Assessment 0 0 0 57 0 1 4 135
Frailty Correlated Default 0 0 0 38 0 0 1 256
Funding Value Adjustments 0 0 1 19 0 0 4 69
Funding Value Adjustments 0 0 0 30 0 0 4 114
How Abundant Are Reserves? Evidence from the Wholesale Payment System 0 0 0 11 0 1 3 9
How Abundant Are Reserves? Evidence from the Wholesale Payment System 0 0 0 10 0 1 1 19
How Abundant Are Reserves? Evidence from the Wholesale Payment System 0 0 0 17 0 2 4 16
How abundant are reserves? Evidence from the wholesale payment system 0 0 1 23 0 1 6 24
How the LIBOR Transition Affects the Supply of Revolving Credit 1 2 8 43 1 3 15 87
Information Percolation 0 0 0 5 1 1 1 108
Information Percolation in Segmented Markets 0 0 0 7 1 2 3 69
Information Percolation in Segmented Markets 0 0 1 29 0 0 1 126
Information Percolation with Equilibrium Search Dynamics 0 0 0 26 1 1 2 118
Innovations in credit risk transfer: implications for financial stability 0 0 2 364 0 2 7 1,021
Interoperable Payment Systems and the Role of Central Bank Digital Currencies 0 1 1 66 0 1 3 97
Large Portfolio Losses 0 0 1 139 0 0 2 309
Liquidation Risk 0 0 1 98 0 0 4 516
Liquidity Premia in Dynamic Bargaining Markets 0 0 0 0 0 1 1 144
Market Fragmentation 0 0 0 13 0 0 1 31
Market Fragmentation 0 0 1 29 0 1 8 82
Market-Function Asset Purchases 0 0 0 13 0 1 4 12
Measuring Default Risk Premia from Default Swap Rates and EDFs 0 0 0 64 0 1 4 294
Measuring default risk premia from default swap rates and EDFs 0 0 1 106 1 2 4 482
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 0 171 0 0 8 538
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 1 61 0 1 3 206
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 1 30 0 1 5 135
Multi-Period Corporate Failure Prediction With Stochastic Covariates 0 0 0 1 0 0 5 227
Multi-Period Corporate Failure Prediction With Stochastic Covariates 0 0 0 0 1 4 7 337
Multi-Period Corporate Failure Prediction with Stochastic Covariates 0 0 0 192 0 0 2 688
Over the Counter Search Frictions: A Case Study of the Federal Funds Market 0 1 2 60 0 1 3 140
Over-the-Counter Markets 0 0 0 217 2 2 4 759
Policy Perspectives on OTC Derivatives Market Infrastructure 0 0 0 37 0 2 2 121
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 2 3 4 74
Report on “The Committee on Yen Risk-free-rate Model Estimation†0 0 0 12 1 1 3 122
Reserves Were Not So Ample After All 0 0 1 21 4 5 20 98
Reserves Were Not So Ample After All 0 0 0 28 1 3 4 24
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 3 66
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 3 4 8 492
Size Discovery 0 0 0 4 1 2 2 59
Size Discovery 0 0 0 6 1 1 3 24
Systemic Risk Exposures: A 10-by-10-by-10 Approach 0 0 1 59 0 1 5 127
The Consumption-Based Capital Asset Pricing Model 0 0 0 0 1 1 2 644
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 1 1 3 473
The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation 0 0 0 7 1 3 3 65
The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation 0 0 0 10 1 1 1 64
The failure mechanics of dealer banks 0 0 0 64 0 0 0 285
Transform Analysis and Asset Pricing for Affine Jump-Diffusions 1 1 4 1,619 8 8 16 3,073
Valuation in Dynamic Bargaining Markets 0 0 0 1 0 1 1 126
Valuation in Dynamic Bargaining Markets 0 0 0 1 1 1 2 218
Valuation in Over-the-Counter Markets 0 0 0 41 1 1 2 230
Valuation in Over-the-Counter Markets 0 0 0 136 0 0 0 484
What Quantity of Reserves Is Sufficient? 0 1 2 68 0 1 15 317
Total Working Papers 2 7 37 5,676 51 112 329 18,824

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 13 1,131
A YIELD‐FACTOR MODEL OF INTEREST RATES 3 5 13 313 16 26 45 892
A term structure model with preferences for the timing of resolution of uncertainty (*) 0 0 0 0 1 1 2 202
Across‐the‐Curve Credit Spread Indices 0 0 1 1 0 1 4 6
Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group 0 0 0 47 1 2 3 166
An Econometric Model of the Term Structure of Interest-Rate Swap Yields 0 1 6 783 1 2 12 1,621
An extension of the Black-Scholes model of security valuation 0 0 0 205 0 0 1 471
Analytical value-at-risk with jumps and credit risk 0 0 0 416 2 3 8 1,027
Arrow and General Equilibrium Theory 1 2 3 203 1 4 18 496
Asset Pricing with Heterogeneous Consumers 1 2 5 1,274 3 9 19 3,020
Asset Pricing with Stochastic Differential Utility 0 0 0 419 4 5 8 960
Augmenting Markets with Mechanisms 0 0 0 1 0 3 7 16
Bank Funding Risk, Reference Rates, and Credit Supply 0 2 13 13 7 15 49 49
Benchmarks in Search Markets 0 0 1 29 0 2 9 126
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 1 1 3 365
Central clearing and collateral demand 0 0 1 110 2 4 13 395
Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs 0 0 1 7 2 2 4 41
Comment 0 0 0 1 0 0 1 27
Common Failings: How Corporate Defaults Are Correlated 0 0 1 100 1 3 5 479
Competitive equilibria in general choice spaces 0 0 0 18 1 1 2 46
Continuous-time security pricing: A utility gradient approach 0 0 2 363 0 1 4 610
Corporate Credit Risk Premia 0 0 3 4 1 3 11 17
Corporate Incentives for Hedging and Hedge Accounting 0 1 1 823 3 5 10 2,606
Corporate financial hedging with proprietary information 0 0 1 376 1 1 2 850
Credit Swap Valuation 0 0 0 0 1 1 2 2
Credit risk modeling with affine processes 0 0 0 138 0 0 2 327
Does a Central Clearing Counterparty Reduce Counterparty Risk? 0 0 4 36 2 5 15 155
Dynamic directed random matching 0 0 0 11 0 0 2 75
Efficient and equilibrium allocations with stochastic differential utility 1 1 2 99 2 3 9 193
Equilibrium in incomplete markets: I: A basic model of generic existence 0 1 4 229 0 1 9 419
Equilibrium in incomplete markets: II: Generic existence in stochastic economies 0 0 1 113 1 1 2 217
Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals 0 0 0 134 0 0 2 476
Explaining the U.S. tri-party repo market 0 0 1 95 0 0 6 281
Financial Market Innovation and Security Design: An Introduction 1 2 3 431 2 3 9 887
Financial Regulatory Reform After the Crisis: An Assessment 0 0 1 40 2 3 12 97
Floating–Fixed Credit Spreads 0 0 0 0 2 4 4 4
Frailty Correlated Default 0 0 4 46 0 2 16 292
From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1 0 0 1 22 1 1 6 92
Funding Value Adjustments 0 0 0 19 1 2 4 108
Hedging in incomplete markets with HARA utility 0 0 0 235 0 3 5 442
How US Treasuries Can Remain the World's Safe Haven 1 2 5 5 4 12 20 20
Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities 0 0 2 230 2 2 7 627
Incomplete security markets with infinitely many states: An introduction 0 0 0 37 0 0 2 110
Information Percolation 0 0 0 44 0 1 5 196
Information Percolation With Equilibrium Search Dynamics 0 0 0 47 1 2 2 206
Information Percolation in Large Markets 0 0 0 58 1 1 1 240
Information percolation in segmented markets 0 0 0 16 0 1 5 135
Is there a case for banning short speculation in sovereign bond markets? 0 1 4 44 0 1 7 182
Jackson Hole 2023 - Structural Changes in Financial Markets and the Conduct of Monetary Policy 1 1 2 11 1 6 15 29
Large portfolio losses 0 0 0 14 0 1 4 122
Liquidation Risk 0 0 0 0 0 0 4 4
Market Fragmentation 1 1 3 41 2 2 9 160
Market Pricing of Deposit Insurance 0 0 1 78 1 1 2 194
Modeling Sovereign Yield Spreads: A Case Study of Russian Debt 0 0 4 252 0 0 8 699
Modeling Term Structures of Defaultable Bonds 0 0 0 3 6 9 44 2,278
Multi-period corporate default prediction with stochastic covariates 0 1 7 302 5 10 27 859
Multiperiod security markets with differential information: Martingales and resolution times 0 0 0 103 0 0 3 204
Optimal Investment With Undiversifiable Income Risk 0 2 3 95 0 2 8 210
Optimal hedging and equilibrium in a dynamic futures market 0 0 2 180 0 0 3 367
Over-the-Counter Markets 1 4 9 401 2 11 39 1,419
PDE solutions of stochastic differential utility 0 2 5 236 0 3 17 447
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 5 79 2 6 21 336
Pricing continuously resettled contingent claims 0 0 0 31 0 1 4 91
Prone to Fail: The Pre-crisis Financial System 0 0 0 31 2 4 6 142
Reforming LIBOR and Other Financial Market Benchmarks 0 0 1 89 2 6 15 320
Replumbing Our Financial System: Uneven Progress 0 0 0 20 1 2 7 156
Reprint of: Information percolation in segmented markets 0 0 0 11 2 2 5 73
Reserves Were Not So Ample After All* 3 5 11 11 6 15 39 39
Risk and Valuation of Collateralized Debt Obligations 0 0 2 2 0 0 5 6
Robust benchmark design 0 0 1 12 0 0 2 44
Securities lending, shorting, and pricing 0 0 4 391 0 1 17 964
Simulated Moments Estimation of Markov Models of Asset Prices 0 0 2 650 1 4 10 1,699
Size Discovery 0 0 0 11 0 0 2 67
Special Repo Rates 0 2 7 636 13 27 78 2,280
Stationary Markov Equilibria 0 0 0 273 2 4 6 907
Stochastic Differential Utility 0 0 3 747 1 3 11 1,590
Stochastic Equilibria: Existence, Spanning Number, and the 'No Expected Financial Gain from Trade' Hypothesis 0 0 0 38 0 0 3 136
Stochastic equilibria with incomplete financial markets 0 0 0 117 1 1 1 217
Swap Rates and Credit Quality 0 3 5 325 3 6 12 1,023
Systemic Illiquidity in the Federal Funds Market 0 0 1 135 0 0 2 399
Term Structures of Credit Spreads with Incomplete Accounting Information 0 0 0 2 2 2 11 1,070
The Consumption-Based Capital Asset Pricing Model 0 0 1 733 1 1 3 2,043
The Decline of Too Big to Fail 2 3 12 12 6 12 49 49
The Failure Mechanics of Dealer Banks 0 0 2 138 2 3 9 478
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 2 194 1 5 11 802
The exact law of large numbers for independent random matching 0 1 2 28 3 6 9 195
The relative contributions of private information sharing and public information releases to information aggregation 0 0 0 24 2 2 3 105
Transactions costs and portfolio choice in a discrete-continuous-time setting 0 0 1 247 0 1 7 440
Transform Analysis and Asset Pricing for Affine Jump-Diffusions 0 0 0 3 6 6 20 1,553
Universal state prices and asymmetric information 0 0 0 57 1 1 2 120
Valuation in Over-the-Counter Markets 0 0 1 63 1 3 8 292
Total Journal Articles 16 47 183 14,561 150 314 969 46,181
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 0 12 135
How Big Banks Fail and What to Do about It 0 0 0 0 1 5 15 98
Measuring Corporate Default Risk 0 0 0 0 0 3 7 130
The Squam Lake Report: Fixing the Financial System 0 0 0 0 2 2 9 112
Total Books 0 0 0 0 3 10 43 475

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 1 1 62 1 2 4 200
A Dialogue on the Costs and Benefits of Automatic Stays for Derivatives and Repurchase Agreements 0 0 1 47 0 1 2 197
Comment 0 0 0 0 1 1 3 4
Comment on "Risk Topography" 0 0 0 3 0 1 2 43
Dollar Funding Stresses in ChinaChina 0 0 0 1 0 0 5 14
Financial Market Infrastructure: Too Important to Fail 0 0 1 18 0 2 5 90
IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES 0 0 0 1 0 0 1 36
Intertemporal asset pricing theory 0 1 2 502 2 6 19 1,316
Introduction 0 0 0 3 0 0 1 39
Introduction 0 0 0 1 0 0 0 25
Market Pricing of Deposit Insurance 0 0 0 4 0 1 1 25
Money in general equilibrium theory 0 0 0 448 0 1 2 1,193
Over-The-Counter Markets 0 0 2 25 0 0 11 163
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 0 1 2 132
Systemic Risk Exposures: A 10-by-10-by-10 Approach 0 0 0 35 0 0 8 114
The theory of value in security markets 0 0 2 149 0 0 3 334
Total Chapters 0 2 9 1,313 4 16 69 3,997

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Statistics updated 2025-11-08