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 2 4 74
Across-the-Curve Credit Spread Indices 0 0 0 3 1 4 6 28
Affine Processes and Application in Finance 0 0 1 422 0 2 5 1,374
Augmenting Markets with Mechanisms 0 0 0 9 0 0 0 16
Augmenting Markets with Mechanisms 0 0 0 27 2 3 4 53
Augmenting Markets with Mechanisms 0 0 0 25 3 3 7 58
Bank Funding Risk, Reference Rates, and Credit Supply 0 0 1 2 0 0 5 6
Bank Funding Risk, Reference Rates, and Credit Supply 0 0 0 10 2 2 3 26
Bank Funding Risk, Reference Rates, and Credit Supply 0 0 2 33 1 4 14 95
Benchmarks in Search Markets 0 0 0 8 2 3 5 91
Benchmarks in Search Markets 0 0 0 9 0 0 2 40
Benchmarks in Search Markets 0 0 0 37 3 3 3 157
Capital Mobility and Asset Pricing 0 0 0 0 1 1 1 75
Capital Mobility and Asset Pricing 0 0 0 31 2 2 3 107
Capital Mobility and Asset Pricing 0 0 0 55 4 4 5 203
Central Clearing and Collateral Demand 0 0 0 8 1 1 4 90
Central Clearing and Collateral Demand 0 0 0 26 1 1 6 149
Central clearing and collateral demand 0 1 1 39 3 4 6 263
Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs 0 0 0 15 1 1 3 63
Common Failings: How Corporate Defaults are Correlated 0 0 0 160 1 1 3 550
Compression Auctions With an Application to LIBOR-SOFR Swap Conversion 0 0 0 8 2 2 3 20
Corporate Credit Risk Premia 0 0 0 46 3 4 5 111
Corporate Credit Risk Premia 0 0 1 28 1 2 6 71
Dealer Capacity and U.S. Treasury Market Functionality 0 0 0 17 0 1 5 25
Dealer capacity and US Treasury market functionality 0 0 0 5 1 3 12 25
Dynamic Directed Random Matching 0 0 0 29 2 3 4 52
Dynamic Directed Random Matching 0 0 0 24 2 3 5 47
Dynamic Directed Random Matching 0 0 0 28 2 3 4 66
Financial Market Infrastructure: Too Important to Fail 0 0 1 40 0 3 7 115
Financial Regulatory Reform after the Crisis: An Assessment 0 0 0 57 2 2 6 137
Frailty Correlated Default 0 0 0 38 3 3 4 259
Funding Value Adjustments 0 0 1 19 2 2 6 71
Funding Value Adjustments 0 0 0 30 2 2 6 116
How Abundant Are Reserves? Evidence from the Wholesale Payment System 0 0 0 11 0 0 2 9
How Abundant Are Reserves? Evidence from the Wholesale Payment System 0 0 0 17 1 1 5 17
How Abundant Are Reserves? Evidence from the Wholesale Payment System 0 0 0 10 3 3 4 22
How abundant are reserves? Evidence from the wholesale payment system 0 0 1 23 0 1 5 24
How the LIBOR Transition Affects the Supply of Revolving Credit 0 2 5 43 1 4 13 88
Information Percolation 0 0 0 5 0 1 1 108
Information Percolation in Segmented Markets 0 0 0 7 0 1 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 3 4 5 121
Innovations in credit risk transfer: implications for financial stability 0 0 2 364 0 1 7 1,021
Interoperable Payment Systems and the Role of Central Bank Digital Currencies 0 0 1 66 0 0 3 97
Large Portfolio Losses 0 0 1 139 1 1 3 310
Liquidation Risk 0 0 1 98 1 1 5 517
Liquidity Premia in Dynamic Bargaining Markets 0 0 0 0 0 1 1 144
Market Fragmentation 0 0 1 29 5 5 13 87
Market Fragmentation 0 0 0 13 0 0 0 31
Market-Function Asset Purchases 0 0 0 13 1 1 5 13
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 2 3 6 484
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 30 0 0 5 135
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 1 61 1 1 4 207
Multi-Period Corporate Failure Prediction With Stochastic Covariates 0 0 0 1 3 3 8 230
Multi-Period Corporate Failure Prediction With Stochastic Covariates 0 0 0 0 0 2 7 337
Multi-Period Corporate Failure Prediction with Stochastic Covariates 0 0 0 192 2 2 4 690
Over the Counter Search Frictions: A Case Study of the Federal Funds Market 1 2 3 61 3 4 6 143
Over-the-Counter Markets 0 0 0 217 2 4 6 761
Policy Perspectives on OTC Derivatives Market Infrastructure 0 0 0 37 0 0 2 121
Policy perspectives on OTC derivatives market infrastructure 0 0 0 81 1 1 2 193
Reforming LIBOR and Other Financial-Market Benchmarks 0 0 0 34 0 2 4 74
Report on “The Committee on Yen Risk-free-rate Model Estimation†0 0 0 12 0 1 3 122
Reserves Were Not So Ample After All 0 0 1 21 2 6 20 100
Reserves Were Not So Ample After All 0 0 0 28 1 2 5 25
Reserves Were Not So Ample after All 0 0 0 11 1 1 1 8
Resolution of Failing Central Counterparties 0 0 0 26 0 1 3 66
Robust Benchmark Design 0 0 0 12 1 1 3 49
Robust Benchmark Design 0 0 0 11 1 1 1 88
Simulated Moments Estimation of Markov Models of Asset Prices 0 0 0 112 2 5 10 494
Size Discovery 0 0 0 4 0 1 2 59
Size Discovery 0 0 0 6 0 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 0 1 2 644
The Exact Law of Large Numbers for Independent Random Matching 0 0 0 38 2 2 3 130
The Exact Law of Large Numbers for Independent Random Matching 0 0 0 138 0 1 3 473
The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation 0 0 0 10 1 2 2 65
The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation 0 0 0 7 0 2 3 65
The failure mechanics of dealer banks 0 0 0 64 1 1 1 286
Transform Analysis and Asset Pricing for Affine Jump-Diffusions 0 1 4 1,619 4 12 19 3,077
Valuation in Dynamic Bargaining Markets 0 0 0 1 0 0 1 126
Valuation in Dynamic Bargaining Markets 0 0 0 1 1 2 3 219
Valuation in Over-the-Counter Markets 0 0 0 136 3 3 3 487
Valuation in Over-the-Counter Markets 0 0 0 41 2 3 4 232
What Quantity of Reserves Is Sufficient? 0 1 2 68 1 2 16 318
Total Working Papers 1 7 35 5,677 104 174 420 18,928

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 5 7 18 1,136
A YIELD‐FACTOR MODEL OF INTEREST RATES 1 6 14 314 4 27 45 896
A term structure model with preferences for the timing of resolution of uncertainty (*) 0 0 0 0 0 1 2 202
Across‐the‐Curve Credit Spread Indices 1 1 2 2 1 1 4 7
Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group 0 0 0 47 1 2 4 167
An Econometric Model of the Term Structure of Interest-Rate Swap Yields 0 0 5 783 2 3 11 1,623
An extension of the Black-Scholes model of security valuation 0 0 0 205 1 1 2 472
Analytical value-at-risk with jumps and credit risk 0 0 0 416 0 2 8 1,027
Arrow and General Equilibrium Theory 0 2 2 203 0 4 16 496
Asset Pricing with Heterogeneous Consumers 0 2 4 1,274 2 9 19 3,022
Asset Pricing with Stochastic Differential Utility 0 0 0 419 1 5 9 961
Augmenting Markets with Mechanisms 0 0 0 1 1 1 8 17
Bank Funding Risk, Reference Rates, and Credit Supply 0 2 13 13 7 19 56 56
Benchmarks in Search Markets 0 0 1 29 1 2 9 127
Black, Merton and Scholes — Their Central Contributions to Economics 0 0 0 3 1 1 1 10
Capital Mobility and Asset Pricing 0 0 0 67 0 1 3 365
Central clearing and collateral demand 0 0 1 110 1 3 14 396
Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs 0 0 1 7 0 2 3 41
Comment 0 0 0 1 1 1 2 28
Common Failings: How Corporate Defaults Are Correlated 0 0 1 100 0 1 5 479
Competitive equilibria in general choice spaces 0 0 0 18 0 1 2 46
Continuous-time security pricing: A utility gradient approach 0 0 2 363 0 0 4 610
Corporate Credit Risk Premia 0 0 3 4 1 2 12 18
Corporate Incentives for Hedging and Hedge Accounting 0 1 1 823 1 6 11 2,607
Corporate financial hedging with proprietary information 1 1 2 377 1 2 3 851
Credit Swap Valuation 0 0 0 0 1 2 3 3
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 7 16 157
Dynamic directed random matching 0 0 0 11 2 2 4 77
Efficient and equilibrium allocations with stochastic differential utility 0 1 2 99 0 2 7 193
Equilibrium in incomplete markets: I: A basic model of generic existence 0 0 4 229 0 0 9 419
Equilibrium in incomplete markets: II: Generic existence in stochastic economies 1 1 1 114 4 5 5 221
Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals 0 0 0 134 1 1 3 477
Explaining the U.S. tri-party repo market 0 0 1 95 0 0 6 281
Financial Market Innovation and Security Design: An Introduction 0 2 3 431 1 4 10 888
Financial Regulatory Reform After the Crisis: An Assessment 0 0 1 40 2 5 14 99
Floating–Fixed Credit Spreads 0 0 0 0 1 3 5 5
Frailty Correlated Default 0 0 3 46 2 3 17 294
From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1 0 0 1 22 0 1 6 92
Funding Value Adjustments 0 0 0 19 0 2 3 108
Hedging in incomplete markets with HARA utility 0 0 0 235 1 1 6 443
How US Treasuries Can Remain the World's Safe Haven 0 1 5 5 1 5 21 21
Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities 0 0 1 230 0 2 5 627
Incomplete security markets with infinitely many states: An introduction 0 0 0 37 1 1 3 111
Information Percolation 0 0 0 44 0 0 5 196
Information Percolation With Equilibrium Search Dynamics 0 0 0 47 0 1 2 206
Information Percolation in Large Markets 0 0 0 58 0 1 1 240
Information percolation in segmented markets 0 0 0 16 1 2 6 136
Is there a case for banning short speculation in sovereign bond markets? 0 1 4 44 2 3 8 184
Jackson Hole 2023 - Structural Changes in Financial Markets and the Conduct of Monetary Policy 0 1 1 11 2 5 14 31
Large portfolio losses 0 0 0 14 1 2 5 123
Liquidation Risk 0 0 0 0 0 0 4 4
Market Fragmentation 1 2 4 42 3 5 12 163
Market Pricing of Deposit Insurance 0 0 1 78 0 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 4 11 42 2,282
Multi-period corporate default prediction with stochastic covariates 1 2 7 303 2 12 28 861
Multiperiod security markets with differential information: Martingales and resolution times 0 0 0 103 3 3 5 207
Optimal Investment With Undiversifiable Income Risk 0 0 3 95 0 0 8 210
Optimal hedging and equilibrium in a dynamic futures market 0 0 0 180 0 0 0 367
Over-the-Counter Markets 0 2 8 401 3 8 37 1,422
PDE solutions of stochastic differential utility 0 1 5 236 1 3 18 448
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 0 5 79 1 4 21 337
Pricing continuously resettled contingent claims 0 0 0 31 1 2 5 92
Prone to Fail: The Pre-crisis Financial System 0 0 0 31 3 5 9 145
Reforming LIBOR and Other Financial Market Benchmarks 0 0 1 89 1 3 16 321
Replumbing Our Financial System: Uneven Progress 0 0 0 20 4 6 10 160
Reprint of: Information percolation in segmented markets 0 0 0 11 1 3 6 74
Reserves Were Not So Ample After All* 0 5 11 11 5 17 44 44
Risk and Valuation of Collateralized Debt Obligations 0 0 2 2 1 1 6 7
Robust benchmark design 0 0 1 12 1 1 3 45
Securities lending, shorting, and pricing 0 0 3 391 4 4 17 968
Simulated Moments Estimation of Markov Models of Asset Prices 0 0 2 650 0 2 10 1,699
Size Discovery 0 0 0 11 1 1 3 68
Special Repo Rates 0 1 5 636 18 38 93 2,298
Stationary Markov Equilibria 0 0 0 273 1 5 7 908
Stochastic Differential Utility 0 0 2 747 1 3 9 1,591
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 0 1 1 217
Swap Rates and Credit Quality 0 0 3 325 1 4 11 1,024
Systemic Illiquidity in the Federal Funds Market 0 0 0 135 1 1 2 400
Term Structures of Credit Spreads with Incomplete Accounting Information 0 0 0 2 2 4 11 1,072
The Consumption-Based Capital Asset Pricing Model 0 0 1 733 2 3 5 2,045
The Decline of Too Big to Fail 4 7 16 16 10 19 59 59
The Failure Mechanics of Dealer Banks 0 0 2 138 5 7 14 483
The New Palgrave: Finance: A book review 0 0 0 18 0 0 1 101
The Squam Lake Report: Fixing the Financial System 0 0 2 194 4 6 15 806
The exact law of large numbers for independent random matching 0 0 2 28 0 5 9 195
The relative contributions of private information sharing and public information releases to information aggregation 0 0 0 24 2 4 5 107
Transactions costs and portfolio choice in a discrete-continuous-time setting 0 0 1 247 1 1 7 441
Transform Analysis and Asset Pricing for Affine Jump-Diffusions 0 0 0 3 4 10 22 1,557
Universal state prices and asymmetric information 0 0 0 57 0 1 2 120
Valuation in Over-the-Counter Markets 0 0 1 63 2 5 10 294
Total Journal Articles 10 42 175 14,571 150 373 1,057 46,331
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 2 13 137
How Big Banks Fail and What to Do about It 0 0 0 0 0 1 13 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 1 3 10 113
Total Books 0 0 0 0 3 9 43 478

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 62 1 2 5 201
A Dialogue on the Costs and Benefits of Automatic Stays for Derivatives and Repurchase Agreements 0 0 1 47 0 0 2 197
Comment 0 0 0 0 3 4 6 7
Comment on "Risk Topography" 0 0 0 3 0 0 1 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 2 4 7 92
IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES 0 0 0 1 1 1 2 37
Intertemporal asset pricing theory 0 0 2 502 4 7 20 1,320
Introduction 0 0 0 3 2 2 3 41
Introduction 0 0 0 1 0 0 0 25
Market Pricing of Deposit Insurance 0 0 0 4 0 0 1 25
Money in general equilibrium theory 0 0 0 448 1 2 2 1,194
Over-The-Counter Markets 0 0 2 25 1 1 11 164
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 3 133
Systemic Risk Exposures: A 10-by-10-by-10 Approach 0 0 0 35 1 1 9 115
The theory of value in security markets 0 0 2 149 0 0 3 334
Total Chapters 0 0 9 1,313 17 25 80 4,014

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Statistics updated 2025-12-06