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 18 90
Across-the-Curve Credit Spread Indices 0 0 0 3 0 0 15 39
Affine Processes and Application in Finance 0 0 0 422 1 2 17 1,389
An Efficient Liquidity Savings Mechanism 0 0 0 0 0 0 0 0
Augmenting Markets with Mechanisms 0 0 0 27 2 4 23 73
Augmenting Markets with Mechanisms 0 0 0 9 1 2 16 32
Augmenting Markets with Mechanisms 0 0 0 25 0 1 15 70
Bank Funding Risk, Reference Rates, and Credit Supply 0 0 0 2 0 1 9 15
Bank Funding Risk, Reference Rates, and Credit Supply 0 0 1 34 1 3 29 120
Bank Funding Risk, Reference Rates, and Credit Supply 0 0 0 10 3 3 32 56
Benchmarks in Search Markets 0 0 0 8 0 1 14 102
Benchmarks in Search Markets 0 0 0 9 0 2 6 46
Benchmarks in Search Markets 0 0 0 37 1 3 20 174
Capital Mobility and Asset Pricing 0 0 0 55 1 1 13 212
Capital Mobility and Asset Pricing 0 0 0 0 0 0 8 82
Capital Mobility and Asset Pricing 0 0 0 31 0 0 12 117
Central Clearing and Collateral Demand 0 0 0 8 0 1 12 101
Central Clearing and Collateral Demand 0 1 1 27 1 3 19 167
Central clearing and collateral demand 0 0 1 39 1 1 23 282
Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs 0 0 0 15 1 2 10 72
Common Failings: How Corporate Defaults are Correlated 0 0 0 160 1 1 14 563
Compression Auctions With an Application to LIBOR-SOFR Swap Conversion 0 0 0 8 0 0 11 29
Corporate Credit Risk Premia 0 0 0 28 0 1 14 83
Corporate Credit Risk Premia 0 0 0 46 1 3 13 120
Dealer Capacity and U.S. Treasury Market Functionality 0 0 0 17 3 12 56 80
Dealer capacity and US Treasury market functionality 1 1 1 6 4 9 45 67
Dynamic Directed Random Matching 0 0 0 29 0 0 12 61
Dynamic Directed Random Matching 0 0 0 24 1 2 10 54
Dynamic Directed Random Matching 0 0 0 28 3 5 18 81
Financial Market Infrastructure: Too Important to Fail 0 1 1 41 1 3 20 132
Financial Regulatory Reform after the Crisis: An Assessment 0 0 1 58 1 1 16 151
Frailty Correlated Default 0 0 0 38 0 0 10 266
Funding Value Adjustments 0 1 5 24 3 7 30 99
Funding Value Adjustments 0 0 0 30 2 3 19 133
How Abundant Are Reserves? Evidence from the Wholesale Payment System 0 0 0 11 2 3 12 21
How Abundant Are Reserves? Evidence from the Wholesale Payment System 0 0 0 17 2 2 19 35
How Abundant Are Reserves? Evidence from the Wholesale Payment System 0 0 0 10 0 0 5 24
How abundant are reserves? Evidence from the wholesale payment system 0 0 0 23 3 3 14 37
How the LIBOR Transition Affects the Supply of Revolving Credit 0 0 4 45 1 2 16 100
Information Percolation 0 0 0 5 1 1 17 124
Information Percolation in Segmented Markets 0 0 0 7 1 1 10 78
Information Percolation in Segmented Markets 0 0 0 29 0 0 9 135
Information Percolation with Equilibrium Search Dynamics 0 0 0 26 0 1 15 132
Innovations in credit risk transfer: implications for financial stability 0 1 3 367 1 2 16 1,036
Interoperable Payment Systems and the Role of Central Bank Digital Currencies 0 0 0 66 0 0 13 110
Large Portfolio Losses 0 0 0 139 0 0 7 316
Liquidation Risk 0 0 0 98 2 2 18 534
Liquidity Premia in Dynamic Bargaining Markets 0 0 0 0 0 0 6 149
Market Fragmentation 0 0 0 13 0 1 19 50
Market Fragmentation 0 0 1 30 1 5 29 111
Market-Function Asset Purchases 0 0 0 13 0 0 10 22
Measuring Default Risk Premia from Default Swap Rates and EDFs 0 0 0 64 1 4 16 309
Measuring default risk premia from default swap rates and EDFs 0 0 0 106 0 0 17 498
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 0 171 2 2 49 587
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 0 30 1 1 17 152
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 0 61 2 4 16 222
Multi-Period Corporate Failure Prediction With Stochastic Covariates 0 0 0 1 1 1 15 242
Multi-Period Corporate Failure Prediction With Stochastic Covariates 0 0 0 0 0 0 11 346
Multi-Period Corporate Failure Prediction with Stochastic Covariates 0 0 0 192 0 0 12 700
Over the Counter Search Frictions: A Case Study of the Federal Funds Market 0 0 3 62 0 0 16 155
Over-the-Counter Markets 0 0 0 217 2 5 47 804
Policy Perspectives on OTC Derivatives Market Infrastructure 0 0 0 37 1 1 8 129
Policy perspectives on OTC derivatives market infrastructure 0 0 3 84 0 1 13 205
Reforming LIBOR and Other Financial-Market Benchmarks 0 0 0 34 1 1 15 87
Report on “The Committee on Yen Risk-free-rate Model Estimation†0 0 0 12 0 1 6 127
Reserves Were Not So Ample After All 0 0 0 28 0 3 28 51
Reserves Were Not So Ample After All 0 0 0 21 4 7 27 121
Reserves Were Not So Ample after All 0 0 1 12 1 1 10 17
Resolution of Failing Central Counterparties 0 0 1 27 0 1 14 79
Robust Benchmark Design 0 0 0 11 1 2 11 98
Robust Benchmark Design 0 0 0 12 0 2 10 58
Simulated Moments Estimation of Markov Models of Asset Prices 0 0 0 112 2 2 26 515
Size Discovery 0 0 0 4 1 2 13 71
Size Discovery 0 0 0 6 0 0 11 34
Smart Contracting in Network Markets 0 0 0 0 0 0 0 0
Systemic Risk Exposures: A 10-by-10-by-10 Approach 0 0 0 59 0 0 11 137
The Consumption-Based Capital Asset Pricing Model 0 0 0 0 0 0 7 650
The Exact Law of Large Numbers for Independent Random Matching 0 0 0 138 0 0 12 484
The Exact Law of Large Numbers for Independent Random Matching 0 0 0 38 1 3 18 146
The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation 0 0 0 10 0 0 8 71
The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation 0 0 0 7 1 1 13 76
The failure mechanics of dealer banks 0 0 0 64 1 1 12 297
Transform Analysis and Asset Pricing for Affine Jump-Diffusions 1 1 5 1,623 4 7 41 3,106
Valuation in Dynamic Bargaining Markets 0 0 0 1 0 0 11 228
Valuation in Dynamic Bargaining Markets 0 0 0 1 0 0 6 132
Valuation in Over-the-Counter Markets 0 0 0 136 1 1 20 504
Valuation in Over-the-Counter Markets 0 0 0 41 3 4 16 245
What Quantity of Reserves Is Sufficient? 0 0 1 68 0 0 15 331
Total Working Papers 2 6 33 5,703 78 159 1,432 20,186

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 1 5 47 1,176
A YIELD‐FACTOR MODEL OF INTEREST RATES 0 2 13 321 4 11 76 945
A term structure model with preferences for the timing of resolution of uncertainty (*) 0 0 0 0 0 0 12 213
Across‐the‐Curve Credit Spread Indices 0 0 1 2 2 3 13 19
Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group 0 0 0 47 1 2 12 177
An Econometric Model of the Term Structure of Interest-Rate Swap Yields 1 1 3 786 1 2 21 1,641
An extension of the Black-Scholes model of security valuation 0 1 1 206 0 2 8 479
Analytical value-at-risk with jumps and credit risk 0 0 1 417 0 0 18 1,043
Arrow and General Equilibrium Theory 0 0 2 203 0 0 12 504
Asset Pricing with Heterogeneous Consumers 1 1 3 1,275 4 8 68 3,081
Asset Pricing with Stochastic Differential Utility 0 1 1 420 0 1 17 973
Augmenting Markets with Mechanisms 0 0 0 1 1 1 58 74
Bank Funding Risk, Reference Rates, and Credit Supply 1 1 6 17 1 2 57 94
Benchmarks in Search Markets 0 0 1 30 0 2 27 152
Black, Merton and Scholes — Their Central Contributions to Economics 0 0 0 3 1 1 11 20
Capital Mobility and Asset Pricing 0 0 0 67 57 60 69 433
Central clearing and collateral demand 1 3 3 113 2 7 25 418
Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs 0 0 0 7 1 1 12 51
Comment 0 0 0 1 1 1 6 33
Common Failings: How Corporate Defaults Are Correlated 0 0 0 100 0 2 15 493
Competitive equilibria in general choice spaces 0 0 0 18 0 0 3 48
Continuous-time security pricing: A utility gradient approach 0 0 1 364 8 8 25 635
Corporate Credit Risk Premia 0 0 0 4 2 2 9 25
Corporate Incentives for Hedging and Hedge Accounting 0 0 3 825 0 5 24 2,625
Corporate financial hedging with proprietary information 0 0 1 377 0 3 11 860
Credit Swap Valuation 0 0 2 2 1 2 18 19
Credit risk modeling with affine processes 0 0 0 138 0 2 26 353
Does a Central Clearing Counterparty Reduce Counterparty Risk? 1 2 2 38 4 7 37 187
Dynamic directed random matching 0 0 0 11 0 1 22 97
Efficient and equilibrium allocations with stochastic differential utility 0 0 2 100 0 1 12 203
Equilibrium in incomplete markets: I: A basic model of generic existence 0 0 0 229 1 5 17 436
Equilibrium in incomplete markets: II: Generic existence in stochastic economies 0 0 1 114 0 0 8 224
Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals 0 0 0 134 1 1 10 486
Explaining the U.S. tri-party repo market 0 0 2 97 0 0 24 305
Financial Market Innovation and Security Design: An Introduction 0 1 9 438 0 4 27 911
Financial Regulatory Reform After the Crisis: An Assessment 0 0 1 41 3 6 27 121
Floating–Fixed Credit Spreads 0 0 1 1 0 0 9 11
Frailty Correlated Default 0 0 4 50 2 2 18 309
From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1 0 0 1 23 0 0 12 103
Funding Value Adjustments 0 0 4 23 2 5 33 139
Hedging in incomplete markets with HARA utility 0 0 0 235 0 1 8 450
How US Treasuries Can Remain the World's Safe Haven 0 0 2 6 2 8 50 66
Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities 0 0 0 230 0 1 12 637
Incomplete security markets with infinitely many states: An introduction 0 0 0 37 0 0 4 114
Information Percolation 0 0 0 44 1 2 13 209
Information Percolation With Equilibrium Search Dynamics 0 0 0 47 0 2 16 221
Information Percolation in Large Markets 0 0 0 58 0 3 13 252
Information percolation in segmented markets 0 0 0 16 2 2 14 148
Is there a case for banning short speculation in sovereign bond markets? 0 0 1 44 0 1 16 197
Jackson Hole 2023 - Structural Changes in Financial Markets and the Conduct of Monetary Policy 0 0 1 11 5 8 30 56
Large portfolio losses 0 0 0 14 0 1 8 129
Liquidation Risk 0 0 0 0 1 3 26 30
Market Fragmentation 0 1 4 44 1 3 20 178
Market Pricing of Deposit Insurance 0 0 0 78 0 0 11 204
Modeling Sovereign Yield Spreads: A Case Study of Russian Debt 0 0 0 252 1 1 14 713
Modeling Term Structures of Defaultable Bonds 0 0 0 3 8 15 76 2,347
Multi-period corporate default prediction with stochastic covariates 0 2 5 306 0 8 52 901
Multiperiod security markets with differential information: Martingales and resolution times 0 0 0 103 0 0 3 207
Optimal Investment With Undiversifiable Income Risk 0 0 3 98 0 0 9 219
Optimal hedging and equilibrium in a dynamic futures market 0 0 0 180 0 1 9 376
Over-the-Counter Markets 1 1 5 404 1 8 102 1,516
PDE solutions of stochastic differential utility 0 0 1 236 12 12 24 469
Preface to the Special Issue on Systemic Risk: Models and Mechanisms 0 0 0 11 0 1 12 53
Presidential Address: Asset Price Dynamics with Slow‐Moving Capital 2 2 4 83 8 15 52 385
Pricing continuously resettled contingent claims 0 0 1 32 1 2 7 97
Prone to Fail: The Pre-crisis Financial System 0 0 0 31 0 1 16 156
Reforming LIBOR and Other Financial Market Benchmarks 1 2 3 92 3 5 26 344
Replumbing Our Financial System: Uneven Progress 0 0 0 20 0 0 21 175
Reprint of: Information percolation in segmented markets 0 0 0 11 1 2 16 87
Reserves Were Not So Ample After All* 0 0 10 16 0 6 57 84
Risk and Valuation of Collateralized Debt Obligations 0 0 0 2 1 1 12 18
Robust benchmark design 0 0 0 12 2 8 22 66
Securities lending, shorting, and pricing 0 1 3 394 3 9 37 1,001
Simulated Moments Estimation of Markov Models of Asset Prices 0 0 0 650 1 3 31 1,728
Size Discovery 0 1 1 12 2 4 13 80
Special Repo Rates 0 0 5 640 1 3 90 2,350
Stationary Markov Equilibria 0 0 0 273 0 1 14 917
Stochastic Differential Utility 1 1 4 751 2 4 25 1,613
Stochastic Equilibria: Existence, Spanning Number, and the 'No Expected Financial Gain from Trade' Hypothesis 0 0 0 38 0 0 5 141
Stochastic equilibria with incomplete financial markets 0 0 0 117 0 0 7 223
Swap Rates and Credit Quality 0 0 3 328 0 1 17 1,037
Systemic Illiquidity in the Federal Funds Market 0 0 0 135 1 1 16 415
Term Structures of Credit Spreads with Incomplete Accounting Information 0 0 0 2 4 13 37 1,105
The Consumption-Based Capital Asset Pricing Model 0 0 0 733 1 1 11 2,053
The Decline of Too Big to Fail 0 0 19 28 1 10 98 138
The Failure Mechanics of Dealer Banks 0 0 0 138 2 3 33 509
The New Palgrave: Finance: A book review 0 0 0 18 0 2 8 109
The Squam Lake Report: Fixing the Financial System 0 0 2 196 2 3 26 826
The exact law of large numbers for independent random matching 0 0 0 28 0 0 18 208
The relative contributions of private information sharing and public information releases to information aggregation 0 0 0 24 0 2 13 116
Transactions costs and portfolio choice in a discrete-continuous-time setting 0 0 0 247 0 0 6 446
Transform Analysis and Asset Pricing for Affine Jump-Diffusions 0 0 0 3 2 8 53 1,600
Universal state prices and asymmetric information 0 0 0 57 1 2 5 124
Valuation in Over-the-Counter Markets 0 0 1 64 0 2 21 310
Total Journal Articles 10 24 147 14,676 174 358 2,311 48,269
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 3 3 20 155
How Big Banks Fail and What to Do about It 0 0 0 0 1 4 27 124
Measuring Corporate Default Risk 0 0 0 0 2 3 16 143
The Squam Lake Report: Fixing the Financial System 0 0 0 0 1 1 11 121
Total Books 0 0 0 0 7 11 74 543

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 62 2 2 15 214
A Dialogue on the Costs and Benefits of Automatic Stays for Derivatives and Repurchase Agreements 0 0 1 48 0 1 9 206
Comment 0 0 0 0 0 0 5 8
Comment on "Risk Topography" 0 0 1 4 1 1 7 50
Dollar Funding Stresses in ChinaChina 0 0 0 1 0 0 5 19
Financial Market Infrastructure: Too Important to Fail 0 0 0 18 0 0 10 98
IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES 0 0 0 1 0 0 13 49
Intertemporal asset pricing theory 0 0 1 503 4 4 36 1,349
Introduction 0 0 0 1 1 1 6 31
Introduction 0 0 0 3 0 1 8 47
Market Pricing of Deposit Insurance 0 0 0 4 0 0 10 35
Money in general equilibrium theory 0 0 0 448 0 0 9 1,201
Over-The-Counter Markets 0 1 3 28 0 4 19 182
Policy Issues Facing the Market for Credit Derivatives 0 0 0 14 0 1 11 83
Resolution of Failing Central Counterparties 0 0 0 0 0 1 15 147
Systemic Risk Exposures: A 10-by-10-by-10 Approach 0 0 0 35 0 0 11 125
The theory of value in security markets 0 0 0 149 0 0 6 340
Total Chapters 0 1 6 1,319 8 16 195 4,184

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Statistics updated 2026-09-10