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 4 6 8 78
Across-the-Curve Credit Spread Indices 0 0 0 3 5 8 11 33
Affine Processes and Application in Finance 0 0 1 422 1 2 6 1,375
Augmenting Markets with Mechanisms 0 0 0 27 1 4 5 54
Augmenting Markets with Mechanisms 0 0 0 25 3 6 10 61
Augmenting Markets with Mechanisms 0 0 0 9 1 1 1 17
Bank Funding Risk, Reference Rates, and Credit Supply 1 1 2 34 3 6 16 98
Bank Funding Risk, Reference Rates, and Credit Supply 0 0 1 2 1 1 6 7
Bank Funding Risk, Reference Rates, and Credit Supply 0 0 0 10 10 12 13 36
Benchmarks in Search Markets 0 0 0 37 0 3 3 157
Benchmarks in Search Markets 0 0 0 8 2 5 7 93
Benchmarks in Search Markets 0 0 0 9 1 1 3 41
Capital Mobility and Asset Pricing 0 0 0 31 1 3 4 108
Capital Mobility and Asset Pricing 0 0 0 55 1 5 6 204
Capital Mobility and Asset Pricing 0 0 0 0 2 3 3 77
Central Clearing and Collateral Demand 0 0 0 8 1 2 4 91
Central Clearing and Collateral Demand 0 0 0 26 2 3 8 151
Central clearing and collateral demand 0 0 1 39 3 6 9 266
Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs 0 0 0 15 0 1 3 63
Common Failings: How Corporate Defaults are Correlated 0 0 0 160 4 5 7 554
Compression Auctions With an Application to LIBOR-SOFR Swap Conversion 0 0 0 8 4 6 7 24
Corporate Credit Risk Premia 0 0 1 28 3 4 8 74
Corporate Credit Risk Premia 0 0 0 46 1 5 6 112
Dealer Capacity and U.S. Treasury Market Functionality 0 0 0 17 7 8 11 32
Dealer capacity and US Treasury market functionality 0 0 0 5 9 11 20 34
Dynamic Directed Random Matching 0 0 0 29 4 7 8 56
Dynamic Directed Random Matching 0 0 0 24 0 2 4 47
Dynamic Directed Random Matching 0 0 0 28 2 5 6 68
Financial Market Infrastructure: Too Important to Fail 0 0 1 40 2 5 9 117
Financial Regulatory Reform after the Crisis: An Assessment 0 0 0 57 3 5 9 140
Frailty Correlated Default 0 0 0 38 1 4 4 260
Funding Value Adjustments 1 1 2 20 2 4 8 73
Funding Value Adjustments 0 0 0 30 1 3 7 117
How Abundant Are Reserves? Evidence from the Wholesale Payment System 0 0 0 10 0 3 4 22
How Abundant Are Reserves? Evidence from the Wholesale Payment System 0 0 0 11 1 1 3 10
How Abundant Are Reserves? Evidence from the Wholesale Payment System 0 0 0 17 2 3 6 19
How abundant are reserves? Evidence from the wholesale payment system 0 0 1 23 1 1 6 25
How the LIBOR Transition Affects the Supply of Revolving Credit 0 1 5 43 1 3 13 89
Information Percolation 0 0 0 5 2 3 3 110
Information Percolation in Segmented Markets 0 0 0 7 4 5 7 73
Information Percolation in Segmented Markets 0 0 1 29 1 1 2 127
Information Percolation with Equilibrium Search Dynamics 0 0 0 26 3 7 8 124
Innovations in credit risk transfer: implications for financial stability 2 2 4 366 5 5 11 1,026
Interoperable Payment Systems and the Role of Central Bank Digital Currencies 0 0 1 66 1 1 4 98
Large Portfolio Losses 0 0 1 139 0 1 3 310
Liquidation Risk 0 0 1 98 1 2 6 518
Liquidity Premia in Dynamic Bargaining Markets 0 0 0 0 1 1 2 145
Market Fragmentation 0 0 1 29 4 9 16 91
Market Fragmentation 0 0 0 13 5 5 5 36
Market-Function Asset Purchases 0 0 0 13 1 2 6 14
Measuring Default Risk Premia from Default Swap Rates and EDFs 0 0 0 64 1 1 5 295
Measuring default risk premia from default swap rates and EDFs 0 0 1 106 3 6 9 487
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 1 61 2 3 6 209
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 0 171 4 4 12 542
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 1 30 6 6 11 141
Multi-Period Corporate Failure Prediction With Stochastic Covariates 0 0 0 0 1 2 6 338
Multi-Period Corporate Failure Prediction With Stochastic Covariates 0 0 0 1 2 5 10 232
Multi-Period Corporate Failure Prediction with Stochastic Covariates 0 0 0 192 0 2 4 690
Over the Counter Search Frictions: A Case Study of the Federal Funds Market 0 1 3 61 1 4 6 144
Over-the-Counter Markets 0 0 0 217 6 10 12 767
Policy Perspectives on OTC Derivatives Market Infrastructure 0 0 0 37 2 2 4 123
Policy perspectives on OTC derivatives market infrastructure 0 0 0 81 1 2 3 194
Reforming LIBOR and Other Financial-Market Benchmarks 0 0 0 34 3 5 7 77
Report on “The Committee on Yen Risk-free-rate Model Estimation†0 0 0 12 2 3 5 124
Reserves Were Not So Ample After All 0 0 0 21 0 6 18 100
Reserves Were Not So Ample After All 0 0 0 28 5 7 10 30
Reserves Were Not So Ample after All 0 0 0 11 2 3 3 10
Resolution of Failing Central Counterparties 0 0 0 26 1 1 4 67
Robust Benchmark Design 0 0 0 12 1 2 4 50
Robust Benchmark Design 0 0 0 11 1 2 2 89
Simulated Moments Estimation of Markov Models of Asset Prices 0 0 0 112 4 9 14 498
Size Discovery 0 0 0 4 2 3 4 61
Size Discovery 0 0 0 6 0 1 1 24
Systemic Risk Exposures: A 10-by-10-by-10 Approach 0 0 1 59 3 3 7 130
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 7 9 10 137
The Exact Law of Large Numbers for Independent Random Matching 0 0 0 138 2 3 5 475
The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation 0 0 0 7 1 2 4 66
The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation 0 0 0 10 2 4 4 67
The failure mechanics of dealer banks 0 0 0 64 1 2 2 287
Transform Analysis and Asset Pricing for Affine Jump-Diffusions 0 1 4 1,619 4 16 22 3,081
Valuation in Dynamic Bargaining Markets 0 0 0 1 1 1 2 127
Valuation in Dynamic Bargaining Markets 0 0 0 1 1 3 4 220
Valuation in Over-the-Counter Markets 0 0 0 136 2 5 5 489
Valuation in Over-the-Counter Markets 0 0 0 41 2 5 5 234
What Quantity of Reserves Is Sufficient? 0 0 2 68 0 1 16 318
Total Working Papers 4 7 37 5,681 194 349 593 19,122

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 21 28 39 1,157
A YIELD‐FACTOR MODEL OF INTEREST RATES 0 4 14 314 4 24 49 900
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 0 1 2 2 0 1 4 7
Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group 0 0 0 47 1 3 5 168
An Econometric Model of the Term Structure of Interest-Rate Swap Yields 1 1 5 784 2 5 12 1,625
An extension of the Black-Scholes model of security valuation 0 0 0 205 0 1 2 472
Analytical value-at-risk with jumps and credit risk 0 0 0 416 2 4 8 1,029
Arrow and General Equilibrium Theory 0 1 2 203 0 1 9 496
Asset Pricing with Heterogeneous Consumers 0 1 4 1,274 19 24 38 3,041
Asset Pricing with Stochastic Differential Utility 0 0 0 419 2 7 11 963
Augmenting Markets with Mechanisms 0 0 0 1 15 16 23 32
Bank Funding Risk, Reference Rates, and Credit Supply 1 1 14 14 8 22 64 64
Benchmarks in Search Markets 0 0 1 29 1 2 9 128
Black, Merton and Scholes — Their Central Contributions to Economics 0 0 0 3 1 2 2 11
Capital Mobility and Asset Pricing 0 0 0 67 1 2 3 366
Central clearing and collateral demand 0 0 1 110 3 6 15 399
Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs 0 0 0 7 0 2 2 41
Comment 0 0 0 1 0 1 1 28
Common Failings: How Corporate Defaults Are Correlated 0 0 0 100 2 3 6 481
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 2 2 6 612
Corporate Credit Risk Premia 0 0 3 4 0 2 11 18
Corporate Incentives for Hedging and Hedge Accounting 0 0 1 823 2 6 12 2,609
Corporate financial hedging with proprietary information 0 1 2 377 2 4 5 853
Credit Swap Valuation 0 0 0 0 1 3 4 4
Credit risk modeling with affine processes 0 0 0 138 1 1 3 328
Does a Central Clearing Counterparty Reduce Counterparty Risk? 0 0 4 36 3 7 17 160
Dynamic directed random matching 0 0 0 11 0 2 3 77
Efficient and equilibrium allocations with stochastic differential utility 0 1 2 99 1 3 8 194
Equilibrium in incomplete markets: I: A basic model of generic existence 0 0 3 229 0 0 7 419
Equilibrium in incomplete markets: II: Generic existence in stochastic economies 0 1 1 114 0 5 5 221
Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals 0 0 0 134 1 2 4 478
Explaining the U.S. tri-party repo market 0 0 1 95 6 6 11 287
Financial Market Innovation and Security Design: An Introduction 1 2 3 432 3 6 12 891
Financial Regulatory Reform After the Crisis: An Assessment 0 0 1 40 3 7 17 102
Floating–Fixed Credit Spreads 1 1 1 1 2 5 7 7
Frailty Correlated Default 0 0 2 46 1 3 16 295
From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1 0 0 1 22 1 2 6 93
Funding Value Adjustments 0 0 0 19 1 2 4 109
Hedging in incomplete markets with HARA utility 0 0 0 235 2 3 8 445
How US Treasuries Can Remain the World's Safe Haven 0 1 5 5 1 6 22 22
Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities 0 0 0 230 1 3 5 628
Incomplete security markets with infinitely many states: An introduction 0 0 0 37 1 2 4 112
Information Percolation 0 0 0 44 1 1 5 197
Information Percolation With Equilibrium Search Dynamics 0 0 0 47 2 3 4 208
Information Percolation in Large Markets 0 0 0 58 0 1 1 240
Information percolation in segmented markets 0 0 0 16 2 3 8 138
Is there a case for banning short speculation in sovereign bond markets? 0 0 4 44 2 4 9 186
Jackson Hole 2023 - Structural Changes in Financial Markets and the Conduct of Monetary Policy 0 1 1 11 6 9 20 37
Large portfolio losses 0 0 0 14 2 3 7 125
Liquidation Risk 0 0 0 0 6 6 10 10
Market Fragmentation 0 2 4 42 4 9 15 167
Market Pricing of Deposit Insurance 0 0 1 78 3 4 5 197
Modeling Sovereign Yield Spreads: A Case Study of Russian Debt 0 0 3 252 0 0 6 699
Modeling Term Structures of Defaultable Bonds 0 0 0 3 2 12 41 2,284
Multi-period corporate default prediction with stochastic covariates 0 1 7 303 4 11 30 865
Multiperiod security markets with differential information: Martingales and resolution times 0 0 0 103 0 3 4 207
Optimal Investment With Undiversifiable Income Risk 2 2 5 97 4 4 11 214
Optimal hedging and equilibrium in a dynamic futures market 0 0 0 180 1 1 1 368
Over-the-Counter Markets 1 2 9 402 6 11 41 1,428
PDE solutions of stochastic differential utility 0 0 5 236 1 2 17 449
Preface to the Special Issue on Systemic Risk: Models and Mechanisms 0 0 0 11 1 1 1 42
Presidential Address: Asset Price Dynamics with Slow‐Moving Capital 0 0 5 79 4 7 25 341
Pricing continuously resettled contingent claims 0 0 0 31 1 2 6 93
Prone to Fail: The Pre-crisis Financial System 0 0 0 31 2 7 11 147
Reforming LIBOR and Other Financial Market Benchmarks 0 0 1 89 3 6 18 324
Replumbing Our Financial System: Uneven Progress 0 0 0 20 2 7 12 162
Reprint of: Information percolation in segmented markets 0 0 0 11 1 4 7 75
Reserves Were Not So Ample After All* 1 4 12 12 3 14 47 47
Risk and Valuation of Collateralized Debt Obligations 0 0 2 2 1 2 7 8
Robust benchmark design 0 0 1 12 3 4 6 48
Securities lending, shorting, and pricing 0 0 2 391 1 5 14 969
Simulated Moments Estimation of Markov Models of Asset Prices 0 0 2 650 5 6 15 1,704
Size Discovery 0 0 0 11 1 2 3 69
Special Repo Rates 0 0 4 636 11 42 101 2,309
Stationary Markov Equilibria 0 0 0 273 2 5 9 910
Stochastic Differential Utility 0 0 1 747 1 3 9 1,592
Stochastic Equilibria: Existence, Spanning Number, and the 'No Expected Financial Gain from Trade' Hypothesis 0 0 0 38 2 2 4 138
Stochastic equilibria with incomplete financial markets 0 0 0 117 1 2 2 218
Swap Rates and Credit Quality 2 2 5 327 5 9 16 1,029
Systemic Illiquidity in the Federal Funds Market 0 0 0 135 1 2 3 401
Term Structures of Credit Spreads with Incomplete Accounting Information 0 0 0 2 5 9 16 1,077
The Consumption-Based Capital Asset Pricing Model 0 0 0 733 0 3 4 2,045
The Decline of Too Big to Fail 2 8 18 18 32 48 91 91
The Failure Mechanics of Dealer Banks 0 0 2 138 1 8 14 484
The New Palgrave: Finance: A book review 0 0 0 18 1 1 2 102
The Squam Lake Report: Fixing the Financial System 0 0 2 194 5 10 20 811
The exact law of large numbers for independent random matching 0 0 2 28 1 4 10 196
The relative contributions of private information sharing and public information releases to information aggregation 0 0 0 24 1 5 6 108
Transactions costs and portfolio choice in a discrete-continuous-time setting 0 0 0 247 0 1 6 441
Transform Analysis and Asset Pricing for Affine Jump-Diffusions 0 0 0 3 6 16 25 1,563
Universal state prices and asymmetric information 0 0 0 57 2 3 4 122
Valuation in Over-the-Counter Markets 0 0 0 63 3 6 11 297
Total Journal Articles 12 38 173 14,583 271 571 1,263 46,602
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 4 14 139
How Big Banks Fail and What to Do about It 0 0 0 0 5 6 17 103
Measuring Corporate Default Risk 0 0 0 0 2 2 9 132
The Squam Lake Report: Fixing the Financial System 0 0 0 0 1 4 11 114
Total Books 0 0 0 0 10 16 51 488

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 2 4 6 203
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 0 4 5 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 1 3 8 93
IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES 0 0 0 1 3 4 4 40
Intertemporal asset pricing theory 0 0 2 502 3 9 21 1,323
Introduction 0 0 0 1 0 0 0 25
Introduction 0 0 0 3 2 4 5 43
Market Pricing of Deposit Insurance 0 0 0 4 6 6 7 31
Money in general equilibrium theory 0 0 0 448 0 1 2 1,194
Over-The-Counter Markets 0 0 2 25 5 6 15 169
Policy Issues Facing the Market for Credit Derivatives 0 0 0 14 1 1 1 73
Resolution of Failing Central Counterparties 0 0 0 0 4 5 7 137
Systemic Risk Exposures: A 10-by-10-by-10 Approach 0 0 0 35 6 7 15 121
The theory of value in security markets 0 0 1 149 1 1 3 335
Total Chapters 0 0 8 1,313 34 55 107 4,048

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Statistics updated 2026-01-08