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 0 4 70
Affine Processes and Application in Finance 0 0 2 420 1 2 9 1,366
Augmenting Markets with Mechanisms 0 0 0 9 0 1 1 16
Augmenting Markets with Mechanisms 0 0 0 27 0 0 0 48
Bank Funding Risk, Reference Rates, and Credit Supply 0 0 0 10 2 3 5 22
Benchmarks in Search Markets 0 0 0 8 0 0 1 86
Benchmarks in Search Markets 0 0 0 37 1 1 1 154
Capital Mobility and Asset Pricing 0 0 0 31 0 0 1 104
Capital Mobility and Asset Pricing 0 0 0 55 0 0 1 196
Capital Mobility and Asset Pricing 0 0 0 0 0 0 1 73
Central Clearing and Collateral Demand 0 1 2 8 0 2 4 86
Central Clearing and Collateral Demand 0 0 0 26 0 2 3 142
Central clearing and collateral demand 0 0 0 38 0 2 15 255
Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs 0 0 0 15 0 0 2 59
Common Failings: How Corporate Defaults are Correlated 0 0 1 159 0 0 3 545
Corporate Credit Risk Premia 0 0 0 27 0 0 2 65
Corporate Credit Risk Premia 1 1 3 45 1 2 5 104
Dynamic Directed Random Matching 0 0 0 28 0 0 0 60
Dynamic Directed Random Matching 0 0 0 29 0 0 0 46
Financial Market Infrastructure: Too Important to Fail 0 0 0 37 0 1 2 105
Financial Regulatory Reform after the Crisis: An Assessment 0 0 1 57 0 0 1 131
Frailty Correlated Default 0 0 0 36 1 3 7 252
Funding Value Adjustments 0 0 0 17 0 0 2 62
How Abundant Are Reserves? Evidence from the Wholesale Payment System 0 0 0 10 0 0 5 16
Information Percolation 0 0 0 5 0 1 3 107
Information Percolation in Segmented Markets 0 0 0 7 0 0 1 66
Information Percolation in Segmented Markets 0 0 0 27 0 0 0 124
Information Percolation with Equilibrium Search Dynamics 0 0 0 26 0 0 0 114
Innovations in credit risk transfer: implications for financial stability 0 0 2 358 0 1 8 1,007
Large Portfolio Losses 0 0 0 138 0 0 0 307
Liquidation Risk 0 0 0 93 0 1 3 507
Liquidity Premia in Dynamic Bargaining Markets 0 0 0 0 0 0 0 143
Market Fragmentation 0 0 1 27 0 0 5 71
Measuring Default Risk Premia from Default Swap Rates and EDFs 0 0 0 64 0 0 2 288
Measuring default risk premia from default swap rates and EDFs 0 1 2 105 2 3 8 476
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 0 60 0 0 2 203
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 0 29 0 0 2 129
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 1 171 0 0 1 529
Multi-Period Corporate Failure Prediction With Stochastic Covariates 0 0 0 1 0 0 1 222
Multi-Period Corporate Failure Prediction With Stochastic Covariates 0 0 0 0 0 0 6 328
Multi-Period Corporate Failure Prediction with Stochastic Covariates 0 0 0 192 0 0 1 686
Over the Counter Search Frictions: A Case Study of the Federal Funds Market 1 1 1 56 1 1 2 134
Over-the-Counter Markets 0 0 0 217 0 0 3 754
Policy Perspectives on OTC Derivatives Market Infrastructure 0 0 0 36 0 2 2 117
Policy perspectives on OTC derivatives market infrastructure 0 0 0 81 0 0 0 191
Report on “The Committee on Yen Risk-free-rate Model Estimation†0 0 1 12 0 1 2 119
Reserves Were Not So Ample After All 0 1 2 20 0 4 12 72
Robust Benchmark Design 0 0 0 11 1 2 3 86
Simulated Moments Estimation of Markov Models of Asset Prices 0 0 0 112 1 1 1 483
Size Discovery 0 0 0 4 0 1 1 56
Size Discovery 0 0 0 6 0 0 0 21
Systemic Risk Exposures: A 10-by-10-by-10 Approach 0 0 0 58 0 0 3 122
The Consumption-Based Capital Asset Pricing Model 0 0 0 0 0 0 4 641
The Exact Law of Large Numbers for Independent Random Matching 0 0 0 38 0 0 0 125
The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation 0 0 0 10 0 0 0 63
The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation 0 0 0 7 0 0 0 62
The failure mechanics of dealer banks 0 0 1 64 0 0 1 284
Transform Analysis and Asset Pricing for Affine Jump-Diffusions 0 0 1 1,615 0 1 7 3,053
Valuation in Dynamic Bargaining Markets 0 0 0 1 0 0 2 216
Valuation in Dynamic Bargaining Markets 0 0 0 1 0 0 2 125
Valuation in Over-the-Counter Markets 0 0 1 136 0 0 2 484
Valuation in Over-the-Counter Markets 0 0 0 41 0 0 2 228
Total Working Papers 2 5 22 4,974 11 38 167 16,806


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 3 9 1,110
A YIELD‐FACTOR MODEL OF INTEREST RATES 3 5 14 287 3 9 31 826
A term structure model with preferences for the timing of resolution of uncertainty (*) 0 0 0 0 0 0 1 200
Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group 0 0 0 47 0 1 2 163
An Econometric Model of the Term Structure of Interest-Rate Swap Yields 0 2 7 773 2 6 13 1,598
An extension of the Black-Scholes model of security valuation 0 0 1 205 0 1 3 468
Analytical value-at-risk with jumps and credit risk 0 1 2 416 0 1 5 1,017
Arrow and General Equilibrium Theory 0 0 1 199 6 7 12 451
Asset Pricing with Heterogeneous Consumers 0 0 3 1,264 3 5 29 2,993
Asset Pricing with Stochastic Differential Utility 1 2 10 416 1 3 16 945
Benchmarks in Search Markets 0 0 1 26 0 1 3 112
Capital Mobility and Asset Pricing 0 0 0 67 0 1 2 362
Central clearing and collateral demand 0 0 5 106 0 5 21 375
Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs 0 0 0 6 0 0 0 35
Comment 0 0 0 1 0 0 1 26
Common Failings: How Corporate Defaults Are Correlated 0 1 4 94 0 4 11 463
Competitive equilibria in general choice spaces 0 0 0 18 0 0 0 44
Continuous-time security pricing: A utility gradient approach 1 1 2 359 2 4 7 603
Corporate Incentives for Hedging and Hedge Accounting 0 1 7 822 1 10 23 2,586
Corporate financial hedging with proprietary information 0 0 2 374 0 3 8 845
Credit risk modeling with affine processes 0 0 1 138 0 0 4 322
Does a Central Clearing Counterparty Reduce Counterparty Risk? 1 1 5 30 2 3 13 133
Dynamic directed random matching 0 0 0 11 0 2 7 70
Efficient and equilibrium allocations with stochastic differential utility 0 0 0 96 0 0 10 177
Equilibrium in incomplete markets: I: A basic model of generic existence 1 1 2 224 2 3 6 405
Equilibrium in incomplete markets: II: Generic existence in stochastic economies 0 0 0 112 0 0 0 215
Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals 0 0 0 134 0 1 2 474
Explaining the U.S. tri-party repo market 0 0 2 93 0 1 6 268
Financial Market Innovation and Security Design: An Introduction 0 3 7 423 0 3 10 869
Frailty Correlated Default 1 2 5 41 1 2 10 266
From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1 0 0 1 21 0 0 2 86
Hedging in incomplete markets with HARA utility 0 0 1 235 0 1 2 437
Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities 0 0 3 226 0 1 13 616
Incomplete security markets with infinitely many states: An introduction 0 0 1 37 0 0 2 107
Information Percolation 0 0 0 44 0 0 0 188
Information Percolation With Equilibrium Search Dynamics 0 0 0 47 0 0 0 204
Information Percolation in Large Markets 0 0 0 58 0 2 3 239
Information percolation in segmented markets 0 0 2 14 0 2 10 127
Is there a case for banning short speculation in sovereign bond markets? 1 1 3 39 2 3 12 171
Large portfolio losses 0 0 0 14 0 0 1 118
Market Pricing of Deposit Insurance 0 0 0 76 0 0 1 191
Modeling Sovereign Yield Spreads: A Case Study of Russian Debt 0 2 3 245 0 3 6 687
Modeling Term Structures of Defaultable Bonds 0 0 0 3 7 9 26 2,204
Multi-period corporate default prediction with stochastic covariates 0 0 5 293 0 0 11 820
Multiperiod security markets with differential information: Martingales and resolution times 1 1 1 102 1 1 2 200
Optimal Investment With Undiversifiable Income Risk 0 2 4 91 0 3 5 198
Optimal hedging and equilibrium in a dynamic futures market 0 1 1 178 0 1 3 362
Over-the-Counter Markets 0 0 3 388 2 7 18 1,366
PDE solutions of stochastic differential utility 0 1 5 229 0 1 7 422
Preface to the Special Issue on Systemic Risk: Models and Mechanisms 0 0 0 11 1 1 2 41
Presidential Address: Asset Price Dynamics with Slow‐Moving Capital 1 3 5 71 2 8 19 308
Pricing continuously resettled contingent claims 0 0 0 31 0 0 2 87
Reforming LIBOR and Other Financial Market Benchmarks 0 1 1 87 0 2 3 302
Replumbing Our Financial System: Uneven Progress 0 0 2 19 0 2 17 147
Reprint of: Information percolation in segmented markets 0 0 1 10 0 0 1 64
Securities lending, shorting, and pricing 1 4 10 384 1 9 28 941
Simulated Moments Estimation of Markov Models of Asset Prices 0 0 2 648 0 0 21 1,686
Size Discovery 0 0 0 10 0 1 1 63
Special Repo Rates 0 0 3 627 2 3 23 2,195
Stationary Markov Equilibria 0 0 1 273 0 3 5 900
Stochastic Differential Utility 0 0 6 742 0 1 12 1,575
Stochastic Equilibria: Existence, Spanning Number, and the 'No Expected Financial Gain from Trade' Hypothesis 0 0 0 38 0 0 1 133
Stochastic equilibria with incomplete financial markets 0 0 0 116 0 0 0 214
Swap Rates and Credit Quality 1 2 8 317 1 4 11 1,006
Systemic Illiquidity in the Federal Funds Market 0 0 0 133 0 0 1 396
Term Structures of Credit Spreads with Incomplete Accounting Information 0 0 0 2 7 12 25 1,049
The Consumption-Based Capital Asset Pricing Model 0 0 3 728 0 0 5 2,035
The Failure Mechanics of Dealer Banks 1 1 1 15 1 1 4 93
The Failure Mechanics of Dealer Banks 0 0 0 136 1 2 4 467
The New Palgrave: Finance: A book review 0 0 0 18 0 0 0 100
The Squam Lake Report: Fixing the Financial System 0 0 3 192 0 2 18 791
The exact law of large numbers for independent random matching 0 0 1 24 1 1 5 182
The relative contributions of private information sharing and public information releases to information aggregation 0 0 0 24 0 0 0 101
Transactions costs and portfolio choice in a discrete-continuous-time setting 0 0 0 245 0 0 2 431
Transform Analysis and Asset Pricing for Affine Jump-Diffusions 0 0 0 3 1 2 12 1,526
Universal state prices and asymmetric information 0 0 0 57 0 0 0 118
Valuation in Over-the-Counter Markets 0 0 2 62 1 1 6 283
Total Journal Articles 14 39 163 14,146 55 168 617 44,398


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 1 4 9 114
How Big Banks Fail and What to Do about It 0 0 0 0 1 1 11 77
Measuring Corporate Default Risk 0 0 0 0 0 2 3 121
The Squam Lake Report: Fixing the Financial System 0 0 0 0 0 3 10 102
Total Books 0 0 0 0 2 10 33 414


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 58 1 3 4 190
A Dialogue on the Costs and Benefits of Automatic Stays for Derivatives and Repurchase Agreements 0 0 3 45 1 4 12 194
Comment on "Risk Topography" 0 0 0 2 0 0 0 40
Financial Market Infrastructure: Too Important to Fail 0 0 0 17 0 0 1 83
IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES 0 0 0 1 0 1 4 28
Intertemporal asset pricing theory 0 3 6 497 1 6 26 1,276
Introduction 0 0 0 3 0 0 0 37
Introduction 0 0 0 1 0 0 0 23
Market Pricing of Deposit Insurance 0 0 0 4 0 1 1 24
Money in general equilibrium theory 1 1 7 446 1 2 16 1,187
Over-The-Counter Markets 0 0 0 20 1 2 4 144
Policy Issues Facing the Market for Credit Derivatives 0 0 1 14 0 0 1 72
Resolution of Failing Central Counterparties 0 0 0 0 0 0 4 130
Systemic Risk Exposures: A 10-by-10-by-10 Approach 1 1 1 35 1 2 3 105
The theory of value in security markets 0 1 4 147 0 1 5 330
Total Chapters 2 7 23 1,290 6 22 81 3,863


Statistics updated 2024-05-04