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 3 8 10 81
Across-the-Curve Credit Spread Indices 0 0 0 3 6 12 17 39
Affine Processes and Application in Finance 0 0 1 422 4 5 10 1,379
Augmenting Markets with Mechanisms 0 0 0 27 5 8 10 59
Augmenting Markets with Mechanisms 0 0 0 9 6 7 7 23
Augmenting Markets with Mechanisms 0 0 0 25 3 9 12 64
Bank Funding Risk, Reference Rates, and Credit Supply 0 0 0 10 12 24 25 48
Bank Funding Risk, Reference Rates, and Credit Supply 0 1 2 34 7 11 21 105
Bank Funding Risk, Reference Rates, and Credit Supply 0 0 1 2 5 6 10 12
Benchmarks in Search Markets 0 0 0 9 1 2 4 42
Benchmarks in Search Markets 0 0 0 37 6 9 9 163
Benchmarks in Search Markets 0 0 0 8 2 6 9 95
Capital Mobility and Asset Pricing 0 0 0 55 4 9 9 208
Capital Mobility and Asset Pricing 0 0 0 0 3 6 6 80
Capital Mobility and Asset Pricing 0 0 0 31 7 10 11 115
Central Clearing and Collateral Demand 0 0 0 8 3 5 7 94
Central Clearing and Collateral Demand 0 0 0 26 6 9 14 157
Central clearing and collateral demand 0 0 1 39 7 13 16 273
Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs 0 0 0 15 3 4 6 66
Common Failings: How Corporate Defaults are Correlated 0 0 0 160 3 8 10 557
Compression Auctions With an Application to LIBOR-SOFR Swap Conversion 0 0 0 8 3 9 10 27
Corporate Credit Risk Premia 0 0 1 28 8 12 16 82
Corporate Credit Risk Premia 0 0 0 46 2 6 8 114
Dealer Capacity and U.S. Treasury Market Functionality 0 0 0 17 7 14 18 39
Dealer capacity and US Treasury market functionality 0 0 0 5 5 15 24 39
Dynamic Directed Random Matching 0 0 0 24 1 3 4 48
Dynamic Directed Random Matching 0 0 0 29 1 7 9 57
Dynamic Directed Random Matching 0 0 0 28 4 8 10 72
Financial Market Infrastructure: Too Important to Fail 0 0 1 40 7 9 16 124
Financial Regulatory Reform after the Crisis: An Assessment 0 0 0 57 4 9 13 144
Frailty Correlated Default 0 0 0 38 1 5 5 261
Funding Value Adjustments 0 0 0 30 4 7 10 121
Funding Value Adjustments 0 1 2 20 9 13 17 82
How Abundant Are Reserves? Evidence from the Wholesale Payment System 0 0 0 17 5 8 11 24
How Abundant Are Reserves? Evidence from the Wholesale Payment System 0 0 0 11 7 8 10 17
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 23 1 2 6 26
How the LIBOR Transition Affects the Supply of Revolving Credit 1 1 6 44 4 6 17 93
Information Percolation 0 0 0 5 5 7 8 115
Information Percolation in Segmented Markets 0 0 0 7 2 6 8 75
Information Percolation in Segmented Markets 0 0 1 29 3 4 5 130
Information Percolation with Equilibrium Search Dynamics 0 0 0 26 6 12 13 130
Innovations in credit risk transfer: implications for financial stability 0 2 4 366 4 9 15 1,030
Interoperable Payment Systems and the Role of Central Bank Digital Currencies 0 0 1 66 6 7 10 104
Large Portfolio Losses 0 0 1 139 2 3 5 312
Liquidation Risk 0 0 1 98 8 10 13 526
Liquidity Premia in Dynamic Bargaining Markets 0 0 0 0 3 4 5 148
Market Fragmentation 0 0 1 29 6 15 22 97
Market Fragmentation 0 0 0 13 4 9 9 40
Market-Function Asset Purchases 0 0 0 13 2 4 8 16
Measuring Default Risk Premia from Default Swap Rates and EDFs 0 0 0 64 4 5 8 299
Measuring default risk premia from default swap rates and EDFs 0 0 0 106 5 10 13 492
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 0 171 25 29 37 567
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 1 61 5 8 11 214
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 1 30 5 11 15 146
Multi-Period Corporate Failure Prediction With Stochastic Covariates 0 0 0 1 2 7 12 234
Multi-Period Corporate Failure Prediction With Stochastic Covariates 0 0 0 0 1 2 7 339
Multi-Period Corporate Failure Prediction with Stochastic Covariates 0 0 0 192 4 6 8 694
Over the Counter Search Frictions: A Case Study of the Federal Funds Market 1 2 4 62 6 10 12 150
Over-the-Counter Markets 0 0 0 217 8 16 20 775
Policy Perspectives on OTC Derivatives Market Infrastructure 0 0 0 37 3 5 7 126
Policy perspectives on OTC derivatives market infrastructure 0 0 0 81 2 4 5 196
Reforming LIBOR and Other Financial-Market Benchmarks 0 0 0 34 5 8 11 82
Report on “The Committee on Yen Risk-free-rate Model Estimation†0 0 0 12 2 4 7 126
Reserves Were Not So Ample After All 0 0 0 21 4 6 22 104
Reserves Were Not So Ample After All 0 0 0 28 3 9 13 33
Reserves Were Not So Ample after All 0 0 0 11 1 4 4 11
Resolution of Failing Central Counterparties 1 1 1 27 5 6 9 72
Robust Benchmark Design 0 0 0 12 5 7 8 55
Robust Benchmark Design 0 0 0 11 2 4 4 91
Simulated Moments Estimation of Markov Models of Asset Prices 0 0 0 112 3 9 15 501
Size Discovery 0 0 0 4 4 6 8 65
Size Discovery 0 0 0 6 2 2 3 26
Systemic Risk Exposures: A 10-by-10-by-10 Approach 0 0 0 59 4 7 10 134
The Consumption-Based Capital Asset Pricing Model 0 0 0 0 3 3 5 647
The Exact Law of Large Numbers for Independent Random Matching 0 0 0 38 4 13 14 141
The Exact Law of Large Numbers for Independent Random Matching 0 0 0 138 5 7 9 480
The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation 0 0 0 10 3 6 7 70
The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation 0 0 0 7 6 7 10 72
The failure mechanics of dealer banks 0 0 0 64 3 5 5 290
Transform Analysis and Asset Pricing for Affine Jump-Diffusions 0 0 4 1,619 2 10 23 3,083
Valuation in Dynamic Bargaining Markets 0 0 0 1 3 4 5 130
Valuation in Dynamic Bargaining Markets 0 0 0 1 6 8 10 226
Valuation in Over-the-Counter Markets 0 0 0 41 1 5 6 235
Valuation in Over-the-Counter Markets 0 0 0 136 3 8 8 492
What Quantity of Reserves Is Sufficient? 0 0 1 68 2 3 15 320
Total Working Papers 3 8 36 5,684 371 669 938 19,493

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 8 34 43 1,165
A YIELD‐FACTOR MODEL OF INTEREST RATES 1 2 14 315 8 16 56 908
A term structure model with preferences for the timing of resolution of uncertainty (*) 0 0 0 0 6 6 8 208
Across‐the‐Curve Credit Spread Indices 0 1 1 2 5 6 7 12
Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group 0 0 0 47 3 5 8 171
An Econometric Model of the Term Structure of Interest-Rate Swap Yields 0 1 5 784 4 8 15 1,629
An extension of the Black-Scholes model of security valuation 0 0 0 205 2 3 4 474
Analytical value-at-risk with jumps and credit risk 0 0 0 416 6 8 13 1,035
Arrow and General Equilibrium Theory 0 0 2 203 4 4 13 500
Asset Pricing with Heterogeneous Consumers 0 0 4 1,274 12 33 49 3,053
Asset Pricing with Stochastic Differential Utility 0 0 0 419 4 7 15 967
Augmenting Markets with Mechanisms 0 0 0 1 31 47 53 63
Bank Funding Risk, Reference Rates, and Credit Supply 0 1 13 14 14 29 75 78
Benchmarks in Search Markets 0 0 1 29 7 9 15 135
Black, Merton and Scholes — Their Central Contributions to Economics 0 0 0 3 5 7 7 16
Capital Mobility and Asset Pricing 0 0 0 67 3 4 6 369
Central clearing and collateral demand 0 0 1 110 7 11 22 406
Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs 0 0 0 7 6 6 8 47
Comment 0 0 0 1 1 2 2 29
Common Failings: How Corporate Defaults Are Correlated 0 0 0 100 5 7 10 486
Competitive equilibria in general choice spaces 0 0 0 18 2 2 4 48
Continuous-time security pricing: A utility gradient approach 0 0 2 363 9 11 14 621
Corporate Credit Risk Premia 0 0 2 4 2 3 12 20
Corporate Incentives for Hedging and Hedge Accounting 1 1 2 824 6 9 15 2,615
Corporate financial hedging with proprietary information 0 1 2 377 1 4 6 854
Credit Swap Valuation 0 0 0 0 4 6 8 8
Credit risk modeling with affine processes 0 0 0 138 14 15 17 342
Does a Central Clearing Counterparty Reduce Counterparty Risk? 0 0 3 36 6 11 22 166
Dynamic directed random matching 0 0 0 11 12 14 15 89
Efficient and equilibrium allocations with stochastic differential utility 0 0 2 99 3 4 10 197
Equilibrium in incomplete markets: I: A basic model of generic existence 0 0 2 229 5 5 11 424
Equilibrium in incomplete markets: II: Generic existence in stochastic economies 0 1 1 114 0 4 5 221
Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals 0 0 0 134 0 2 4 478
Explaining the U.S. tri-party repo market 1 1 1 96 7 13 16 294
Financial Market Innovation and Security Design: An Introduction 0 1 3 432 4 8 16 895
Financial Regulatory Reform After the Crisis: An Assessment 0 0 1 40 4 9 19 106
Floating–Fixed Credit Spreads 0 1 1 1 1 4 8 8
Frailty Correlated Default 0 0 2 46 4 7 19 299
From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1 0 0 1 22 4 5 9 97
Funding Value Adjustments 0 0 0 19 10 11 14 119
Hedging in incomplete markets with HARA utility 0 0 0 235 2 5 10 447
How US Treasuries Can Remain the World's Safe Haven 0 0 5 5 6 8 28 28
Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities 0 0 0 230 6 7 11 634
Incomplete security markets with infinitely many states: An introduction 0 0 0 37 1 3 5 113
Information Percolation 0 0 0 44 2 3 6 199
Information Percolation With Equilibrium Search Dynamics 0 0 0 47 3 5 7 211
Information Percolation in Large Markets 0 0 0 58 4 4 5 244
Information percolation in segmented markets 0 0 0 16 5 8 13 143
Is there a case for banning short speculation in sovereign bond markets? 0 0 3 44 7 11 15 193
Jackson Hole 2023 - Structural Changes in Financial Markets and the Conduct of Monetary Policy 0 0 1 11 5 13 25 42
Large portfolio losses 0 0 0 14 1 4 8 126
Liquidation Risk 0 0 0 0 3 9 13 13
Market Fragmentation 0 1 4 42 3 10 18 170
Market Pricing of Deposit Insurance 0 0 1 78 1 4 6 198
Modeling Sovereign Yield Spreads: A Case Study of Russian Debt 0 0 3 252 7 7 12 706
Modeling Term Structures of Defaultable Bonds 0 0 0 3 7 13 47 2,291
Multi-period corporate default prediction with stochastic covariates 0 1 7 303 11 17 39 876
Multiperiod security markets with differential information: Martingales and resolution times 0 0 0 103 0 3 4 207
Optimal Investment With Undiversifiable Income Risk 0 2 5 97 2 6 13 216
Optimal hedging and equilibrium in a dynamic futures market 0 0 0 180 2 3 3 370
Over-the-Counter Markets 1 2 9 403 36 45 76 1,464
PDE solutions of stochastic differential utility 0 0 4 236 2 4 18 451
Preface to the Special Issue on Systemic Risk: Models and Mechanisms 0 0 0 11 4 5 5 46
Presidential Address: Asset Price Dynamics with Slow‐Moving Capital 0 0 4 79 7 12 31 348
Pricing continuously resettled contingent claims 0 0 0 31 1 3 7 94
Prone to Fail: The Pre-crisis Financial System 0 0 0 31 2 7 13 149
Reforming LIBOR and Other Financial Market Benchmarks 0 0 0 89 8 12 24 332
Replumbing Our Financial System: Uneven Progress 0 0 0 20 7 13 19 169
Reprint of: Information percolation in segmented markets 0 0 0 11 4 6 10 79
Reserves Were Not So Ample After All* 2 3 14 14 9 17 56 56
Risk and Valuation of Collateralized Debt Obligations 0 0 2 2 3 5 10 11
Robust benchmark design 0 0 1 12 5 9 11 53
Securities lending, shorting, and pricing 0 0 1 391 8 13 20 977
Simulated Moments Estimation of Markov Models of Asset Prices 0 0 2 650 5 10 20 1,709
Size Discovery 0 0 0 11 3 5 5 72
Special Repo Rates 0 0 4 636 21 50 116 2,330
Stationary Markov Equilibria 0 0 0 273 2 5 11 912
Stochastic Differential Utility 1 1 2 748 5 7 14 1,597
Stochastic Equilibria: Existence, Spanning Number, and the 'No Expected Financial Gain from Trade' Hypothesis 0 0 0 38 1 3 5 139
Stochastic equilibria with incomplete financial markets 0 0 0 117 1 2 3 219
Swap Rates and Credit Quality 0 2 5 327 2 8 18 1,031
Systemic Illiquidity in the Federal Funds Market 0 0 0 135 10 12 13 411
Term Structures of Credit Spreads with Incomplete Accounting Information 0 0 0 2 9 16 24 1,086
The Consumption-Based Capital Asset Pricing Model 0 0 0 733 4 6 8 2,049
The Decline of Too Big to Fail 5 11 23 23 13 55 104 104
The Failure Mechanics of Dealer Banks 0 0 1 138 3 9 16 487
The New Palgrave: Finance: A book review 0 0 0 18 3 4 4 105
The Squam Lake Report: Fixing the Financial System 0 0 2 194 4 13 22 815
The exact law of large numbers for independent random matching 0 0 2 28 3 4 12 199
The relative contributions of private information sharing and public information releases to information aggregation 0 0 0 24 3 6 9 111
Transactions costs and portfolio choice in a discrete-continuous-time setting 0 0 0 247 2 3 6 443
Transform Analysis and Asset Pricing for Affine Jump-Diffusions 0 0 0 3 8 18 32 1,571
Universal state prices and asymmetric information 0 0 0 57 0 2 4 122
Valuation in Over-the-Counter Markets 0 0 0 63 5 10 16 302
Total Journal Articles 12 34 171 14,595 520 941 1,723 47,122
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 7 16 142
How Big Banks Fail and What to Do about It 0 0 0 0 13 18 28 116
Measuring Corporate Default Risk 0 0 0 0 2 4 11 134
The Squam Lake Report: Fixing the Financial System 0 0 0 0 2 4 13 116
Total Books 0 0 0 0 20 33 68 508

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 4 7 10 207
A Dialogue on the Costs and Benefits of Automatic Stays for Derivatives and Repurchase Agreements 0 0 1 47 2 2 4 199
Comment 0 0 0 0 0 3 5 7
Comment on "Risk Topography" 1 1 1 4 4 4 5 47
Dollar Funding Stresses in ChinaChina 0 0 0 1 3 3 6 17
Financial Market Infrastructure: Too Important to Fail 0 0 1 18 4 7 12 97
IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES 0 0 0 1 3 7 7 43
Intertemporal asset pricing theory 1 1 3 503 5 12 26 1,328
Introduction 0 0 0 3 1 5 6 44
Introduction 0 0 0 1 3 3 3 28
Market Pricing of Deposit Insurance 0 0 0 4 1 7 8 32
Money in general equilibrium theory 0 0 0 448 2 3 4 1,196
Over-The-Counter Markets 1 1 3 26 2 8 17 171
Policy Issues Facing the Market for Credit Derivatives 0 0 0 14 4 5 5 77
Resolution of Failing Central Counterparties 0 0 0 0 4 9 11 141
Systemic Risk Exposures: A 10-by-10-by-10 Approach 0 0 0 35 1 8 10 122
The theory of value in security markets 0 0 1 149 2 3 4 337
Total Chapters 3 3 11 1,316 45 96 143 4,093

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Statistics updated 2026-02-12