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 19 91
Across-the-Curve Credit Spread Indices 0 0 0 3 0 0 14 39
Affine Processes and Application in Finance 2 2 2 424 6 7 22 1,395
An Efficient Liquidity Savings Mechanism 1 1 1 1 2 2 2 2
Augmenting Markets with Mechanisms 0 0 0 27 0 3 23 73
Augmenting Markets with Mechanisms 0 0 0 25 0 0 15 70
Augmenting Markets with Mechanisms 0 0 0 9 0 2 16 32
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 0 1 28 120
Bank Funding Risk, Reference Rates, and Credit Supply 0 0 0 10 0 3 32 56
Benchmarks in Search Markets 0 0 0 9 0 1 6 46
Benchmarks in Search Markets 0 0 0 37 0 1 20 174
Benchmarks in Search Markets 0 0 0 8 0 0 14 102
Capital Mobility and Asset Pricing 0 0 0 0 0 0 8 82
Capital Mobility and Asset Pricing 0 0 0 55 0 1 13 212
Capital Mobility and Asset Pricing 0 0 0 31 2 2 14 119
Central Clearing and Collateral Demand 0 0 1 27 1 3 20 168
Central Clearing and Collateral Demand 0 0 0 8 1 1 13 102
Central clearing and collateral demand 0 0 0 39 0 1 22 282
Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs 0 0 0 15 0 1 10 72
Common Failings: How Corporate Defaults are Correlated 0 0 0 160 1 2 15 564
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 46 0 2 13 120
Corporate Credit Risk Premia 0 0 0 28 0 0 13 83
Dealer Capacity and U.S. Treasury Market Functionality 0 0 0 17 6 13 62 86
Dealer capacity and US Treasury market functionality 0 1 1 6 3 11 47 70
Dynamic Directed Random Matching 0 0 0 29 0 0 12 61
Dynamic Directed Random Matching 0 0 0 24 0 2 9 54
Dynamic Directed Random Matching 0 0 0 28 0 4 18 81
Financial Market Infrastructure: Too Important to Fail 0 0 1 41 0 2 20 132
Financial Regulatory Reform after the Crisis: An Assessment 0 0 1 58 0 1 16 151
Frailty Correlated Default 0 0 0 38 0 0 10 266
Funding Value Adjustments 0 0 5 24 5 9 35 104
Funding Value Adjustments 0 0 0 30 1 4 20 134
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 11 1 4 13 22
How Abundant Are Reserves? Evidence from the Wholesale Payment System 0 0 0 17 0 2 19 35
How abundant are reserves? Evidence from the wholesale payment system 0 0 0 23 0 3 13 37
How the LIBOR Transition Affects the Supply of Revolving Credit 0 0 3 45 1 3 15 101
Information Percolation 0 0 0 5 0 1 17 124
Information Percolation in Segmented Markets 0 0 0 29 0 0 9 135
Information Percolation in Segmented Markets 0 0 0 7 0 1 10 78
Information Percolation with Equilibrium Search Dynamics 0 0 0 26 1 1 16 133
Innovations in credit risk transfer: implications for financial stability 0 1 3 367 1 3 16 1,037
Interoperable Payment Systems and the Role of Central Bank Digital Currencies 0 0 0 66 1 1 14 111
Large Portfolio Losses 0 0 0 139 0 0 7 316
Liquidation Risk 0 0 0 98 0 2 18 534
Liquidity Premia in Dynamic Bargaining Markets 0 0 0 0 0 0 5 149
Market Fragmentation 0 0 0 13 0 1 19 50
Market Fragmentation 0 0 1 30 0 3 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 0 4 15 309
Measuring default risk premia from default swap rates and EDFs 0 0 0 106 3 3 20 501
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 0 61 0 2 16 222
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 0 171 0 2 49 587
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 0 30 0 1 17 152
Multi-Period Corporate Failure Prediction With Stochastic Covariates 0 0 0 1 0 1 15 242
Multi-Period Corporate Failure Prediction With Stochastic Covariates 0 0 0 0 0 0 10 346
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 2 62 0 0 15 155
Over-the-Counter Markets 0 0 0 217 1 3 48 805
Policy Perspectives on OTC Derivatives Market Infrastructure 0 0 0 37 0 1 8 129
Policy perspectives on OTC derivatives market infrastructure 0 0 3 84 1 1 14 206
Reforming LIBOR and Other Financial-Market Benchmarks 0 0 0 34 0 1 15 87
Report on “The Committee on Yen Risk-free-rate Model Estimation†0 0 0 12 0 0 6 127
Reserves Were Not So Ample After All 0 0 0 28 3 4 31 54
Reserves Were Not So Ample After All 0 0 0 21 1 6 28 122
Reserves Were Not So Ample after All 0 0 1 12 0 1 10 17
Resolution of Failing Central Counterparties 0 0 1 27 0 1 13 79
Robust Benchmark Design 0 0 0 11 0 2 11 98
Robust Benchmark Design 0 0 0 12 0 0 10 58
Simulated Moments Estimation of Markov Models of Asset Prices 0 0 0 112 0 2 26 515
Size Discovery 0 0 0 4 0 2 13 71
Size Discovery 0 0 0 6 0 0 11 34
Smart Contracting in Network Markets 11 11 11 11 5 5 5 5
Systemic Risk Exposures: A 10-by-10-by-10 Approach 0 0 0 59 0 0 10 137
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 38 1 2 19 147
The Exact Law of Large Numbers for Independent Random Matching 0 0 0 138 1 1 13 485
The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation 0 0 0 7 1 2 13 77
The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation 0 0 0 10 0 0 8 71
The failure mechanics of dealer banks 0 0 0 64 0 1 12 297
Transform Analysis and Asset Pricing for Affine Jump-Diffusions 0 1 5 1,623 0 6 41 3,106
Valuation in Dynamic Bargaining Markets 0 0 0 1 0 0 6 132
Valuation in Dynamic Bargaining Markets 0 0 0 1 2 2 13 230
Valuation in Over-the-Counter Markets 0 0 0 41 0 3 16 245
Valuation in Over-the-Counter Markets 0 0 0 136 0 1 20 504
What Quantity of Reserves Is Sufficient? 0 0 0 68 0 0 14 331
Total Working Papers 14 17 43 5,717 53 167 1,466 20,239

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 4 48 1,177
A YIELD‐FACTOR MODEL OF INTEREST RATES 4 5 15 325 5 11 74 950
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 0 2 13 19
Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group 0 0 0 47 1 3 13 178
An Econometric Model of the Term Structure of Interest-Rate Swap Yields 0 1 3 786 0 1 21 1,641
An extension of the Black-Scholes model of security valuation 0 0 1 206 0 1 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 1 1 2 204 1 1 10 505
Asset Pricing with Heterogeneous Consumers 2 3 4 1,277 6 10 70 3,087
Asset Pricing with Stochastic Differential Utility 0 1 1 420 1 2 18 974
Augmenting Markets with Mechanisms 0 0 0 1 0 1 58 74
Bank Funding Risk, Reference Rates, and Credit Supply 0 1 4 17 0 1 52 94
Benchmarks in Search Markets 0 0 1 30 2 2 28 154
Black, Merton and Scholes — Their Central Contributions to Economics 0 0 0 3 0 1 11 20
Capital Mobility and Asset Pricing 0 0 0 67 0 57 69 433
Central clearing and collateral demand 0 3 3 113 1 7 26 419
Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs 0 0 0 7 0 1 12 51
Comment 0 0 0 1 0 1 6 33
Common Failings: How Corporate Defaults Are Correlated 0 0 0 100 1 1 16 494
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 0 8 25 635
Corporate Credit Risk Premia 0 0 0 4 2 4 11 27
Corporate Incentives for Hedging and Hedge Accounting 1 1 3 826 2 4 24 2,627
Corporate financial hedging with proprietary information 0 0 1 377 0 2 11 860
Credit Swap Valuation 0 0 2 2 3 4 21 22
Credit risk modeling with affine processes 0 0 0 138 0 1 26 353
Does a Central Clearing Counterparty Reduce Counterparty Risk? 2 4 4 40 6 12 40 193
Dynamic directed random matching 0 0 0 11 0 1 22 97
Efficient and equilibrium allocations with stochastic differential utility 0 0 2 100 1 1 13 204
Equilibrium in incomplete markets: I: A basic model of generic existence 0 0 0 229 0 2 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 0 1 10 486
Explaining the U.S. tri-party repo market 0 0 2 97 1 1 25 306
Financial Market Innovation and Security Design: An Introduction 0 1 8 438 2 3 28 913
Financial Regulatory Reform After the Crisis: An Assessment 0 0 1 41 0 5 26 121
Floating–Fixed Credit Spreads 0 0 1 1 0 0 9 11
Frailty Correlated Default 0 0 4 50 2 4 19 311
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 6 34 141
Hedging in incomplete markets with HARA utility 0 0 0 235 0 0 8 450
How US Treasuries Can Remain the World's Safe Haven 0 0 2 6 0 3 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 0 2 13 209
Information Percolation With Equilibrium Search Dynamics 0 0 0 47 0 0 16 221
Information Percolation in Large Markets 0 0 0 58 0 3 13 252
Information percolation in segmented markets 0 0 0 16 1 3 14 149
Is there a case for banning short speculation in sovereign bond markets? 0 0 0 44 1 2 16 198
Jackson Hole 2023 - Structural Changes in Financial Markets and the Conduct of Monetary Policy 0 0 1 11 2 9 30 58
Large portfolio losses 0 0 0 14 0 1 7 129
Liquidation Risk 0 0 0 0 0 2 26 30
Market Fragmentation 0 1 4 44 0 3 20 178
Market Pricing of Deposit Insurance 1 1 1 79 3 3 14 207
Modeling Sovereign Yield Spreads: A Case Study of Russian Debt 0 0 0 252 1 2 15 714
Modeling Term Structures of Defaultable Bonds 0 0 0 3 11 22 86 2,358
Multi-period corporate default prediction with stochastic covariates 2 2 6 308 8 11 55 909
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 1 1 10 220
Optimal hedging and equilibrium in a dynamic futures market 0 0 0 180 0 1 9 376
Over-the-Counter Markets 0 1 4 404 2 5 101 1,518
PDE solutions of stochastic differential utility 0 0 0 236 0 12 22 469
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 1 3 5 84 9 19 60 394
Pricing continuously resettled contingent claims 0 0 1 32 1 3 7 98
Prone to Fail: The Pre-crisis Financial System 0 0 0 31 0 1 16 156
Reforming LIBOR and Other Financial Market Benchmarks 0 1 3 92 1 4 27 345
Replumbing Our Financial System: Uneven Progress 0 0 0 20 0 0 20 175
Reprint of: Information percolation in segmented markets 0 0 0 11 0 2 16 87
Reserves Were Not So Ample After All* 0 0 8 16 2 5 53 86
Risk and Valuation of Collateralized Debt Obligations 0 0 0 2 1 2 13 19
Robust benchmark design 0 0 0 12 1 5 23 67
Securities lending, shorting, and pricing 0 0 3 394 2 10 39 1,003
Simulated Moments Estimation of Markov Models of Asset Prices 0 0 0 650 6 8 36 1,734
Size Discovery 0 1 1 12 1 5 14 81
Special Repo Rates 0 0 4 640 0 2 83 2,350
Stationary Markov Equilibria 0 0 0 273 0 1 12 917
Stochastic Differential Utility 1 2 5 752 1 4 25 1,614
Stochastic Equilibria: Existence, Spanning Number, and the 'No Expected Financial Gain from Trade' Hypothesis 0 0 0 38 1 1 6 142
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 2 17 416
Term Structures of Credit Spreads with Incomplete Accounting Information 0 0 0 2 0 8 37 1,105
The Consumption-Based Capital Asset Pricing Model 0 0 0 733 0 1 11 2,053
The Decline of Too Big to Fail 1 1 19 29 5 11 100 143
The Failure Mechanics of Dealer Banks 0 0 0 138 0 3 33 509
The New Palgrave: Finance: A book review 0 0 0 18 1 1 9 110
The Squam Lake Report: Fixing the Financial System 0 0 2 196 2 5 27 828
The exact law of large numbers for independent random matching 0 0 0 28 1 1 17 209
The relative contributions of private information sharing and public information releases to information aggregation 0 0 0 24 0 0 13 116
Transactions costs and portfolio choice in a discrete-continuous-time setting 0 0 0 247 1 1 7 447
Transform Analysis and Asset Pricing for Affine Jump-Diffusions 0 0 0 3 3 9 56 1,603
Universal state prices and asymmetric information 0 0 0 57 0 1 5 124
Valuation in Over-the-Counter Markets 0 0 1 64 1 2 20 311
Total Journal Articles 16 34 147 14,692 111 371 2,349 48,380
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 1 4 21 156
How Big Banks Fail and What to Do about It 0 0 0 0 0 3 27 124
Measuring Corporate Default Risk 0 0 0 0 0 2 13 143
The Squam Lake Report: Fixing the Financial System 0 0 0 0 0 1 11 121
Total Books 0 0 0 0 1 10 72 544

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 0 2 15 214
A Dialogue on the Costs and Benefits of Automatic Stays for Derivatives and Repurchase Agreements 1 1 2 49 2 3 11 208
Comment 0 0 0 0 0 0 5 8
Comment on "Risk Topography" 0 0 1 4 0 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 8 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 2 6 37 1,351
Introduction 0 0 0 1 0 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 1 1 9 1,202
Over-The-Counter Markets 0 0 3 28 1 2 20 183
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 0 15 147
Systemic Risk Exposures: A 10-by-10-by-10 Approach 0 0 0 35 1 1 12 126
The theory of value in security markets 0 0 0 149 1 1 7 341
Total Chapters 1 1 7 1,320 8 20 199 4,192

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Statistics updated 2026-10-11