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 2 17 89
Across-the-Curve Credit Spread Indices 0 0 0 3 0 0 16 39
Affine Processes and Application in Finance 0 0 0 422 1 8 18 1,388
Augmenting Markets with Mechanisms 0 0 0 25 1 4 16 70
Augmenting Markets with Mechanisms 0 0 0 27 1 6 20 70
Augmenting Markets with Mechanisms 0 0 0 9 0 1 14 30
Bank Funding Risk, Reference Rates, and Credit Supply 0 0 1 34 2 8 32 119
Bank Funding Risk, Reference Rates, and Credit Supply 0 0 0 10 0 3 30 53
Bank Funding Risk, Reference Rates, and Credit Supply 0 0 0 2 0 1 10 14
Benchmarks in Search Markets 0 0 0 37 2 4 19 173
Benchmarks in Search Markets 0 0 0 8 1 5 14 102
Benchmarks in Search Markets 0 0 0 9 1 3 6 45
Capital Mobility and Asset Pricing 0 0 0 31 0 0 13 117
Capital Mobility and Asset Pricing 0 0 0 0 0 1 8 82
Capital Mobility and Asset Pricing 0 0 0 55 0 2 12 211
Central Clearing and Collateral Demand 1 1 1 27 1 6 21 165
Central Clearing and Collateral Demand 0 0 0 8 1 6 12 101
Central clearing and collateral demand 0 0 1 39 0 1 23 281
Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs 0 0 0 15 1 3 9 71
Common Failings: How Corporate Defaults are Correlated 0 0 0 160 0 4 14 562
Compression Auctions With an Application to LIBOR-SOFR Swap Conversion 0 0 0 8 0 1 11 29
Corporate Credit Risk Premia 0 0 0 28 1 1 15 83
Corporate Credit Risk Premia 0 0 0 46 1 3 11 118
Dealer Capacity and U.S. Treasury Market Functionality 0 0 0 17 5 28 49 73
Dealer capacity and US Treasury market functionality 0 0 0 5 1 13 41 59
Dynamic Directed Random Matching 0 0 0 29 0 2 12 61
Dynamic Directed Random Matching 0 0 0 28 1 3 15 77
Dynamic Directed Random Matching 0 0 0 24 0 3 8 52
Financial Market Infrastructure: Too Important to Fail 1 1 1 41 1 4 19 130
Financial Regulatory Reform after the Crisis: An Assessment 0 0 1 58 0 1 16 150
Frailty Correlated Default 0 0 0 38 0 5 10 266
Funding Value Adjustments 0 0 0 30 0 5 16 130
Funding Value Adjustments 1 1 6 24 3 6 28 95
How Abundant Are Reserves? Evidence from the Wholesale Payment System 0 0 0 17 0 2 19 33
How Abundant Are Reserves? Evidence from the Wholesale Payment System 0 0 0 10 0 2 6 24
How Abundant Are Reserves? Evidence from the Wholesale Payment System 0 0 0 11 0 1 10 18
How abundant are reserves? Evidence from the wholesale payment system 0 0 0 23 0 4 11 34
How the LIBOR Transition Affects the Supply of Revolving Credit 0 1 5 45 0 3 16 98
Information Percolation 0 0 0 5 0 2 16 123
Information Percolation in Segmented Markets 0 0 0 7 0 0 10 77
Information Percolation in Segmented Markets 0 0 0 29 0 4 9 135
Information Percolation with Equilibrium Search Dynamics 0 0 0 26 1 2 15 132
Innovations in credit risk transfer: implications for financial stability 0 0 2 366 0 3 15 1,034
Interoperable Payment Systems and the Role of Central Bank Digital Currencies 0 0 1 66 0 3 15 110
Large Portfolio Losses 0 0 0 139 0 3 7 316
Liquidation Risk 0 0 0 98 0 1 16 532
Liquidity Premia in Dynamic Bargaining Markets 0 0 0 0 0 0 6 149
Market Fragmentation 0 0 1 30 2 5 27 108
Market Fragmentation 0 0 0 13 0 7 18 49
Market-Function Asset Purchases 0 0 0 13 0 1 11 22
Measuring Default Risk Premia from Default Swap Rates and EDFs 0 0 0 64 0 4 12 305
Measuring default risk premia from default swap rates and EDFs 0 0 0 106 0 3 18 498
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 0 30 0 3 17 151
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 0 171 0 4 47 585
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 1 61 2 5 16 220
Multi-Period Corporate Failure Prediction With Stochastic Covariates 0 0 0 0 0 2 13 346
Multi-Period Corporate Failure Prediction With Stochastic Covariates 0 0 0 1 0 5 15 241
Multi-Period Corporate Failure Prediction with Stochastic Covariates 0 0 0 192 0 3 12 700
Over the Counter Search Frictions: A Case Study of the Federal Funds Market 0 0 3 62 0 2 16 155
Over-the-Counter Markets 0 0 0 217 3 20 46 802
Policy Perspectives on OTC Derivatives Market Infrastructure 0 0 0 37 0 1 9 128
Policy perspectives on OTC derivatives market infrastructure 0 0 3 84 1 4 13 205
Reforming LIBOR and Other Financial-Market Benchmarks 0 0 0 34 0 3 15 86
Report on “The Committee on Yen Risk-free-rate Model Estimation†0 0 0 12 1 1 7 127
Reserves Were Not So Ample After All 0 0 0 28 2 7 30 50
Reserves Were Not So Ample After All 0 0 0 21 2 7 23 116
Reserves Were Not So Ample after All 0 0 1 12 0 1 9 16
Resolution of Failing Central Counterparties 0 0 1 27 0 2 13 78
Robust Benchmark Design 0 0 0 11 0 3 9 96
Robust Benchmark Design 0 0 0 12 2 3 10 58
Simulated Moments Estimation of Markov Models of Asset Prices 0 0 0 112 0 7 25 513
Size Discovery 0 0 0 6 0 0 11 34
Size Discovery 0 0 0 4 0 2 12 69
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 1 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 2 3 17 145
The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation 0 0 0 10 0 1 8 71
The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation 0 0 0 7 0 2 13 75
The failure mechanics of dealer banks 0 0 0 64 0 4 11 296
Transform Analysis and Asset Pricing for Affine Jump-Diffusions 0 2 5 1,622 1 11 36 3,100
Valuation in Dynamic Bargaining Markets 0 0 0 1 0 2 7 132
Valuation in Dynamic Bargaining Markets 0 0 0 1 0 1 11 228
Valuation in Over-the-Counter Markets 0 0 0 41 1 6 13 242
Valuation in Over-the-Counter Markets 0 0 0 136 0 7 19 503
What Quantity of Reserves Is Sufficient? 0 0 1 68 0 7 15 331
Total Working Papers 3 6 35 5,700 45 323 1,380 20,072

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 2 5 45 1,173
A YIELD‐FACTOR MODEL OF INTEREST RATES 1 2 12 320 5 18 73 939
A term structure model with preferences for the timing of resolution of uncertainty (*) 0 0 0 0 0 2 13 213
Across‐the‐Curve Credit Spread Indices 0 0 1 2 1 2 12 17
Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group 0 0 0 47 0 0 11 175
An Econometric Model of the Term Structure of Interest-Rate Swap Yields 0 0 3 785 1 5 21 1,640
An extension of the Black-Scholes model of security valuation 1 1 1 206 1 2 8 478
Analytical value-at-risk with jumps and credit risk 0 1 1 417 0 5 19 1,043
Arrow and General Equilibrium Theory 0 0 2 203 0 3 14 504
Asset Pricing with Heterogeneous Consumers 0 0 3 1,274 4 18 69 3,077
Asset Pricing with Stochastic Differential Utility 0 0 0 419 0 4 17 972
Augmenting Markets with Mechanisms 0 0 0 1 0 3 62 73
Bank Funding Risk, Reference Rates, and Credit Supply 0 1 8 16 1 8 64 93
Benchmarks in Search Markets 0 0 1 30 2 7 29 152
Black, Merton and Scholes — Their Central Contributions to Economics 0 0 0 3 0 3 10 19
Capital Mobility and Asset Pricing 0 0 0 67 3 6 12 376
Central clearing and collateral demand 0 0 0 110 1 4 21 412
Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs 0 0 0 7 0 3 11 50
Comment 0 0 0 1 0 2 5 32
Common Failings: How Corporate Defaults Are Correlated 0 0 0 100 2 4 17 493
Competitive equilibria in general choice spaces 0 0 0 18 0 0 4 48
Continuous-time security pricing: A utility gradient approach 0 1 1 364 0 1 18 627
Corporate Credit Risk Premia 0 0 0 4 0 1 9 23
Corporate Incentives for Hedging and Hedge Accounting 0 1 3 825 3 5 22 2,623
Corporate financial hedging with proprietary information 0 0 1 377 1 3 9 858
Credit Swap Valuation 0 1 2 2 1 6 17 18
Credit risk modeling with affine processes 0 0 0 138 1 5 25 352
Does a Central Clearing Counterparty Reduce Counterparty Risk? 0 0 1 36 1 10 34 181
Dynamic directed random matching 0 0 0 11 0 3 21 96
Efficient and equilibrium allocations with stochastic differential utility 0 0 2 100 1 4 15 203
Equilibrium in incomplete markets: I: A basic model of generic existence 0 0 1 229 3 4 16 434
Equilibrium in incomplete markets: II: Generic existence in stochastic economies 0 0 1 114 0 1 8 224
Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals 0 0 0 134 0 4 11 485
Explaining the U.S. tri-party repo market 0 0 2 97 0 6 25 305
Financial Market Innovation and Security Design: An Introduction 0 1 8 437 3 5 28 910
Financial Regulatory Reform After the Crisis: An Assessment 0 1 1 41 1 6 22 116
Floating–Fixed Credit Spreads 0 0 1 1 0 3 11 11
Frailty Correlated Default 0 1 4 50 0 2 19 307
From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1 0 0 1 23 0 3 12 103
Funding Value Adjustments 0 1 4 23 1 9 30 135
Hedging in incomplete markets with HARA utility 0 0 0 235 1 1 11 450
How US Treasuries Can Remain the World's Safe Haven 0 0 3 6 5 21 57 63
Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities 0 0 0 230 0 2 12 636
Incomplete security markets with infinitely many states: An introduction 0 0 0 37 0 1 5 114
Information Percolation 0 0 0 44 0 6 12 207
Information Percolation With Equilibrium Search Dynamics 0 0 0 47 2 2 17 221
Information Percolation in Large Markets 0 0 0 58 0 2 10 249
Information percolation in segmented markets 0 0 0 16 0 0 13 146
Is there a case for banning short speculation in sovereign bond markets? 0 0 1 44 0 2 15 196
Jackson Hole 2023 - Structural Changes in Financial Markets and the Conduct of Monetary Policy 0 0 1 11 1 5 27 49
Large portfolio losses 0 0 0 14 0 2 7 128
Liquidation Risk 0 0 0 0 1 6 25 28
Market Fragmentation 0 1 3 43 0 4 18 175
Market Pricing of Deposit Insurance 0 0 0 78 0 3 11 204
Modeling Sovereign Yield Spreads: A Case Study of Russian Debt 0 0 0 252 0 2 13 712
Modeling Term Structures of Defaultable Bonds 0 0 0 3 4 32 70 2,336
Multi-period corporate default prediction with stochastic covariates 2 2 5 306 5 12 49 898
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 5 98 0 1 11 219
Optimal hedging and equilibrium in a dynamic futures market 0 0 0 180 0 3 8 375
Over-the-Counter Markets 0 0 6 403 5 21 107 1,513
PDE solutions of stochastic differential utility 0 0 2 236 0 2 16 457
Preface to the Special Issue on Systemic Risk: Models and Mechanisms 0 0 0 11 0 2 11 52
Presidential Address: Asset Price Dynamics with Slow‐Moving Capital 0 0 3 81 5 14 46 375
Pricing continuously resettled contingent claims 0 1 1 32 0 1 6 95
Prone to Fail: The Pre-crisis Financial System 0 0 0 31 0 6 18 155
Reforming LIBOR and Other Financial Market Benchmarks 1 1 2 91 2 6 28 341
Replumbing Our Financial System: Uneven Progress 0 0 0 20 0 3 21 175
Reprint of: Information percolation in segmented markets 0 0 0 11 0 4 15 85
Reserves Were Not So Ample After All* 0 0 12 16 3 15 60 81
Risk and Valuation of Collateralized Debt Obligations 0 0 2 2 0 4 13 17
Robust benchmark design 0 0 1 12 4 7 19 62
Securities lending, shorting, and pricing 1 1 3 394 1 6 31 993
Simulated Moments Estimation of Markov Models of Asset Prices 0 0 0 650 1 13 32 1,726
Size Discovery 0 0 0 11 0 3 9 76
Special Repo Rates 0 3 7 640 1 10 102 2,348
Stationary Markov Equilibria 0 0 0 273 0 2 14 916
Stochastic Differential Utility 0 0 3 750 1 7 23 1,610
Stochastic Equilibria: Existence, Spanning Number, and the 'No Expected Financial Gain from Trade' Hypothesis 0 0 0 38 0 1 7 141
Stochastic equilibria with incomplete financial markets 0 0 0 117 0 1 7 223
Swap Rates and Credit Quality 0 0 6 328 0 2 19 1,036
Systemic Illiquidity in the Federal Funds Market 0 0 0 135 0 1 15 414
Term Structures of Credit Spreads with Incomplete Accounting Information 0 0 0 2 5 9 29 1,097
The Consumption-Based Capital Asset Pricing Model 0 0 0 733 0 0 10 2,052
The Decline of Too Big to Fail 0 3 19 28 4 17 98 132
The Failure Mechanics of Dealer Banks 0 0 0 138 0 7 32 506
The New Palgrave: Finance: A book review 0 0 0 18 2 4 8 109
The Squam Lake Report: Fixing the Financial System 0 1 3 196 0 4 26 823
The exact law of large numbers for independent random matching 0 0 1 28 0 4 19 208
The relative contributions of private information sharing and public information releases to information aggregation 0 0 0 24 2 5 13 116
Transactions costs and portfolio choice in a discrete-continuous-time setting 0 0 0 247 0 0 7 446
Transform Analysis and Asset Pricing for Affine Jump-Diffusions 0 0 0 3 2 16 50 1,594
Universal state prices and asymmetric information 0 0 0 57 1 1 5 123
Valuation in Over-the-Counter Markets 0 1 1 64 1 4 20 309
Total Journal Articles 6 26 155 14,658 98 494 2,219 48,009
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 0 7 18 152
How Big Banks Fail and What to Do about It 0 0 0 0 1 3 28 121
Measuring Corporate Default Risk 0 0 0 0 1 6 15 141
The Squam Lake Report: Fixing the Financial System 0 0 0 0 0 3 11 120
Total Books 0 0 0 0 2 19 72 534

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 0 3 14 212
A Dialogue on the Costs and Benefits of Automatic Stays for Derivatives and Repurchase Agreements 0 0 1 48 0 4 9 205
Comment 0 0 0 0 0 0 5 8
Comment on "Risk Topography" 0 0 1 4 0 1 7 49
Dollar Funding Stresses in ChinaChina 0 0 0 1 0 2 6 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 5 13 49
Intertemporal asset pricing theory 0 0 2 503 0 10 36 1,345
Introduction 0 0 0 1 0 2 5 30
Introduction 0 0 0 3 0 1 7 46
Market Pricing of Deposit Insurance 0 0 0 4 0 2 11 35
Money in general equilibrium theory 0 0 0 448 0 2 9 1,201
Over-The-Counter Markets 1 2 4 28 3 7 19 181
Policy Issues Facing the Market for Credit Derivatives 0 0 0 14 0 4 10 82
Resolution of Failing Central Counterparties 0 0 0 0 1 3 16 147
Systemic Risk Exposures: A 10-by-10-by-10 Approach 0 0 0 35 0 1 11 125
The theory of value in security markets 0 0 0 149 0 1 6 340
Total Chapters 1 2 9 1,319 4 48 194 4,172

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Since October 2025, abstract view statistics are potentially heavily influenced by traffic from AI bots and tools that we could not eliminate despite our best efforts.

Statistics updated 2026-07-10