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 5 12 15 86
Across-the-Curve Credit Spread Indices 0 0 0 3 0 11 17 39
Affine Processes and Application in Finance 0 0 1 422 0 5 10 1,379
Augmenting Markets with Mechanisms 0 0 0 9 4 11 11 27
Augmenting Markets with Mechanisms 0 0 0 27 4 10 14 63
Augmenting Markets with Mechanisms 0 0 0 25 1 7 12 65
Bank Funding Risk, Reference Rates, and Credit Supply 0 0 0 2 1 7 10 13
Bank Funding Risk, Reference Rates, and Credit Supply 0 0 0 10 1 23 26 49
Bank Funding Risk, Reference Rates, and Credit Supply 0 1 2 34 3 13 24 108
Benchmarks in Search Markets 0 0 0 9 0 2 4 42
Benchmarks in Search Markets 0 0 0 37 6 12 15 169
Benchmarks in Search Markets 0 0 0 8 0 4 9 95
Capital Mobility and Asset Pricing 0 0 0 0 1 6 7 81
Capital Mobility and Asset Pricing 0 0 0 31 1 9 12 116
Capital Mobility and Asset Pricing 0 0 0 55 0 5 9 208
Central Clearing and Collateral Demand 0 0 0 8 1 5 7 95
Central Clearing and Collateral Demand 0 0 0 26 2 10 16 159
Central clearing and collateral demand 0 0 1 39 6 16 22 279
Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs 0 0 0 15 2 5 7 68
Common Failings: How Corporate Defaults are Correlated 0 0 0 160 1 8 11 558
Compression Auctions With an Application to LIBOR-SOFR Swap Conversion 0 0 0 8 1 8 10 28
Corporate Credit Risk Premia 0 0 1 28 0 11 15 82
Corporate Credit Risk Premia 0 0 0 46 0 3 7 114
Dealer Capacity and U.S. Treasury Market Functionality 0 0 0 17 4 18 21 43
Dealer capacity and US Treasury market functionality 0 0 0 5 0 14 23 39
Dynamic Directed Random Matching 0 0 0 29 2 7 11 59
Dynamic Directed Random Matching 0 0 0 28 0 6 10 72
Dynamic Directed Random Matching 0 0 0 24 0 1 4 48
Financial Market Infrastructure: Too Important to Fail 0 0 1 40 2 11 17 126
Financial Regulatory Reform after the Crisis: An Assessment 1 1 1 58 3 10 13 147
Frailty Correlated Default 0 0 0 38 0 2 5 261
Funding Value Adjustments 2 3 4 22 5 16 20 87
Funding Value Adjustments 0 0 0 30 4 9 11 125
How Abundant Are Reserves? Evidence from the Wholesale Payment System 0 0 0 11 0 8 10 17
How Abundant Are Reserves? Evidence from the Wholesale Payment System 0 0 0 17 4 11 14 28
How Abundant Are Reserves? Evidence from the Wholesale Payment System 0 0 0 10 0 0 4 22
How abundant are reserves? Evidence from the wholesale payment system 0 0 0 23 4 6 9 30
How the LIBOR Transition Affects the Supply of Revolving Credit 0 1 6 44 1 6 17 94
Information Percolation 0 0 0 5 1 8 9 116
Information Percolation in Segmented Markets 0 0 1 29 1 5 6 131
Information Percolation in Segmented Markets 0 0 0 7 2 8 10 77
Information Percolation with Equilibrium Search Dynamics 0 0 0 26 0 9 13 130
Innovations in credit risk transfer: implications for financial stability 0 2 4 366 0 9 15 1,030
Interoperable Payment Systems and the Role of Central Bank Digital Currencies 0 0 1 66 2 9 11 106
Large Portfolio Losses 0 0 1 139 0 2 4 312
Liquidation Risk 0 0 0 98 4 13 16 530
Liquidity Premia in Dynamic Bargaining Markets 0 0 0 0 1 5 6 149
Market Fragmentation 0 0 0 13 0 9 9 40
Market Fragmentation 1 1 2 30 3 13 24 100
Market-Function Asset Purchases 0 0 0 13 5 8 12 21
Measuring Default Risk Premia from Default Swap Rates and EDFs 0 0 0 64 2 7 9 301
Measuring default risk premia from default swap rates and EDFs 0 0 0 106 3 11 16 495
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 0 171 8 37 45 575
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 1 61 1 8 11 215
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 1 30 0 11 15 146
Multi-Period Corporate Failure Prediction With Stochastic Covariates 0 0 0 1 2 6 11 236
Multi-Period Corporate Failure Prediction With Stochastic Covariates 0 0 0 0 5 7 12 344
Multi-Period Corporate Failure Prediction with Stochastic Covariates 0 0 0 192 1 5 9 695
Over the Counter Search Frictions: A Case Study of the Federal Funds Market 0 1 4 62 1 8 13 151
Over-the-Counter Markets 0 0 0 217 3 17 23 778
Policy Perspectives on OTC Derivatives Market Infrastructure 0 0 0 37 1 6 8 127
Policy perspectives on OTC derivatives market infrastructure 2 2 2 83 3 6 8 199
Reforming LIBOR and Other Financial-Market Benchmarks 0 0 0 34 0 8 11 82
Report on “The Committee on Yen Risk-free-rate Model Estimation†0 0 0 12 0 4 7 126
Reserves Were Not So Ample After All 0 0 0 21 4 8 24 108
Reserves Were Not So Ample After All 0 0 0 28 6 14 19 39
Reserves Were Not So Ample after All 1 1 1 12 3 6 7 14
Resolution of Failing Central Counterparties 0 1 1 27 3 9 11 75
Robust Benchmark Design 0 0 0 11 0 3 4 91
Robust Benchmark Design 0 0 0 12 0 6 7 55
Simulated Moments Estimation of Markov Models of Asset Prices 0 0 0 112 3 10 17 504
Size Discovery 0 0 0 6 4 6 7 30
Size Discovery 0 0 0 4 2 8 10 67
Systemic Risk Exposures: A 10-by-10-by-10 Approach 0 0 0 59 2 9 11 136
The Consumption-Based Capital Asset Pricing Model 0 0 0 0 2 5 6 649
The Exact Law of Large Numbers for Independent Random Matching 0 0 0 138 4 11 13 484
The Exact Law of Large Numbers for Independent Random Matching 0 0 0 38 1 12 15 142
The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation 0 0 0 7 1 8 11 73
The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation 0 0 0 10 0 5 7 70
The failure mechanics of dealer banks 0 0 0 64 1 5 6 291
Transform Analysis and Asset Pricing for Affine Jump-Diffusions 0 0 4 1,619 0 6 22 3,083
Valuation in Dynamic Bargaining Markets 0 0 0 1 1 8 10 227
Valuation in Dynamic Bargaining Markets 0 0 0 1 0 4 5 130
Valuation in Over-the-Counter Markets 0 0 0 41 0 3 6 235
Valuation in Over-the-Counter Markets 0 0 0 136 3 8 11 495
What Quantity of Reserves Is Sufficient? 0 0 1 68 4 6 10 324
Total Working Papers 7 14 41 5,691 162 727 1,051 19,655

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 31 43 1,167
A YIELD‐FACTOR MODEL OF INTEREST RATES 1 2 13 316 8 20 59 916
A term structure model with preferences for the timing of resolution of uncertainty (*) 0 0 0 0 2 8 10 210
Across‐the‐Curve Credit Spread Indices 0 0 1 2 3 8 10 15
Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group 0 0 0 47 3 7 10 174
An Econometric Model of the Term Structure of Interest-Rate Swap Yields 1 2 5 785 1 7 15 1,630
An extension of the Black-Scholes model of security valuation 0 0 0 205 2 4 6 476
Analytical value-at-risk with jumps and credit risk 0 0 0 416 2 10 14 1,037
Arrow and General Equilibrium Theory 0 0 2 203 1 5 14 501
Asset Pricing with Heterogeneous Consumers 0 0 3 1,274 0 31 48 3,053
Asset Pricing with Stochastic Differential Utility 0 0 0 419 0 6 15 967
Augmenting Markets with Mechanisms 0 0 0 1 6 52 59 69
Bank Funding Risk, Reference Rates, and Credit Supply 1 2 11 15 3 25 66 81
Benchmarks in Search Markets 0 0 1 29 9 17 23 144
Black, Merton and Scholes — Their Central Contributions to Economics 0 0 0 3 0 6 7 16
Capital Mobility and Asset Pricing 0 0 0 67 1 5 7 370
Central clearing and collateral demand 0 0 1 110 1 11 21 407
Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs 0 0 0 7 0 6 8 47
Comment 0 0 0 1 0 1 2 29
Common Failings: How Corporate Defaults Are Correlated 0 0 0 100 1 8 11 487
Competitive equilibria in general choice spaces 0 0 0 18 0 2 4 48
Continuous-time security pricing: A utility gradient approach 0 0 1 363 2 13 15 623
Corporate Credit Risk Premia 0 0 0 4 2 4 8 22
Corporate Incentives for Hedging and Hedge Accounting 0 1 2 824 2 10 17 2,617
Corporate financial hedging with proprietary information 0 0 2 377 0 3 6 854
Credit Swap Valuation 1 1 1 1 3 8 11 11
Credit risk modeling with affine processes 0 0 0 138 3 18 20 345
Does a Central Clearing Counterparty Reduce Counterparty Risk? 0 0 2 36 2 11 23 168
Dynamic directed random matching 0 0 0 11 2 14 17 91
Efficient and equilibrium allocations with stochastic differential utility 0 0 2 99 1 5 11 198
Equilibrium in incomplete markets: I: A basic model of generic existence 0 0 2 229 2 7 12 426
Equilibrium in incomplete markets: II: Generic existence in stochastic economies 0 0 1 114 2 2 7 223
Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals 0 0 0 134 3 4 7 481
Explaining the U.S. tri-party repo market 1 2 2 97 3 16 18 297
Financial Market Innovation and Security Design: An Introduction 4 5 7 436 7 14 23 902
Financial Regulatory Reform After the Crisis: An Assessment 0 0 0 40 2 9 16 108
Floating–Fixed Credit Spreads 0 1 1 1 0 3 8 8
Frailty Correlated Default 1 1 2 47 1 6 19 300
From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1 1 1 2 23 2 7 11 99
Funding Value Adjustments 2 2 2 21 5 16 19 124
Hedging in incomplete markets with HARA utility 0 0 0 235 2 6 11 449
How US Treasuries Can Remain the World's Safe Haven 0 0 5 5 9 16 37 37
Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities 0 0 0 230 0 7 11 634
Incomplete security markets with infinitely many states: An introduction 0 0 0 37 0 2 5 113
Information Percolation 0 0 0 44 2 5 7 201
Information Percolation With Equilibrium Search Dynamics 0 0 0 47 8 13 15 219
Information Percolation in Large Markets 0 0 0 58 2 6 7 246
Information percolation in segmented markets 0 0 0 16 2 9 14 145
Is there a case for banning short speculation in sovereign bond markets? 0 0 3 44 1 10 16 194
Jackson Hole 2023 - Structural Changes in Financial Markets and the Conduct of Monetary Policy 0 0 1 11 1 12 25 43
Large portfolio losses 0 0 0 14 0 3 8 126
Liquidation Risk 0 0 0 0 5 14 17 18
Market Fragmentation 0 0 4 42 1 8 18 171
Market Pricing of Deposit Insurance 0 0 1 78 2 6 8 200
Modeling Sovereign Yield Spreads: A Case Study of Russian Debt 0 0 1 252 3 10 13 709
Modeling Term Structures of Defaultable Bonds 0 0 0 3 4 13 48 2,295
Multi-period corporate default prediction with stochastic covariates 1 1 8 304 6 21 45 882
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 2 5 97 1 7 12 217
Optimal hedging and equilibrium in a dynamic futures market 0 0 0 180 1 4 4 371
Over-the-Counter Markets 0 2 8 403 20 62 95 1,484
PDE solutions of stochastic differential utility 0 0 4 236 2 5 18 453
Preface to the Special Issue on Systemic Risk: Models and Mechanisms 0 0 0 11 3 8 8 49
Presidential Address: Asset Price Dynamics with Slow‐Moving Capital 0 0 3 79 6 17 32 354
Pricing continuously resettled contingent claims 0 0 0 31 0 2 5 94
Prone to Fail: The Pre-crisis Financial System 0 0 0 31 0 4 13 149
Reforming LIBOR and Other Financial Market Benchmarks 0 0 0 89 1 12 22 333
Replumbing Our Financial System: Uneven Progress 0 0 0 20 3 12 21 172
Reprint of: Information percolation in segmented markets 0 0 0 11 1 6 11 80
Reserves Were Not So Ample After All* 0 3 14 14 2 14 58 58
Risk and Valuation of Collateralized Debt Obligations 0 0 2 2 1 5 11 12
Robust benchmark design 0 0 1 12 1 9 12 54
Securities lending, shorting, and pricing 1 1 2 392 8 17 27 985
Simulated Moments Estimation of Markov Models of Asset Prices 0 0 2 650 0 10 17 1,709
Size Discovery 0 0 0 11 0 4 5 72
Special Repo Rates 1 1 5 637 5 37 111 2,335
Stationary Markov Equilibria 0 0 0 273 1 5 11 913
Stochastic Differential Utility 0 1 2 748 1 7 14 1,598
Stochastic Equilibria: Existence, Spanning Number, and the 'No Expected Financial Gain from Trade' Hypothesis 0 0 0 38 1 4 6 140
Stochastic equilibria with incomplete financial markets 0 0 0 117 1 3 4 220
Swap Rates and Credit Quality 1 3 6 328 2 9 19 1,033
Systemic Illiquidity in the Federal Funds Market 0 0 0 135 1 12 14 412
Term Structures of Credit Spreads with Incomplete Accounting Information 0 0 0 2 2 16 25 1,088
The Consumption-Based Capital Asset Pricing Model 0 0 0 733 1 5 9 2,050
The Decline of Too Big to Fail 1 8 24 24 6 51 110 110
The Failure Mechanics of Dealer Banks 0 0 1 138 10 14 26 497
The New Palgrave: Finance: A book review 0 0 0 18 0 4 4 105
The Squam Lake Report: Fixing the Financial System 0 0 2 194 2 11 23 817
The exact law of large numbers for independent random matching 0 0 2 28 4 8 16 203
The relative contributions of private information sharing and public information releases to information aggregation 0 0 0 24 0 4 8 111
Transactions costs and portfolio choice in a discrete-continuous-time setting 0 0 0 247 2 4 8 445
Transform Analysis and Asset Pricing for Affine Jump-Diffusions 0 0 0 3 3 17 33 1,574
Universal state prices and asymmetric information 0 0 0 57 0 2 4 122
Valuation in Over-the-Counter Markets 0 0 0 63 2 10 17 304
Total Journal Articles 18 42 172 14,613 231 1,022 1,861 47,353
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 5 15 142
How Big Banks Fail and What to Do about It 0 0 0 0 2 20 28 118
Measuring Corporate Default Risk 0 0 0 0 0 4 10 134
The Squam Lake Report: Fixing the Financial System 0 0 0 0 0 3 9 116
Total Books 0 0 0 0 2 32 62 510

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 8 11 209
A Dialogue on the Costs and Benefits of Automatic Stays for Derivatives and Repurchase Agreements 1 1 2 48 2 4 6 201
Comment 0 0 0 0 1 1 5 8
Comment on "Risk Topography" 0 1 1 4 1 5 6 48
Dollar Funding Stresses in ChinaChina 0 0 0 1 0 3 5 17
Financial Market Infrastructure: Too Important to Fail 0 0 1 18 0 5 11 97
IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES 0 0 0 1 0 6 7 43
Intertemporal asset pricing theory 0 1 3 503 4 12 27 1,332
Introduction 0 0 0 3 0 3 5 44
Introduction 0 0 0 1 0 3 3 28
Market Pricing of Deposit Insurance 0 0 0 4 1 8 9 33
Money in general equilibrium theory 0 0 0 448 2 4 6 1,198
Over-The-Counter Markets 0 1 3 26 2 9 18 173
Policy Issues Facing the Market for Credit Derivatives 0 0 0 14 0 5 5 77
Resolution of Failing Central Counterparties 0 0 0 0 1 9 12 142
Systemic Risk Exposures: A 10-by-10-by-10 Approach 0 0 0 35 2 9 12 124
The theory of value in security markets 0 0 1 149 2 5 6 339
Total Chapters 1 4 12 1,317 20 99 154 4,113

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Statistics updated 2026-03-04