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 92
Across-the-Curve Credit Spread Indices 0 0 0 3 0 0 12 39
Affine Processes and Application in Finance 0 2 2 424 4 11 25 1,399
An Efficient Liquidity Savings Mechanism 0 1 1 1 2 4 4 4
Augmenting Markets with Mechanisms 0 0 0 27 2 4 24 75
Augmenting Markets with Mechanisms 0 0 0 25 2 2 17 72
Augmenting Markets with Mechanisms 0 0 0 9 3 4 19 35
Bank Funding Risk, Reference Rates, and Credit Supply 0 0 1 34 2 3 28 122
Bank Funding Risk, Reference Rates, and Credit Supply 0 0 0 10 3 6 35 59
Bank Funding Risk, Reference Rates, and Credit Supply 0 0 0 2 4 4 13 19
Benchmarks in Search Markets 0 0 0 9 2 2 8 48
Benchmarks in Search Markets 0 0 0 37 2 3 22 176
Benchmarks in Search Markets 0 0 0 8 3 3 16 105
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 1 3 15 120
Central Clearing and Collateral Demand 0 0 1 27 2 4 22 170
Central Clearing and Collateral Demand 0 0 0 8 1 2 14 103
Central clearing and collateral demand 0 0 0 39 2 3 24 284
Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs 0 0 0 15 3 4 13 75
Common Failings: How Corporate Defaults are Correlated 0 0 0 160 0 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 1 1 1 47 2 3 14 122
Corporate Credit Risk Premia 0 0 0 28 6 6 19 89
Dealer Capacity and U.S. Treasury Market Functionality 0 0 0 17 2 11 63 88
Dealer capacity and US Treasury market functionality 0 1 1 6 1 8 47 71
Dynamic Directed Random Matching 0 0 0 24 4 5 13 58
Dynamic Directed Random Matching 0 0 0 28 3 6 20 84
Dynamic Directed Random Matching 0 0 0 29 4 4 15 65
Financial Market Infrastructure: Too Important to Fail 0 0 1 41 2 3 19 134
Financial Regulatory Reform after the Crisis: An Assessment 0 0 1 58 2 3 18 153
Frailty Correlated Default 0 0 0 38 3 3 13 269
Funding Value Adjustments 0 0 0 30 0 3 20 134
Funding Value Adjustments 0 0 5 24 4 12 39 108
How Abundant Are Reserves? Evidence from the Wholesale Payment System 1 1 1 18 4 6 23 39
How Abundant Are Reserves? Evidence from the Wholesale Payment System 0 0 0 10 2 2 7 26
How Abundant Are Reserves? Evidence from the Wholesale Payment System 0 0 0 11 2 5 15 24
How abundant are reserves? Evidence from the wholesale payment system 1 1 1 24 3 6 16 40
How the LIBOR Transition Affects the Supply of Revolving Credit 0 0 2 45 0 2 14 101
Information Percolation 0 0 0 5 2 3 18 126
Information Percolation in Segmented Markets 0 0 0 29 1 1 10 136
Information Percolation in Segmented Markets 0 0 0 7 0 1 9 78
Information Percolation with Equilibrium Search Dynamics 0 0 0 26 2 3 17 135
Innovations in credit risk transfer: implications for financial stability 0 0 3 367 3 5 19 1,040
Interoperable Payment Systems and the Role of Central Bank Digital Currencies 0 0 0 66 1 2 15 112
Large Portfolio Losses 0 0 0 139 1 1 8 317
Liquidation Risk 0 0 0 98 1 3 19 535
Liquidity Premia in Dynamic Bargaining Markets 0 0 0 0 3 3 8 152
Market Fragmentation 0 0 1 30 1 2 30 112
Market Fragmentation 0 0 0 13 5 5 24 55
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 3 4 18 312
Measuring default risk premia from default swap rates and EDFs 0 0 0 106 3 6 22 504
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 0 171 2 4 51 589
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 0 30 0 1 17 152
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 0 61 1 3 17 223
Multi-Period Corporate Failure Prediction With Stochastic Covariates 0 0 0 0 0 0 9 346
Multi-Period Corporate Failure Prediction With Stochastic Covariates 0 0 0 1 1 2 16 243
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 1 1 16 156
Over-the-Counter Markets 0 0 0 217 3 6 49 808
Policy Perspectives on OTC Derivatives Market Infrastructure 0 0 0 37 4 5 12 133
Policy perspectives on OTC derivatives market infrastructure 0 0 3 84 1 2 15 207
Reforming LIBOR and Other Financial-Market Benchmarks 0 0 0 34 1 2 14 88
Report on “The Committee on Yen Risk-free-rate Model Estimation†0 0 0 12 4 4 9 131
Reserves Were Not So Ample After All 0 0 0 28 5 8 35 59
Reserves Were Not So Ample After All 0 0 0 21 5 10 29 127
Reserves Were Not So Ample after All 0 0 1 12 3 4 13 20
Resolution of Failing Central Counterparties 0 0 1 27 6 6 19 85
Robust Benchmark Design 0 0 0 11 1 2 12 99
Robust Benchmark Design 0 0 0 12 2 2 12 60
Simulated Moments Estimation of Markov Models of Asset Prices 0 0 0 112 1 3 24 516
Size Discovery 0 0 0 6 1 1 11 35
Size Discovery 0 0 0 4 6 7 18 77
Smart Contracting in Network Markets 1 12 12 12 0 5 5 5
Systemic Risk Exposures: A 10-by-10-by-10 Approach 0 0 0 59 2 2 12 139
The Consumption-Based Capital Asset Pricing Model 0 0 0 0 2 2 8 652
The Exact Law of Large Numbers for Independent Random Matching 0 0 0 138 1 2 13 486
The Exact Law of Large Numbers for Independent Random Matching 0 0 0 38 3 5 22 150
The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation 0 0 0 10 0 0 7 71
The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation 0 0 0 7 2 4 14 79
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 4 1,623 2 6 35 3,108
Valuation in Dynamic Bargaining Markets 0 0 0 1 4 6 16 234
Valuation in Dynamic Bargaining Markets 0 0 0 1 3 3 9 135
Valuation in Over-the-Counter Markets 0 0 0 136 2 3 22 506
Valuation in Over-the-Counter Markets 0 0 0 41 0 3 15 245
What Quantity of Reserves Is Sufficient? 0 0 0 68 4 4 18 335
Total Working Papers 4 20 45 5,721 182 313 1,597 20,421

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 0 2 46 1,177
A YIELD‐FACTOR MODEL OF INTEREST RATES 1 5 13 326 4 13 62 954
A term structure model with preferences for the timing of resolution of uncertainty (*) 0 0 0 0 2 2 13 215
Across‐the‐Curve Credit Spread Indices 0 0 1 2 2 4 15 21
Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group 0 0 0 47 1 3 13 179
An Econometric Model of the Term Structure of Interest-Rate Swap Yields 0 1 3 786 1 2 21 1,642
An extension of the Black-Scholes model of security valuation 0 0 1 206 3 3 11 482
Analytical value-at-risk with jumps and credit risk 0 0 1 417 2 2 18 1,045
Arrow and General Equilibrium Theory 0 1 1 204 5 6 14 510
Asset Pricing with Heterogeneous Consumers 0 3 3 1,277 3 13 70 3,090
Asset Pricing with Stochastic Differential Utility 0 0 1 420 0 1 14 974
Augmenting Markets with Mechanisms 0 0 0 1 0 1 58 74
Bank Funding Risk, Reference Rates, and Credit Supply 0 1 4 17 6 7 51 100
Benchmarks in Search Markets 0 0 1 30 3 5 31 157
Black, Merton and Scholes — Their Central Contributions to Economics 0 0 0 3 2 3 13 22
Capital Mobility and Asset Pricing 0 0 0 67 0 57 68 433
Central clearing and collateral demand 0 1 3 113 1 4 25 420
Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs 0 0 0 7 2 3 12 53
Comment 0 0 0 1 2 3 8 35
Common Failings: How Corporate Defaults Are Correlated 0 0 0 100 4 5 19 498
Competitive equilibria in general choice spaces 0 0 0 18 1 1 3 49
Continuous-time security pricing: A utility gradient approach 0 0 1 364 1 9 26 636
Corporate Credit Risk Premia 0 0 0 4 1 5 11 28
Corporate Incentives for Hedging and Hedge Accounting 1 2 4 827 3 5 24 2,630
Corporate financial hedging with proprietary information 0 0 1 377 3 3 13 863
Credit Swap Valuation 0 0 2 2 2 6 22 24
Credit risk modeling with affine processes 0 0 0 138 1 1 27 354
Does a Central Clearing Counterparty Reduce Counterparty Risk? 1 4 5 41 3 13 41 196
Dynamic directed random matching 0 0 0 11 0 0 22 97
Efficient and equilibrium allocations with stochastic differential utility 0 0 1 100 0 1 11 204
Equilibrium in incomplete markets: I: A basic model of generic existence 0 0 0 229 2 3 19 438
Equilibrium in incomplete markets: II: Generic existence in stochastic economies 0 0 1 114 1 1 8 225
Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals 0 0 0 134 1 2 11 487
Explaining the U.S. tri-party repo market 0 0 2 97 1 2 26 307
Financial Market Innovation and Security Design: An Introduction 0 0 7 438 1 3 27 914
Financial Regulatory Reform After the Crisis: An Assessment 1 1 2 42 5 8 29 126
Floating–Fixed Credit Spreads 0 0 1 1 0 0 7 11
Frailty Correlated Default 0 0 4 50 3 7 22 314
From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1 0 0 1 23 4 4 15 107
Funding Value Adjustments 1 1 5 24 6 10 39 147
Hedging in incomplete markets with HARA utility 0 0 0 235 3 3 11 453
How US Treasuries Can Remain the World's Safe Haven 1 1 2 7 5 7 51 71
Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities 0 0 0 230 1 1 11 638
Incomplete security markets with infinitely many states: An introduction 0 0 0 37 1 1 5 115
Information Percolation 0 0 0 44 1 2 14 210
Information Percolation With Equilibrium Search Dynamics 0 0 0 47 1 1 16 222
Information Percolation in Large Markets 0 0 0 58 2 2 14 254
Information percolation in segmented markets 0 0 0 16 2 5 16 151
Is there a case for banning short speculation in sovereign bond markets? 0 0 0 44 4 5 20 202
Jackson Hole 2023 - Structural Changes in Financial Markets and the Conduct of Monetary Policy 0 0 0 11 5 12 34 63
Large portfolio losses 0 0 0 14 1 1 8 130
Liquidation Risk 0 0 0 0 1 2 27 31
Market Fragmentation 0 0 3 44 1 2 19 179
Market Pricing of Deposit Insurance 0 1 1 79 2 5 15 209
Modeling Sovereign Yield Spreads: A Case Study of Russian Debt 0 0 0 252 2 4 17 716
Modeling Term Structures of Defaultable Bonds 0 0 0 3 11 30 91 2,369
Multi-period corporate default prediction with stochastic covariates 1 3 7 309 5 13 55 914
Multiperiod security markets with differential information: Martingales and resolution times 0 0 0 103 1 1 4 208
Optimal Investment With Undiversifiable Income Risk 0 0 3 98 3 4 13 223
Optimal hedging and equilibrium in a dynamic futures market 0 0 0 180 0 0 9 376
Over-the-Counter Markets 0 1 3 404 7 10 106 1,525
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 1 1 1 12 2 2 14 55
Presidential Address: Asset Price Dynamics with Slow‐Moving Capital 2 5 7 86 7 24 65 401
Pricing continuously resettled contingent claims 0 0 1 32 0 2 7 98
Prone to Fail: The Pre-crisis Financial System 0 0 0 31 4 4 18 160
Reforming LIBOR and Other Financial Market Benchmarks 0 1 3 92 3 7 28 348
Replumbing Our Financial System: Uneven Progress 1 1 1 21 3 3 22 178
Reprint of: Information percolation in segmented markets 0 0 0 11 1 2 15 88
Reserves Were Not So Ample After All* 0 0 5 16 4 6 51 90
Risk and Valuation of Collateralized Debt Obligations 0 0 0 2 4 6 17 23
Robust benchmark design 1 1 1 13 6 9 29 73
Securities lending, shorting, and pricing 0 0 3 394 4 9 43 1,007
Simulated Moments Estimation of Markov Models of Asset Prices 0 0 0 650 4 11 39 1,738
Size Discovery 0 0 1 12 1 4 15 82
Special Repo Rates 2 2 6 642 8 9 78 2,358
Stationary Markov Equilibria 0 0 0 273 2 2 12 919
Stochastic Differential Utility 0 2 5 752 1 4 25 1,615
Stochastic Equilibria: Existence, Spanning Number, and the 'No Expected Financial Gain from Trade' Hypothesis 0 0 0 38 2 3 8 144
Stochastic equilibria with incomplete financial markets 0 0 0 117 2 2 8 225
Swap Rates and Credit Quality 0 0 3 328 1 1 15 1,038
Systemic Illiquidity in the Federal Funds Market 0 0 0 135 2 4 19 418
Term Structures of Credit Spreads with Incomplete Accounting Information 0 0 0 2 1 5 36 1,106
The Consumption-Based Capital Asset Pricing Model 0 0 0 733 1 2 11 2,054
The Decline of Too Big to Fail 0 1 17 29 1 7 95 144
The Failure Mechanics of Dealer Banks 0 0 0 138 2 4 33 511
The New Palgrave: Finance: A book review 0 0 0 18 3 4 12 113
The Squam Lake Report: Fixing the Financial System 0 0 2 196 3 7 29 831
The exact law of large numbers for independent random matching 0 0 0 28 3 4 17 212
The relative contributions of private information sharing and public information releases to information aggregation 0 0 0 24 3 3 14 119
Transactions costs and portfolio choice in a discrete-continuous-time setting 0 0 0 247 1 2 8 448
Transform Analysis and Asset Pricing for Affine Jump-Diffusions 0 0 0 3 6 11 56 1,609
Universal state prices and asymmetric information 0 0 0 57 4 5 8 128
Valuation in Over-the-Counter Markets 1 1 2 65 3 4 22 314
Total Journal Articles 15 41 146 14,707 233 518 2,432 48,613
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 24 159
How Big Banks Fail and What to Do about It 0 0 0 0 4 5 30 128
Measuring Corporate Default Risk 0 0 0 0 1 3 14 144
The Squam Lake Report: Fixing the Financial System 0 0 0 0 2 3 11 123
Total Books 0 0 0 0 10 18 79 554

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 3 5 17 217
A Dialogue on the Costs and Benefits of Automatic Stays for Derivatives and Repurchase Agreements 0 1 2 49 1 3 12 209
Comment 0 0 0 0 0 0 4 8
Comment on "Risk Topography" 0 0 1 4 2 3 9 52
Dollar Funding Stresses in ChinaChina 0 0 0 1 1 1 6 20
Financial Market Infrastructure: Too Important to Fail 1 1 1 19 2 2 10 100
IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES 0 0 0 1 4 4 17 53
Intertemporal asset pricing theory 0 0 1 503 5 11 40 1,356
Introduction 0 0 0 1 1 2 7 32
Introduction 0 0 0 3 0 0 8 47
Market Pricing of Deposit Insurance 0 0 0 4 2 2 12 37
Money in general equilibrium theory 0 0 0 448 1 2 10 1,203
Over-The-Counter Markets 0 0 3 28 1 2 21 184
Policy Issues Facing the Market for Credit Derivatives 0 0 0 14 1 1 12 84
Resolution of Failing Central Counterparties 0 0 0 0 3 3 18 150
Systemic Risk Exposures: A 10-by-10-by-10 Approach 0 0 0 35 2 3 14 128
The theory of value in security markets 0 0 0 149 1 2 8 342
Total Chapters 1 2 8 1,321 30 46 225 4,222

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Statistics updated 2026-11-12