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 2 8 17 89
Across-the-Curve Credit Spread Indices 0 0 0 3 0 0 17 39
Affine Processes and Application in Finance 0 0 0 422 3 4 13 1,383
Augmenting Markets with Mechanisms 0 0 0 25 3 5 15 69
Augmenting Markets with Mechanisms 0 0 0 9 0 6 13 29
Augmenting Markets with Mechanisms 0 0 0 27 4 9 18 68
Bank Funding Risk, Reference Rates, and Credit Supply 0 0 0 10 3 5 30 53
Bank Funding Risk, Reference Rates, and Credit Supply 0 0 2 34 4 10 30 115
Bank Funding Risk, Reference Rates, and Credit Supply 0 0 0 2 1 2 10 14
Benchmarks in Search Markets 0 0 0 37 2 8 17 171
Benchmarks in Search Markets 0 0 0 9 2 2 6 44
Benchmarks in Search Markets 0 0 0 8 3 5 13 100
Capital Mobility and Asset Pricing 0 0 0 31 0 2 13 117
Capital Mobility and Asset Pricing 0 0 0 55 2 3 12 211
Capital Mobility and Asset Pricing 0 0 0 0 1 2 8 82
Central Clearing and Collateral Demand 0 0 0 26 3 5 19 162
Central Clearing and Collateral Demand 0 0 0 8 4 5 11 99
Central clearing and collateral demand 0 0 1 39 0 7 23 280
Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs 0 0 0 15 1 3 8 69
Common Failings: How Corporate Defaults are Correlated 0 0 0 160 4 5 15 562
Compression Auctions With an Application to LIBOR-SOFR Swap Conversion 0 0 0 8 1 2 11 29
Corporate Credit Risk Premia 0 0 0 46 2 3 10 117
Corporate Credit Risk Premia 0 0 0 28 0 0 14 82
Dealer Capacity and U.S. Treasury Market Functionality 0 0 0 17 14 20 35 59
Dealer capacity and US Treasury market functionality 0 0 0 5 7 14 37 53
Dynamic Directed Random Matching 0 0 0 29 1 3 12 60
Dynamic Directed Random Matching 0 0 0 24 0 1 5 49
Dynamic Directed Random Matching 0 0 0 28 1 3 13 75
Financial Market Infrastructure: Too Important to Fail 0 0 0 40 3 5 18 129
Financial Regulatory Reform after the Crisis: An Assessment 0 1 1 58 1 6 16 150
Frailty Correlated Default 0 0 0 38 4 4 9 265
Funding Value Adjustments 0 3 5 23 2 9 24 91
Funding Value Adjustments 0 0 0 30 4 8 15 129
How Abundant Are Reserves? Evidence from the Wholesale Payment System 0 0 0 17 2 9 19 33
How Abundant Are Reserves? Evidence from the Wholesale Payment System 0 0 0 11 1 1 11 18
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 3 7 11 33
How the LIBOR Transition Affects the Supply of Revolving Credit 0 0 6 44 1 3 17 96
Information Percolation 0 0 0 5 2 8 16 123
Information Percolation in Segmented Markets 0 0 0 29 2 3 7 133
Information Percolation in Segmented Markets 0 0 0 7 0 2 10 77
Information Percolation with Equilibrium Search Dynamics 0 0 0 26 1 1 14 131
Innovations in credit risk transfer: implications for financial stability 0 0 2 366 2 3 15 1,033
Interoperable Payment Systems and the Role of Central Bank Digital Currencies 0 0 1 66 3 6 15 110
Large Portfolio Losses 0 0 1 139 3 4 8 316
Liquidation Risk 0 0 0 98 1 6 16 532
Liquidity Premia in Dynamic Bargaining Markets 0 0 0 0 0 1 6 149
Market Fragmentation 0 1 2 30 2 8 29 105
Market Fragmentation 0 0 0 13 6 8 17 48
Market-Function Asset Purchases 0 0 0 13 1 6 12 22
Measuring Default Risk Premia from Default Swap Rates and EDFs 0 0 0 64 4 6 13 305
Measuring default risk premia from default swap rates and EDFs 0 0 0 106 3 6 19 498
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 0 171 2 16 46 583
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 0 30 2 4 17 150
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 1 61 3 4 14 218
Multi-Period Corporate Failure Prediction With Stochastic Covariates 0 0 0 0 2 7 14 346
Multi-Period Corporate Failure Prediction With Stochastic Covariates 0 0 0 1 4 6 15 240
Multi-Period Corporate Failure Prediction with Stochastic Covariates 0 0 0 192 2 5 13 699
Over the Counter Search Frictions: A Case Study of the Federal Funds Market 0 0 3 62 2 5 16 155
Over-the-Counter Markets 0 0 0 217 16 23 42 798
Policy Perspectives on OTC Derivatives Market Infrastructure 0 0 0 37 0 1 8 127
Policy perspectives on OTC derivatives market infrastructure 0 3 3 84 1 6 10 202
Reforming LIBOR and Other Financial-Market Benchmarks 0 0 0 34 3 4 15 86
Report on “The Committee on Yen Risk-free-rate Model Estimation†0 0 0 12 0 0 7 126
Reserves Were Not So Ample After All 0 0 0 28 4 14 27 47
Reserves Were Not So Ample After All 0 0 0 21 3 8 27 112
Reserves Were Not So Ample after All 0 1 1 12 0 4 8 15
Resolution of Failing Central Counterparties 0 0 1 27 1 5 12 77
Robust Benchmark Design 0 0 0 12 1 1 8 56
Robust Benchmark Design 0 0 0 11 3 5 9 96
Simulated Moments Estimation of Markov Models of Asset Prices 0 0 0 112 7 12 25 513
Size Discovery 0 0 0 6 0 8 11 34
Size Discovery 0 0 0 4 2 4 12 69
Systemic Risk Exposures: A 10-by-10-by-10 Approach 0 0 0 59 0 3 12 137
The Consumption-Based Capital Asset Pricing Model 0 0 0 0 1 3 7 650
The Exact Law of Large Numbers for Independent Random Matching 0 0 0 138 0 4 13 484
The Exact Law of Large Numbers for Independent Random Matching 0 0 0 38 0 1 15 142
The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation 0 0 0 7 2 3 13 75
The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation 0 0 0 10 1 1 8 71
The failure mechanics of dealer banks 0 0 0 64 2 4 9 294
Transform Analysis and Asset Pricing for Affine Jump-Diffusions 1 2 5 1,621 9 15 35 3,098
Valuation in Dynamic Bargaining Markets 0 0 0 1 1 2 11 228
Valuation in Dynamic Bargaining Markets 0 0 0 1 1 1 6 131
Valuation in Over-the-Counter Markets 0 0 0 41 5 6 12 241
Valuation in Over-the-Counter Markets 0 0 0 136 6 10 18 502
What Quantity of Reserves Is Sufficient? 0 0 1 68 6 10 15 330
Total Working Papers 1 11 36 5,695 211 467 1,316 19,960

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 46 1,170
A YIELD‐FACTOR MODEL OF INTEREST RATES 0 3 14 318 10 23 71 931
A term structure model with preferences for the timing of resolution of uncertainty (*) 0 0 0 0 0 3 11 211
Across‐the‐Curve Credit Spread Indices 0 0 1 2 0 3 10 15
Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group 0 0 0 47 0 4 11 175
An Econometric Model of the Term Structure of Interest-Rate Swap Yields 0 1 3 785 4 10 22 1,639
An extension of the Black-Scholes model of security valuation 0 0 0 205 1 3 7 477
Analytical value-at-risk with jumps and credit risk 0 0 0 416 2 5 17 1,040
Arrow and General Equilibrium Theory 0 0 2 203 1 2 15 502
Asset Pricing with Heterogeneous Consumers 0 0 3 1,274 12 18 64 3,071
Asset Pricing with Stochastic Differential Utility 0 0 0 419 4 5 19 972
Augmenting Markets with Mechanisms 0 0 0 1 3 10 62 73
Bank Funding Risk, Reference Rates, and Credit Supply 0 1 8 15 5 12 68 90
Benchmarks in Search Markets 0 1 1 30 5 15 28 150
Black, Merton and Scholes — Their Central Contributions to Economics 0 0 0 3 1 1 8 17
Capital Mobility and Asset Pricing 0 0 0 67 3 4 9 373
Central clearing and collateral demand 0 0 1 110 2 4 21 410
Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs 0 0 0 7 3 3 11 50
Comment 0 0 0 1 2 3 5 32
Common Failings: How Corporate Defaults Are Correlated 0 0 0 100 2 5 15 491
Competitive equilibria in general choice spaces 0 0 0 18 0 0 4 48
Continuous-time security pricing: A utility gradient approach 1 1 1 364 1 6 18 627
Corporate Credit Risk Premia 0 0 0 4 0 2 8 22
Corporate Incentives for Hedging and Hedge Accounting 1 1 3 825 2 5 19 2,620
Corporate financial hedging with proprietary information 0 0 2 377 2 3 9 857
Credit Swap Valuation 1 2 2 2 3 7 14 15
Credit risk modeling with affine processes 0 0 0 138 3 8 24 350
Does a Central Clearing Counterparty Reduce Counterparty Risk? 0 0 1 36 6 11 31 177
Dynamic directed random matching 0 0 0 11 3 7 22 96
Efficient and equilibrium allocations with stochastic differential utility 0 1 3 100 2 4 14 201
Equilibrium in incomplete markets: I: A basic model of generic existence 0 0 2 229 0 6 16 430
Equilibrium in incomplete markets: II: Generic existence in stochastic economies 0 0 1 114 0 2 7 223
Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals 0 0 0 134 4 7 11 485
Explaining the U.S. tri-party repo market 0 1 2 97 6 11 25 305
Financial Market Innovation and Security Design: An Introduction 0 4 7 436 0 10 25 905
Financial Regulatory Reform After the Crisis: An Assessment 1 1 1 41 5 9 22 115
Floating–Fixed Credit Spreads 0 0 1 1 3 3 11 11
Frailty Correlated Default 0 3 4 49 1 7 23 306
From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1 0 1 1 23 3 6 13 103
Funding Value Adjustments 0 3 3 22 4 11 25 130
Hedging in incomplete markets with HARA utility 0 0 0 235 0 2 10 449
How US Treasuries Can Remain the World's Safe Haven 0 1 6 6 14 28 56 56
Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities 0 0 0 230 2 2 13 636
Incomplete security markets with infinitely many states: An introduction 0 0 0 37 1 1 5 114
Information Percolation 0 0 0 44 5 7 12 206
Information Percolation With Equilibrium Search Dynamics 0 0 0 47 0 8 15 219
Information Percolation in Large Markets 0 0 0 58 2 5 10 249
Information percolation in segmented markets 0 0 0 16 0 3 14 146
Is there a case for banning short speculation in sovereign bond markets? 0 0 1 44 1 2 14 195
Jackson Hole 2023 - Structural Changes in Financial Markets and the Conduct of Monetary Policy 0 0 1 11 4 6 27 48
Large portfolio losses 0 0 0 14 1 1 7 127
Liquidation Risk 0 0 0 0 5 14 26 27
Market Fragmentation 0 0 3 42 3 4 19 174
Market Pricing of Deposit Insurance 0 0 0 78 1 4 9 202
Modeling Sovereign Yield Spreads: A Case Study of Russian Debt 0 0 1 252 2 6 15 712
Modeling Term Structures of Defaultable Bonds 0 0 0 3 17 30 67 2,321
Multi-period corporate default prediction with stochastic covariates 0 1 6 304 6 16 50 892
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 1 6 98 1 3 12 219
Optimal hedging and equilibrium in a dynamic futures market 0 0 0 180 3 5 8 375
Over-the-Counter Markets 0 0 7 403 12 40 107 1,504
PDE solutions of stochastic differential utility 0 0 3 236 1 5 18 456
Preface to the Special Issue on Systemic Risk: Models and Mechanisms 0 0 0 11 2 6 11 52
Presidential Address: Asset Price Dynamics with Slow‐Moving Capital 0 2 4 81 6 19 40 367
Pricing continuously resettled contingent claims 1 1 1 32 1 1 6 95
Prone to Fail: The Pre-crisis Financial System 0 0 0 31 6 6 18 155
Reforming LIBOR and Other Financial Market Benchmarks 0 1 1 90 4 7 26 339
Replumbing Our Financial System: Uneven Progress 0 0 0 20 2 5 23 174
Reprint of: Information percolation in segmented markets 0 0 0 11 2 4 14 83
Reserves Were Not So Ample After All* 0 2 14 16 7 17 63 73
Risk and Valuation of Collateralized Debt Obligations 0 0 2 2 3 5 14 16
Robust benchmark design 0 0 1 12 3 5 16 58
Securities lending, shorting, and pricing 0 2 2 393 3 13 30 990
Simulated Moments Estimation of Markov Models of Asset Prices 0 0 1 650 12 16 32 1,725
Size Discovery 0 0 0 11 1 2 7 74
Special Repo Rates 3 4 7 640 8 16 117 2,346
Stationary Markov Equilibria 0 0 0 273 2 4 14 916
Stochastic Differential Utility 0 2 4 750 5 11 24 1,608
Stochastic Equilibria: Existence, Spanning Number, and the 'No Expected Financial Gain from Trade' Hypothesis 0 0 0 38 1 2 7 141
Stochastic equilibria with incomplete financial markets 0 0 0 117 1 4 7 223
Swap Rates and Credit Quality 0 1 6 328 1 4 18 1,035
Systemic Illiquidity in the Federal Funds Market 0 0 0 135 1 3 15 414
Term Structures of Credit Spreads with Incomplete Accounting Information 0 0 0 2 0 2 24 1,088
The Consumption-Based Capital Asset Pricing Model 0 0 0 733 0 3 11 2,052
The Decline of Too Big to Fail 1 3 22 26 9 20 103 124
The Failure Mechanics of Dealer Banks 0 0 0 138 5 17 30 504
The New Palgrave: Finance: A book review 0 0 0 18 0 0 4 105
The Squam Lake Report: Fixing the Financial System 1 2 4 196 4 8 28 823
The exact law of large numbers for independent random matching 0 0 2 28 4 9 21 208
The relative contributions of private information sharing and public information releases to information aggregation 0 0 0 24 3 3 11 114
Transactions costs and portfolio choice in a discrete-continuous-time setting 0 0 0 247 0 3 8 446
Transform Analysis and Asset Pricing for Affine Jump-Diffusions 0 0 0 3 11 18 45 1,589
Universal state prices and asymmetric information 0 0 0 57 0 0 4 122
Valuation in Over-the-Counter Markets 0 0 0 63 1 4 17 306
Total Journal Articles 10 47 172 14,642 299 692 2,186 47,814
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 4 7 18 149
How Big Banks Fail and What to Do about It 0 0 0 0 2 4 29 120
Measuring Corporate Default Risk 0 0 0 0 2 3 12 137
The Squam Lake Report: Fixing the Financial System 0 0 0 0 3 4 12 120
Total Books 0 0 0 0 11 18 71 526

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 4 13 211
A Dialogue on the Costs and Benefits of Automatic Stays for Derivatives and Repurchase Agreements 0 1 1 48 4 6 9 205
Comment 0 0 0 0 0 1 5 8
Comment on "Risk Topography" 0 0 1 4 1 2 7 49
Dollar Funding Stresses in ChinaChina 0 0 0 1 1 1 5 18
Financial Market Infrastructure: Too Important to Fail 0 0 0 18 0 1 10 98
IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES 0 0 0 1 5 6 13 49
Intertemporal asset pricing theory 0 0 3 503 10 17 39 1,345
Introduction 0 0 0 3 1 2 7 46
Introduction 0 0 0 1 2 2 5 30
Market Pricing of Deposit Insurance 0 0 0 4 2 3 11 35
Money in general equilibrium theory 0 0 0 448 2 5 9 1,201
Over-The-Counter Markets 0 0 2 26 3 6 17 177
Policy Issues Facing the Market for Credit Derivatives 0 0 0 14 4 5 10 82
Resolution of Failing Central Counterparties 0 0 0 0 2 5 16 146
Systemic Risk Exposures: A 10-by-10-by-10 Approach 0 0 0 35 0 2 11 124
The theory of value in security markets 0 0 0 149 1 3 6 340
Total Chapters 0 1 8 1,317 40 71 193 4,164

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Statistics updated 2026-05-06