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 3 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 4 8 17 1,387
Augmenting Markets with Mechanisms 0 0 0 9 1 3 14 30
Augmenting Markets with Mechanisms 0 0 0 27 1 6 19 69
Augmenting Markets with Mechanisms 0 0 0 25 0 4 15 69
Bank Funding Risk, Reference Rates, and Credit Supply 0 0 2 34 2 9 31 117
Bank Funding Risk, Reference Rates, and Credit Supply 0 0 0 10 0 4 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 0 2 17 171
Benchmarks in Search Markets 0 0 0 9 0 2 6 44
Benchmarks in Search Markets 0 0 0 8 1 6 13 101
Capital Mobility and Asset Pricing 0 0 0 31 0 1 13 117
Capital Mobility and Asset Pricing 0 0 0 55 0 3 12 211
Capital Mobility and Asset Pricing 0 0 0 0 0 1 8 82
Central Clearing and Collateral Demand 0 0 0 8 1 5 11 100
Central Clearing and Collateral Demand 0 0 0 26 2 5 20 164
Central clearing and collateral demand 0 0 1 39 1 2 23 281
Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs 0 0 0 15 1 2 9 70
Common Failings: How Corporate Defaults are Correlated 0 0 0 160 0 4 15 562
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 0 0 14 82
Corporate Credit Risk Premia 0 0 0 46 0 3 10 117
Dealer Capacity and U.S. Treasury Market Functionality 0 0 0 17 9 25 44 68
Dealer capacity and US Treasury market functionality 0 0 0 5 5 19 42 58
Dynamic Directed Random Matching 0 0 0 24 3 4 8 52
Dynamic Directed Random Matching 0 0 0 28 1 4 14 76
Dynamic Directed Random Matching 0 0 0 29 1 2 12 61
Financial Market Infrastructure: Too Important to Fail 0 0 0 40 0 3 18 129
Financial Regulatory Reform after the Crisis: An Assessment 0 0 1 58 0 3 16 150
Frailty Correlated Default 0 0 0 38 1 5 10 266
Funding Value Adjustments 0 1 5 23 1 5 25 92
Funding Value Adjustments 0 0 0 30 1 5 16 130
How Abundant Are Reserves? Evidence from the Wholesale Payment System 0 0 0 10 2 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 17 0 5 19 33
How abundant are reserves? Evidence from the wholesale payment system 0 0 0 23 1 4 11 34
How the LIBOR Transition Affects the Supply of Revolving Credit 1 1 7 45 2 4 19 98
Information Percolation 0 0 0 5 0 7 16 123
Information Percolation in Segmented Markets 0 0 0 29 2 4 9 135
Information Percolation in Segmented Markets 0 0 0 7 0 0 10 77
Information Percolation with Equilibrium Search Dynamics 0 0 0 26 0 1 14 131
Innovations in credit risk transfer: implications for financial stability 0 0 2 366 1 4 15 1,034
Interoperable Payment Systems and the Role of Central Bank Digital Currencies 0 0 1 66 0 4 15 110
Large Portfolio Losses 0 0 0 139 0 4 7 316
Liquidation Risk 0 0 0 98 0 2 16 532
Liquidity Premia in Dynamic Bargaining Markets 0 0 0 0 0 0 6 149
Market Fragmentation 0 0 0 13 1 9 18 49
Market Fragmentation 0 0 2 30 1 6 27 106
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 1 5 17 151
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 1 61 0 3 14 218
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 0 171 2 10 47 585
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 1 5 16 241
Multi-Period Corporate Failure Prediction with Stochastic Covariates 0 0 0 192 1 5 14 700
Over the Counter Search Frictions: A Case Study of the Federal Funds Market 0 0 3 62 0 4 16 155
Over-the-Counter Markets 0 0 0 217 1 21 43 799
Policy Perspectives on OTC Derivatives Market Infrastructure 0 0 0 37 1 1 9 128
Policy perspectives on OTC derivatives market infrastructure 0 1 3 84 2 5 12 204
Reforming LIBOR and Other Financial-Market Benchmarks 0 0 0 34 0 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 21 2 6 25 114
Reserves Were Not So Ample After All 0 0 0 28 1 9 28 48
Reserves Were Not So Ample after All 0 0 1 12 1 2 9 16
Resolution of Failing Central Counterparties 0 0 1 27 1 3 13 78
Robust Benchmark Design 0 0 0 12 0 1 8 56
Robust Benchmark Design 0 0 0 11 0 5 9 96
Simulated Moments Estimation of Markov Models of Asset Prices 0 0 0 112 0 9 25 513
Size Discovery 0 0 0 4 0 2 12 69
Size Discovery 0 0 0 6 0 4 11 34
Systemic Risk Exposures: A 10-by-10-by-10 Approach 0 0 0 59 0 1 12 137
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 13 484
The Exact Law of Large Numbers for Independent Random Matching 0 0 0 38 1 1 15 143
The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation 0 0 0 7 0 2 13 75
The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation 0 0 0 10 0 1 8 71
The failure mechanics of dealer banks 0 0 0 64 2 5 11 296
Transform Analysis and Asset Pricing for Affine Jump-Diffusions 1 3 5 1,622 1 16 35 3,099
Valuation in Dynamic Bargaining Markets 0 0 0 1 0 1 11 228
Valuation in Dynamic Bargaining Markets 0 0 0 1 1 2 7 132
Valuation in Over-the-Counter Markets 0 0 0 41 0 6 12 241
Valuation in Over-the-Counter Markets 0 0 0 136 1 8 19 503
What Quantity of Reserves Is Sufficient? 0 0 1 68 1 7 16 331
Total Working Papers 2 6 36 5,697 67 372 1,358 20,027

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 45 1,171
A YIELD‐FACTOR MODEL OF INTEREST RATES 1 3 13 319 3 18 70 934
A term structure model with preferences for the timing of resolution of uncertainty (*) 0 0 0 0 2 3 13 213
Across‐the‐Curve Credit Spread Indices 0 0 1 2 1 1 11 16
Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group 0 0 0 47 0 1 11 175
An Econometric Model of the Term Structure of Interest-Rate Swap Yields 0 0 3 785 0 9 20 1,639
An extension of the Black-Scholes model of security valuation 0 0 0 205 0 1 7 477
Analytical value-at-risk with jumps and credit risk 1 1 1 417 3 6 19 1,043
Arrow and General Equilibrium Theory 0 0 2 203 2 3 16 504
Asset Pricing with Heterogeneous Consumers 0 0 3 1,274 2 20 65 3,073
Asset Pricing with Stochastic Differential Utility 0 0 0 419 0 5 18 972
Augmenting Markets with Mechanisms 0 0 0 1 0 4 62 73
Bank Funding Risk, Reference Rates, and Credit Supply 1 1 8 16 2 11 65 92
Benchmarks in Search Markets 0 1 1 30 0 6 27 150
Black, Merton and Scholes — Their Central Contributions to Economics 0 0 0 3 2 3 10 19
Capital Mobility and Asset Pricing 0 0 0 67 0 3 9 373
Central clearing and collateral demand 0 0 0 110 1 4 20 411
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 3 5 32
Common Failings: How Corporate Defaults Are Correlated 0 0 0 100 0 4 15 491
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 4 18 627
Corporate Credit Risk Premia 0 0 0 4 1 1 9 23
Corporate Incentives for Hedging and Hedge Accounting 0 1 3 825 0 3 19 2,620
Corporate financial hedging with proprietary information 0 0 2 377 0 3 9 857
Credit Swap Valuation 0 1 2 2 2 6 16 17
Credit risk modeling with affine processes 0 0 0 138 1 6 24 351
Does a Central Clearing Counterparty Reduce Counterparty Risk? 0 0 1 36 3 12 34 180
Dynamic directed random matching 0 0 0 11 0 5 21 96
Efficient and equilibrium allocations with stochastic differential utility 0 1 2 100 1 4 14 202
Equilibrium in incomplete markets: I: A basic model of generic existence 0 0 1 229 1 5 14 431
Equilibrium in incomplete markets: II: Generic existence in stochastic economies 0 0 1 114 1 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 8 25 305
Financial Market Innovation and Security Design: An Introduction 1 1 8 437 2 5 27 907
Financial Regulatory Reform After the Crisis: An Assessment 0 1 1 41 0 7 21 115
Floating–Fixed Credit Spreads 0 0 1 1 0 3 11 11
Frailty Correlated Default 1 3 4 50 1 7 22 307
From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1 0 0 1 23 0 4 12 103
Funding Value Adjustments 1 2 4 23 4 10 29 134
Hedging in incomplete markets with HARA utility 0 0 0 235 0 0 10 449
How US Treasuries Can Remain the World's Safe Haven 0 1 3 6 2 21 52 58
Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities 0 0 0 230 0 2 13 636
Incomplete security markets with infinitely many states: An introduction 0 0 0 37 0 1 5 114
Information Percolation 0 0 0 44 1 6 13 207
Information Percolation With Equilibrium Search Dynamics 0 0 0 47 0 0 15 219
Information Percolation in Large Markets 0 0 0 58 0 3 10 249
Information percolation in segmented markets 0 0 0 16 0 1 13 146
Is there a case for banning short speculation in sovereign bond markets? 0 0 1 44 1 2 15 196
Jackson Hole 2023 - Structural Changes in Financial Markets and the Conduct of Monetary Policy 0 0 1 11 0 5 26 48
Large portfolio losses 0 0 0 14 1 2 7 128
Liquidation Risk 0 0 0 0 0 9 24 27
Market Fragmentation 1 1 4 43 1 4 20 175
Market Pricing of Deposit Insurance 0 0 0 78 2 4 11 204
Modeling Sovereign Yield Spreads: A Case Study of Russian Debt 0 0 0 252 0 3 13 712
Modeling Term Structures of Defaultable Bonds 0 0 0 3 11 37 71 2,332
Multi-period corporate default prediction with stochastic covariates 0 0 4 304 1 11 47 893
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 0 2 12 219
Optimal hedging and equilibrium in a dynamic futures market 0 0 0 180 0 4 8 375
Over-the-Counter Markets 0 0 6 403 4 24 102 1,508
PDE solutions of stochastic differential utility 0 0 3 236 1 4 18 457
Preface to the Special Issue on Systemic Risk: Models and Mechanisms 0 0 0 11 0 3 11 52
Presidential Address: Asset Price Dynamics with Slow‐Moving Capital 0 2 4 81 3 16 42 370
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 0 1 1 90 0 6 26 339
Replumbing Our Financial System: Uneven Progress 0 0 0 20 1 3 23 175
Reprint of: Information percolation in segmented markets 0 0 0 11 2 5 15 85
Reserves Were Not So Ample After All* 0 2 12 16 5 20 64 78
Risk and Valuation of Collateralized Debt Obligations 0 0 2 2 1 5 14 17
Robust benchmark design 0 0 1 12 0 4 15 58
Securities lending, shorting, and pricing 0 1 2 393 2 7 30 992
Simulated Moments Estimation of Markov Models of Asset Prices 0 0 1 650 0 16 32 1,725
Size Discovery 0 0 0 11 2 4 9 76
Special Repo Rates 0 3 7 640 1 12 108 2,347
Stationary Markov Equilibria 0 0 0 273 0 3 14 916
Stochastic Differential Utility 0 2 4 750 1 11 23 1,609
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 3 7 223
Swap Rates and Credit Quality 0 0 6 328 1 3 19 1,036
Systemic Illiquidity in the Federal Funds Market 0 0 0 135 0 2 15 414
Term Structures of Credit Spreads with Incomplete Accounting Information 0 0 0 2 4 4 25 1,092
The Consumption-Based Capital Asset Pricing Model 0 0 0 733 0 2 10 2,052
The Decline of Too Big to Fail 2 4 21 28 4 18 100 128
The Failure Mechanics of Dealer Banks 0 0 0 138 2 9 32 506
The New Palgrave: Finance: A book review 0 0 0 18 2 2 6 107
The Squam Lake Report: Fixing the Financial System 0 2 3 196 0 6 26 823
The exact law of large numbers for independent random matching 0 0 2 28 0 5 20 208
The relative contributions of private information sharing and public information releases to information aggregation 0 0 0 24 0 3 11 114
Transactions costs and portfolio choice in a discrete-continuous-time setting 0 0 0 247 0 1 7 446
Transform Analysis and Asset Pricing for Affine Jump-Diffusions 0 0 0 3 3 18 48 1,592
Universal state prices and asymmetric information 0 0 0 57 0 0 4 122
Valuation in Over-the-Counter Markets 1 1 1 64 2 4 19 308
Total Journal Articles 10 39 162 14,652 97 558 2,181 47,911
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 10 20 152
How Big Banks Fail and What to Do about It 0 0 0 0 0 2 27 120
Measuring Corporate Default Risk 0 0 0 0 3 6 15 140
The Squam Lake Report: Fixing the Financial System 0 0 0 0 0 4 11 120
Total Books 0 0 0 0 6 22 73 532

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 1 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 1 2 6 19
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 0 6 13 49
Intertemporal asset pricing theory 0 0 3 503 0 13 37 1,345
Introduction 0 0 0 1 0 2 5 30
Introduction 0 0 0 3 0 2 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 3 9 1,201
Over-The-Counter Markets 1 1 3 27 1 5 16 178
Policy Issues Facing the Market for Credit Derivatives 0 0 0 14 0 5 10 82
Resolution of Failing Central Counterparties 0 0 0 0 0 4 15 146
Systemic Risk Exposures: A 10-by-10-by-10 Approach 0 0 0 35 1 1 12 125
The theory of value in security markets 0 0 0 149 0 1 6 340
Total Chapters 1 1 9 1,318 4 55 192 4,168

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Statistics updated 2026-06-04