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 1 2 72
Across-the-Curve Credit Spread Indices 0 0 0 3 0 0 2 22
Affine Processes and Application in Finance 0 1 2 422 0 1 4 1,370
Augmenting Markets with Mechanisms 0 0 0 9 0 0 0 16
Augmenting Markets with Mechanisms 0 0 0 27 0 1 2 50
Augmenting Markets with Mechanisms 0 0 0 25 1 2 3 54
Bank Funding Risk, Reference Rates, and Credit Supply 0 1 1 2 1 2 3 4
Bank Funding Risk, Reference Rates, and Credit Supply 0 0 2 32 0 1 13 85
Bank Funding Risk, Reference Rates, and Credit Supply 0 0 0 10 0 0 1 23
Benchmarks in Search Markets 0 0 0 37 0 0 0 154
Benchmarks in Search Markets 0 0 0 8 0 1 1 87
Benchmarks in Search Markets 0 0 0 9 0 0 1 38
Capital Mobility and Asset Pricing 0 0 0 55 0 0 3 199
Capital Mobility and Asset Pricing 0 0 0 0 0 0 1 74
Capital Mobility and Asset Pricing 0 0 0 31 0 0 0 104
Central Clearing and Collateral Demand 0 0 0 8 0 1 2 88
Central Clearing and Collateral Demand 0 0 0 26 0 0 1 143
Central clearing and collateral demand 0 0 0 38 0 0 2 257
Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs 0 0 0 15 0 1 2 61
Common Failings: How Corporate Defaults are Correlated 0 0 1 160 0 0 2 547
Compression Auctions With an Application to LIBOR-SOFR Swap Conversion 0 0 0 8 0 1 1 18
Corporate Credit Risk Premia 0 1 1 28 0 2 3 68
Corporate Credit Risk Premia 0 0 1 46 0 1 3 107
Dealer Capacity and U.S. Treasury Market Functionality 0 0 0 17 1 3 8 24
Dealer capacity and US Treasury market functionality 0 0 0 5 0 1 9 16
Dynamic Directed Random Matching 0 0 0 24 0 0 2 44
Dynamic Directed Random Matching 0 0 0 29 0 0 2 48
Dynamic Directed Random Matching 0 0 0 28 0 0 2 62
Financial Market Infrastructure: Too Important to Fail 1 1 3 40 1 3 6 111
Financial Regulatory Reform after the Crisis: An Assessment 0 0 0 57 0 3 3 134
Frailty Correlated Default 0 0 2 38 0 0 4 256
Funding Value Adjustments 0 0 0 30 0 3 5 114
Funding Value Adjustments 0 0 1 18 0 2 5 67
How Abundant Are Reserves? Evidence from the Wholesale Payment System 0 0 0 17 0 1 3 14
How Abundant Are Reserves? Evidence from the Wholesale Payment System 0 0 0 10 0 0 2 18
How Abundant Are Reserves? Evidence from the Wholesale Payment System 0 0 0 11 0 0 1 7
How abundant are reserves? Evidence from the wholesale payment system 0 0 1 23 1 2 5 22
How the LIBOR Transition Affects the Supply of Revolving Credit 0 0 4 38 2 3 13 79
Information Percolation 0 0 0 5 0 0 0 107
Information Percolation in Segmented Markets 0 1 2 29 0 1 2 126
Information Percolation in Segmented Markets 0 0 0 7 0 0 1 67
Information Percolation with Equilibrium Search Dynamics 0 0 0 26 0 0 3 117
Innovations in credit risk transfer: implications for financial stability 2 2 6 364 3 3 11 1,018
Interoperable Payment Systems and the Role of Central Bank Digital Currencies 0 0 0 65 0 1 1 95
Large Portfolio Losses 0 0 0 138 0 1 1 308
Liquidation Risk 0 1 5 98 0 3 9 516
Liquidity Premia in Dynamic Bargaining Markets 0 0 0 0 0 0 0 143
Market Fragmentation 0 0 1 28 0 1 5 76
Market Fragmentation 0 0 0 13 0 0 2 31
Market-Function Asset Purchases 0 0 0 13 1 2 4 10
Measuring Default Risk Premia from Default Swap Rates and EDFs 0 0 0 64 0 1 4 292
Measuring default risk premia from default swap rates and EDFs 0 0 1 106 0 0 3 479
Multi-Period Corporate Default Prediction With Stochastic Covariates 1 1 1 30 2 2 4 133
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 0 171 0 7 8 537
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 0 60 0 1 1 204
Multi-Period Corporate Failure Prediction With Stochastic Covariates 0 0 0 1 0 3 3 225
Multi-Period Corporate Failure Prediction With Stochastic Covariates 0 0 0 0 0 0 4 332
Multi-Period Corporate Failure Prediction with Stochastic Covariates 0 0 0 192 0 0 0 686
Over the Counter Search Frictions: A Case Study of the Federal Funds Market 0 1 3 59 0 1 5 139
Over-the-Counter Markets 0 0 0 217 0 1 2 756
Policy Perspectives on OTC Derivatives Market Infrastructure 0 0 1 37 0 0 2 119
Policy perspectives on OTC derivatives market infrastructure 0 0 0 81 0 1 1 192
Reforming LIBOR and Other Financial-Market Benchmarks 0 0 0 34 0 0 1 71
Report on “The Committee on Yen Risk-free-rate Model Estimation†0 0 0 12 0 0 0 119
Reserves Were Not So Ample After All 0 0 1 21 0 3 13 85
Reserves Were Not So Ample After All 0 0 0 28 0 0 0 20
Reserves Were Not So Ample after All 0 0 0 11 0 0 1 7
Resolution of Failing Central Counterparties 0 0 0 26 0 2 2 65
Robust Benchmark Design 0 0 0 12 0 1 2 48
Robust Benchmark Design 0 0 0 11 0 0 1 87
Simulated Moments Estimation of Markov Models of Asset Prices 0 0 0 112 0 2 5 488
Size Discovery 0 0 0 4 0 0 1 57
Size Discovery 0 0 0 6 0 0 2 23
Systemic Risk Exposures: A 10-by-10-by-10 Approach 0 0 1 59 0 1 3 125
The Consumption-Based Capital Asset Pricing Model 0 0 0 0 0 1 2 643
The Exact Law of Large Numbers for Independent Random Matching 0 0 0 38 0 0 2 127
The Exact Law of Large Numbers for Independent Random Matching 0 0 0 138 0 0 2 471
The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation 0 0 0 10 0 0 0 63
The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation 0 0 0 7 0 0 0 62
The failure mechanics of dealer banks 0 0 0 64 0 0 1 285
Transform Analysis and Asset Pricing for Affine Jump-Diffusions 1 1 1 1,616 2 3 10 3,063
Valuation in Dynamic Bargaining Markets 0 0 0 1 0 1 1 217
Valuation in Dynamic Bargaining Markets 0 0 0 1 0 0 0 125
Valuation in Over-the-Counter Markets 0 0 0 136 0 0 0 484
Valuation in Over-the-Counter Markets 0 0 0 41 0 0 1 229
What Quantity of Reserves Is Sufficient? 0 0 4 67 0 10 18 315
Total Working Papers 5 11 46 5,659 16 89 266 18,644

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 14 1,124
A YIELD‐FACTOR MODEL OF INTEREST RATES 0 3 17 304 1 8 34 860
A term structure model with preferences for the timing of resolution of uncertainty (*) 0 0 0 0 0 0 0 200
Across‐the‐Curve Credit Spread Indices 0 0 1 1 0 0 5 5
Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group 0 0 0 47 0 1 1 164
An Econometric Model of the Term Structure of Interest-Rate Swap Yields 0 3 9 782 0 3 19 1,617
An extension of the Black-Scholes model of security valuation 0 0 0 205 0 0 2 470
Analytical value-at-risk with jumps and credit risk 0 0 0 416 0 1 6 1,023
Arrow and General Equilibrium Theory 0 0 2 201 0 0 36 487
Asset Pricing with Heterogeneous Consumers 0 1 7 1,271 0 3 14 3,007
Asset Pricing with Stochastic Differential Utility 0 0 3 419 1 1 8 953
Augmenting Markets with Mechanisms 0 0 0 1 1 1 2 11
Bank Funding Risk, Reference Rates, and Credit Supply 0 6 7 7 2 19 22 22
Benchmarks in Search Markets 0 1 3 29 0 2 10 122
Black, Merton and Scholes — Their Central Contributions to Economics 0 0 1 3 0 0 2 9
Capital Mobility and Asset Pricing 0 0 0 67 0 1 2 364
Central clearing and collateral demand 0 0 3 109 1 5 14 389
Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs 0 0 1 7 0 0 4 39
Comment 0 0 0 1 0 0 1 27
Common Failings: How Corporate Defaults Are Correlated 0 0 6 100 0 0 13 476
Competitive equilibria in general choice spaces 0 0 0 18 0 0 0 44
Continuous-time security pricing: A utility gradient approach 0 2 4 363 0 2 6 609
Corporate Credit Risk Premia 0 2 4 4 0 6 9 14
Corporate Incentives for Hedging and Hedge Accounting 0 0 0 822 1 1 15 2,601
Corporate financial hedging with proprietary information 0 0 1 375 0 0 3 848
Credit Swap Valuation 0 0 0 0 1 1 1 1
Credit risk modeling with affine processes 0 0 0 138 1 1 4 326
Does a Central Clearing Counterparty Reduce Counterparty Risk? 1 2 5 35 1 2 13 146
Dynamic directed random matching 0 0 0 11 0 0 4 74
Efficient and equilibrium allocations with stochastic differential utility 0 0 1 97 0 0 10 187
Equilibrium in incomplete markets: I: A basic model of generic existence 0 0 3 227 0 1 9 414
Equilibrium in incomplete markets: II: Generic existence in stochastic economies 0 0 1 113 0 0 1 216
Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals 0 0 0 134 0 0 0 474
Explaining the U.S. tri-party repo market 0 0 2 95 1 2 12 280
Financial Market Innovation and Security Design: An Introduction 0 0 6 429 0 1 11 880
Financial Regulatory Reform After the Crisis: An Assessment 0 1 5 40 1 6 13 93
Floating–Fixed Credit Spreads 0 0 0 0 0 0 0 0
Frailty Correlated Default 0 1 4 45 0 3 17 283
From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1 1 1 1 22 1 2 4 90
Funding Value Adjustments 0 0 4 19 0 0 8 105
Hedging in incomplete markets with HARA utility 0 0 0 235 1 2 2 439
Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities 0 0 4 230 0 0 7 623
Incomplete security markets with infinitely many states: An introduction 0 0 0 37 0 1 2 109
Information Percolation 0 0 0 44 0 1 6 194
Information Percolation With Equilibrium Search Dynamics 0 0 0 47 0 0 0 204
Information Percolation in Large Markets 0 0 0 58 0 0 0 239
Information percolation in segmented markets 0 0 2 16 0 2 5 132
Is there a case for banning short speculation in sovereign bond markets? 1 2 4 43 1 3 10 181
Jackson Hole 2023 - Structural Changes in Financial Markets and the Conduct of Monetary Policy 0 0 4 10 2 4 12 21
Large portfolio losses 0 0 0 14 1 2 2 120
Liquidation Risk 0 0 0 0 0 1 1 1
Market Fragmentation 1 1 2 39 2 3 10 155
Market Pricing of Deposit Insurance 1 1 2 78 1 1 2 193
Modeling Sovereign Yield Spreads: A Case Study of Russian Debt 0 2 6 251 1 3 10 697
Modeling Term Structures of Defaultable Bonds 0 0 0 3 3 10 50 2,254
Multi-period corporate default prediction with stochastic covariates 2 2 5 298 3 5 22 842
Multiperiod security markets with differential information: Martingales and resolution times 0 0 1 103 0 1 4 204
Optimal Investment With Undiversifiable Income Risk 0 0 1 92 2 4 9 207
Optimal hedging and equilibrium in a dynamic futures market 0 0 2 180 0 0 5 367
Over-the-Counter Markets 1 2 8 396 6 9 31 1,397
PDE solutions of stochastic differential utility 1 1 4 233 1 5 16 438
Preface to the Special Issue on Systemic Risk: Models and Mechanisms 0 0 0 11 0 0 0 41
Presidential Address: Asset Price Dynamics with Slow‐Moving Capital 0 2 6 77 3 10 19 327
Pricing continuously resettled contingent claims 0 0 0 31 0 2 2 89
Prone to Fail: The Pre-crisis Financial System 0 0 1 31 1 1 2 137
Reforming LIBOR and Other Financial Market Benchmarks 0 0 2 89 1 5 11 313
Replumbing Our Financial System: Uneven Progress 0 0 1 20 0 1 4 151
Reprint of: Information percolation in segmented markets 0 0 1 11 0 0 5 69
Reserves Were Not So Ample After All* 2 2 2 2 10 10 10 10
Risk and Valuation of Collateralized Debt Obligations 0 0 0 0 1 1 2 2
Robust benchmark design 0 0 1 11 0 0 4 42
Securities lending, shorting, and pricing 0 1 7 391 0 3 19 960
Simulated Moments Estimation of Markov Models of Asset Prices 0 1 1 649 0 4 7 1,693
Size Discovery 0 0 1 11 0 0 4 67
Special Repo Rates 1 1 6 633 5 15 34 2,229
Stationary Markov Equilibria 0 0 0 273 0 1 2 902
Stochastic Differential Utility 0 0 4 746 0 1 9 1,584
Stochastic Equilibria: Existence, Spanning Number, and the 'No Expected Financial Gain from Trade' Hypothesis 0 0 0 38 0 0 1 134
Stochastic equilibria with incomplete financial markets 0 0 1 117 0 0 2 216
Swap Rates and Credit Quality 0 0 5 322 2 4 11 1,017
Systemic Illiquidity in the Federal Funds Market 0 0 2 135 1 1 3 399
Term Structures of Credit Spreads with Incomplete Accounting Information 0 0 0 2 0 2 15 1,064
The Consumption-Based Capital Asset Pricing Model 0 0 5 733 0 0 6 2,041
The Decline of Too Big to Fail 1 4 4 4 11 21 21 21
The Failure Mechanics of Dealer Banks 1 1 2 138 1 3 7 474
The New Palgrave: Finance: A book review 0 0 0 18 0 0 1 101
The Squam Lake Report: Fixing the Financial System 0 0 0 192 1 2 4 795
The exact law of large numbers for independent random matching 0 0 2 26 0 0 5 187
The relative contributions of private information sharing and public information releases to information aggregation 0 0 0 24 0 1 2 103
Transactions costs and portfolio choice in a discrete-continuous-time setting 0 0 2 247 0 1 7 438
Transform Analysis and Asset Pricing for Affine Jump-Diffusions 0 0 0 3 1 5 18 1,544
Universal state prices and asymmetric information 0 0 0 57 0 0 0 118
Valuation in Over-the-Counter Markets 0 0 1 63 1 3 6 289
Total Journal Articles 14 46 203 14,470 76 229 798 45,628
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 5 17 131
How Big Banks Fail and What to Do about It 0 0 0 0 0 3 14 91
Measuring Corporate Default Risk 0 0 0 0 0 2 4 125
The Squam Lake Report: Fixing the Financial System 0 0 0 0 1 5 6 108
Total Books 0 0 0 0 4 15 41 455

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 3 61 0 1 8 198
A Dialogue on the Costs and Benefits of Automatic Stays for Derivatives and Repurchase Agreements 1 1 2 47 1 1 2 196
Comment 0 0 0 0 0 1 3 3
Comment on "Risk Topography" 0 0 1 3 0 0 2 42
Dollar Funding Stresses in ChinaChina 0 0 0 1 1 2 8 13
Financial Market Infrastructure: Too Important to Fail 1 1 1 18 1 3 5 88
IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES 0 0 0 1 0 0 8 36
Intertemporal asset pricing theory 0 0 3 500 1 4 30 1,306
Introduction 0 0 0 3 0 1 2 39
Introduction 0 0 0 1 0 0 2 25
Market Pricing of Deposit Insurance 0 0 0 4 0 0 0 24
Money in general equilibrium theory 0 0 2 448 0 0 5 1,192
Over-The-Counter Markets 1 1 4 24 2 6 16 160
Policy Issues Facing the Market for Credit Derivatives 0 0 0 14 0 0 0 72
Resolution of Failing Central Counterparties 0 0 0 0 0 0 0 130
Systemic Risk Exposures: A 10-by-10-by-10 Approach 0 0 0 35 0 1 8 113
The theory of value in security markets 1 1 2 149 1 1 4 334
Total Chapters 4 4 18 1,309 7 21 103 3,971

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Statistics updated 2025-05-12