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 18 90
Across-the-Curve Credit Spread Indices 0 0 0 3 0 0 16 39
Affine Processes and Application in Finance 0 0 0 422 0 5 18 1,388
Augmenting Markets with Mechanisms 0 0 0 9 1 2 15 31
Augmenting Markets with Mechanisms 0 0 0 27 1 3 21 71
Augmenting Markets with Mechanisms 0 0 0 25 0 1 16 70
Bank Funding Risk, Reference Rates, and Credit Supply 0 0 0 10 0 0 29 53
Bank Funding Risk, Reference Rates, and Credit Supply 0 0 1 34 0 4 30 119
Bank Funding Risk, Reference Rates, and Credit Supply 0 0 0 2 1 1 10 15
Benchmarks in Search Markets 0 0 0 9 1 2 6 46
Benchmarks in Search Markets 0 0 0 37 0 2 19 173
Benchmarks in Search Markets 0 0 0 8 0 2 14 102
Capital Mobility and Asset Pricing 0 0 0 55 0 0 12 211
Capital Mobility and Asset Pricing 0 0 0 0 0 0 8 82
Capital Mobility and Asset Pricing 0 0 0 31 0 0 13 117
Central Clearing and Collateral Demand 0 1 1 27 1 4 21 166
Central Clearing and Collateral Demand 0 0 0 8 0 2 12 101
Central clearing and collateral demand 0 0 1 39 0 1 22 281
Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs 0 0 0 15 0 2 9 71
Common Failings: How Corporate Defaults are Correlated 0 0 0 160 0 0 14 562
Compression Auctions With an Application to LIBOR-SOFR Swap Conversion 0 0 0 8 0 0 11 29
Corporate Credit Risk Premia 0 0 0 46 1 2 12 119
Corporate Credit Risk Premia 0 0 0 28 0 1 15 83
Dealer Capacity and U.S. Treasury Market Functionality 0 0 0 17 4 18 53 77
Dealer capacity and US Treasury market functionality 0 0 0 5 4 10 44 63
Dynamic Directed Random Matching 0 0 0 28 1 3 15 78
Dynamic Directed Random Matching 0 0 0 24 1 4 9 53
Dynamic Directed Random Matching 0 0 0 29 0 1 12 61
Financial Market Infrastructure: Too Important to Fail 0 1 1 41 1 2 20 131
Financial Regulatory Reform after the Crisis: An Assessment 0 0 1 58 0 0 16 150
Frailty Correlated Default 0 0 0 38 0 1 10 266
Funding Value Adjustments 0 1 5 24 1 5 27 96
Funding Value Adjustments 0 0 0 30 1 2 17 131
How Abundant Are Reserves? Evidence from the Wholesale Payment System 0 0 0 17 0 0 19 33
How Abundant Are Reserves? Evidence from the Wholesale Payment System 0 0 0 10 0 2 6 24
How Abundant Are Reserves? Evidence from the Wholesale Payment System 0 0 0 11 1 1 11 19
How abundant are reserves? Evidence from the wholesale payment system 0 0 0 23 0 1 11 34
How the LIBOR Transition Affects the Supply of Revolving Credit 0 1 4 45 1 3 15 99
Information Percolation 0 0 0 5 0 0 16 123
Information Percolation in Segmented Markets 0 0 0 7 0 0 10 77
Information Percolation in Segmented Markets 0 0 0 29 0 2 9 135
Information Percolation with Equilibrium Search Dynamics 0 0 0 26 0 1 15 132
Innovations in credit risk transfer: implications for financial stability 1 1 3 367 1 2 16 1,035
Interoperable Payment Systems and the Role of Central Bank Digital Currencies 0 0 1 66 0 0 14 110
Large Portfolio Losses 0 0 0 139 0 0 7 316
Liquidation Risk 0 0 0 98 0 0 16 532
Liquidity Premia in Dynamic Bargaining Markets 0 0 0 0 0 0 6 149
Market Fragmentation 0 0 0 13 1 2 19 50
Market Fragmentation 0 0 1 30 2 5 29 110
Market-Function Asset Purchases 0 0 0 13 0 0 11 22
Measuring Default Risk Premia from Default Swap Rates and EDFs 0 0 0 64 3 3 15 308
Measuring default risk premia from default swap rates and EDFs 0 0 0 106 0 0 18 498
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 0 30 0 1 17 151
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 0 171 0 2 47 585
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 0 61 0 2 15 220
Multi-Period Corporate Failure Prediction With Stochastic Covariates 0 0 0 0 0 0 13 346
Multi-Period Corporate Failure Prediction With Stochastic Covariates 0 0 0 1 0 1 14 241
Multi-Period Corporate Failure Prediction with Stochastic Covariates 0 0 0 192 0 1 12 700
Over the Counter Search Frictions: A Case Study of the Federal Funds Market 0 0 3 62 0 0 16 155
Over-the-Counter Markets 0 0 0 217 0 4 45 802
Policy Perspectives on OTC Derivatives Market Infrastructure 0 0 0 37 0 1 9 128
Policy perspectives on OTC derivatives market infrastructure 0 0 3 84 0 3 13 205
Reforming LIBOR and Other Financial-Market Benchmarks 0 0 0 34 0 0 15 86
Report on “The Committee on Yen Risk-free-rate Model Estimation†0 0 0 12 0 1 6 127
Reserves Were Not So Ample After All 0 0 0 28 1 4 30 51
Reserves Were Not So Ample After All 0 0 0 21 1 5 24 117
Reserves Were Not So Ample after All 0 0 1 12 0 1 9 16
Resolution of Failing Central Counterparties 0 0 1 27 1 2 14 79
Robust Benchmark Design 0 0 0 12 0 2 10 58
Robust Benchmark Design 0 0 0 11 1 1 10 97
Simulated Moments Estimation of Markov Models of Asset Prices 0 0 0 112 0 0 25 513
Size Discovery 0 0 0 4 1 1 13 70
Size Discovery 0 0 0 6 0 0 11 34
Systemic Risk Exposures: A 10-by-10-by-10 Approach 0 0 0 59 0 0 11 137
The Consumption-Based Capital Asset Pricing Model 0 0 0 0 0 0 7 650
The Exact Law of Large Numbers for Independent Random Matching 0 0 0 38 0 3 17 145
The Exact Law of Large Numbers for Independent Random Matching 0 0 0 138 0 0 12 484
The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation 0 0 0 7 0 0 13 75
The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation 0 0 0 10 0 0 8 71
The failure mechanics of dealer banks 0 0 0 64 0 2 11 296
Transform Analysis and Asset Pricing for Affine Jump-Diffusions 0 1 4 1,622 2 4 37 3,102
Valuation in Dynamic Bargaining Markets 0 0 0 1 0 0 11 228
Valuation in Dynamic Bargaining Markets 0 0 0 1 0 1 7 132
Valuation in Over-the-Counter Markets 0 0 0 136 0 1 19 503
Valuation in Over-the-Counter Markets 0 0 0 41 0 1 13 242
What Quantity of Reserves Is Sufficient? 0 0 1 68 0 1 15 331
Total Working Papers 1 6 32 5,701 36 148 1,396 20,108

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 1,175
A YIELD‐FACTOR MODEL OF INTEREST RATES 1 3 13 321 2 10 75 941
A term structure model with preferences for the timing of resolution of uncertainty (*) 0 0 0 0 0 2 12 213
Across‐the‐Curve Credit Spread Indices 0 0 1 2 0 2 12 17
Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group 0 0 0 47 1 1 12 176
An Econometric Model of the Term Structure of Interest-Rate Swap Yields 0 0 3 785 0 1 21 1,640
An extension of the Black-Scholes model of security valuation 0 1 1 206 1 2 8 479
Analytical value-at-risk with jumps and credit risk 0 1 1 417 0 3 19 1,043
Arrow and General Equilibrium Theory 0 0 2 203 0 2 12 504
Asset Pricing with Heterogeneous Consumers 0 0 2 1,274 0 6 66 3,077
Asset Pricing with Stochastic Differential Utility 1 1 1 420 1 1 18 973
Augmenting Markets with Mechanisms 0 0 0 1 0 0 60 73
Bank Funding Risk, Reference Rates, and Credit Supply 0 1 5 16 0 3 59 93
Benchmarks in Search Markets 0 0 1 30 0 2 28 152
Black, Merton and Scholes — Their Central Contributions to Economics 0 0 0 3 0 2 10 19
Capital Mobility and Asset Pricing 0 0 0 67 0 3 12 376
Central clearing and collateral demand 2 2 2 112 4 6 25 416
Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs 0 0 0 7 0 0 11 50
Comment 0 0 0 1 0 0 5 32
Common Failings: How Corporate Defaults Are Correlated 0 0 0 100 0 2 17 493
Competitive equilibria in general choice spaces 0 0 0 18 0 0 3 48
Continuous-time security pricing: A utility gradient approach 0 0 1 364 0 0 18 627
Corporate Credit Risk Premia 0 0 0 4 0 1 9 23
Corporate Incentives for Hedging and Hedge Accounting 0 0 3 825 2 5 24 2,625
Corporate financial hedging with proprietary information 0 0 1 377 2 3 11 860
Credit Swap Valuation 0 0 2 2 0 3 17 18
Credit risk modeling with affine processes 0 0 0 138 1 3 26 353
Does a Central Clearing Counterparty Reduce Counterparty Risk? 1 1 1 37 2 6 33 183
Dynamic directed random matching 0 0 0 11 1 1 22 97
Efficient and equilibrium allocations with stochastic differential utility 0 0 2 100 0 2 13 203
Equilibrium in incomplete markets: I: A basic model of generic existence 0 0 1 229 1 5 17 435
Equilibrium in incomplete markets: II: Generic existence in stochastic economies 0 0 1 114 0 1 8 224
Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals 0 0 0 134 0 0 9 485
Explaining the U.S. tri-party repo market 0 0 2 97 0 0 24 305
Financial Market Innovation and Security Design: An Introduction 1 2 9 438 1 6 27 911
Financial Regulatory Reform After the Crisis: An Assessment 0 0 1 41 2 3 24 118
Floating–Fixed Credit Spreads 0 0 1 1 0 0 11 11
Frailty Correlated Default 0 1 4 50 0 1 17 307
From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1 0 0 1 23 0 0 12 103
Funding Value Adjustments 0 1 4 23 2 7 31 137
Hedging in incomplete markets with HARA utility 0 0 0 235 0 1 11 450
How US Treasuries Can Remain the World's Safe Haven 0 0 3 6 1 8 56 64
Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities 0 0 0 230 1 1 12 637
Incomplete security markets with infinitely many states: An introduction 0 0 0 37 0 0 4 114
Information Percolation 0 0 0 44 1 2 13 208
Information Percolation With Equilibrium Search Dynamics 0 0 0 47 0 2 17 221
Information Percolation in Large Markets 0 0 0 58 3 3 13 252
Information percolation in segmented markets 0 0 0 16 0 0 12 146
Is there a case for banning short speculation in sovereign bond markets? 0 0 1 44 1 2 16 197
Jackson Hole 2023 - Structural Changes in Financial Markets and the Conduct of Monetary Policy 0 0 1 11 2 3 28 51
Large portfolio losses 0 0 0 14 1 2 8 129
Liquidation Risk 0 0 0 0 1 2 25 29
Market Fragmentation 1 2 4 44 2 3 19 177
Market Pricing of Deposit Insurance 0 0 0 78 0 2 11 204
Modeling Sovereign Yield Spreads: A Case Study of Russian Debt 0 0 0 252 0 0 13 712
Modeling Term Structures of Defaultable Bonds 0 0 0 3 3 18 70 2,339
Multi-period corporate default prediction with stochastic covariates 0 2 5 306 3 9 52 901
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 0 5 98 0 0 11 219
Optimal hedging and equilibrium in a dynamic futures market 0 0 0 180 1 1 9 376
Over-the-Counter Markets 0 0 6 403 2 11 107 1,515
PDE solutions of stochastic differential utility 0 0 2 236 0 1 13 457
Preface to the Special Issue on Systemic Risk: Models and Mechanisms 0 0 0 11 1 1 12 53
Presidential Address: Asset Price Dynamics with Slow‐Moving Capital 0 0 3 81 2 10 47 377
Pricing continuously resettled contingent claims 0 0 1 32 1 1 6 96
Prone to Fail: The Pre-crisis Financial System 0 0 0 31 1 1 18 156
Reforming LIBOR and Other Financial Market Benchmarks 0 1 2 91 0 2 27 341
Replumbing Our Financial System: Uneven Progress 0 0 0 20 0 1 21 175
Reprint of: Information percolation in segmented markets 0 0 0 11 1 3 15 86
Reserves Were Not So Ample After All* 0 0 10 16 3 11 60 84
Risk and Valuation of Collateralized Debt Obligations 0 0 0 2 0 1 11 17
Robust benchmark design 0 0 0 12 2 6 20 64
Securities lending, shorting, and pricing 0 1 3 394 5 8 35 998
Simulated Moments Estimation of Markov Models of Asset Prices 0 0 0 650 1 2 32 1,727
Size Discovery 1 1 1 12 2 4 11 78
Special Repo Rates 0 0 6 640 1 3 96 2,349
Stationary Markov Equilibria 0 0 0 273 1 1 14 917
Stochastic Differential Utility 0 0 3 750 1 3 24 1,611
Stochastic Equilibria: Existence, Spanning Number, and the 'No Expected Financial Gain from Trade' Hypothesis 0 0 0 38 0 0 5 141
Stochastic equilibria with incomplete financial markets 0 0 0 117 0 0 7 223
Swap Rates and Credit Quality 0 0 6 328 1 2 20 1,037
Systemic Illiquidity in the Federal Funds Market 0 0 0 135 0 0 15 414
Term Structures of Credit Spreads with Incomplete Accounting Information 0 0 0 2 4 13 33 1,101
The Consumption-Based Capital Asset Pricing Model 0 0 0 733 0 0 10 2,052
The Decline of Too Big to Fail 0 2 19 28 5 13 100 137
The Failure Mechanics of Dealer Banks 0 0 0 138 1 3 32 507
The New Palgrave: Finance: A book review 0 0 0 18 0 4 8 109
The Squam Lake Report: Fixing the Financial System 0 0 3 196 1 1 27 824
The exact law of large numbers for independent random matching 0 0 1 28 0 0 19 208
The relative contributions of private information sharing and public information releases to information aggregation 0 0 0 24 0 2 13 116
Transactions costs and portfolio choice in a discrete-continuous-time setting 0 0 0 247 0 0 7 446
Transform Analysis and Asset Pricing for Affine Jump-Diffusions 0 0 0 3 4 9 51 1,598
Universal state prices and asymmetric information 0 0 0 57 0 1 4 123
Valuation in Over-the-Counter Markets 0 1 1 64 1 4 21 310
Total Journal Articles 8 24 152 14,666 86 281 2,228 48,095
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 3 17 152
How Big Banks Fail and What to Do about It 0 0 0 0 2 3 30 123
Measuring Corporate Default Risk 0 0 0 0 0 4 14 141
The Squam Lake Report: Fixing the Financial System 0 0 0 0 0 0 10 120
Total Books 0 0 0 0 2 10 71 536

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 0 1 14 212
A Dialogue on the Costs and Benefits of Automatic Stays for Derivatives and Repurchase Agreements 0 0 1 48 1 1 10 206
Comment 0 0 0 0 0 0 5 8
Comment on "Risk Topography" 0 0 1 4 0 0 7 49
Dollar Funding Stresses in ChinaChina 0 0 0 1 0 1 5 19
Financial Market Infrastructure: Too Important to Fail 0 0 0 18 0 0 10 98
IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES 0 0 0 1 0 0 13 49
Intertemporal asset pricing theory 0 0 2 503 0 0 35 1,345
Introduction 0 0 0 1 0 0 5 30
Introduction 0 0 0 3 1 1 8 47
Market Pricing of Deposit Insurance 0 0 0 4 0 0 11 35
Money in general equilibrium theory 0 0 0 448 0 0 9 1,201
Over-The-Counter Markets 0 2 3 28 1 5 19 182
Policy Issues Facing the Market for Credit Derivatives 0 0 0 14 1 1 11 83
Resolution of Failing Central Counterparties 0 0 0 0 0 1 16 147
Systemic Risk Exposures: A 10-by-10-by-10 Approach 0 0 0 35 0 1 11 125
The theory of value in security markets 0 0 0 149 0 0 6 340
Total Chapters 0 2 8 1,319 4 12 195 4,176

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Statistics updated 2026-08-07