Darrell Duffie

Stanford University - Graduate School of Business

Professor of Finance

655 Knight Way

Knight Management Center

Stanford, CA 94305-7298

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

Canadian Derivatives Institute

3000, chemin de la Côte-Sainte-Catherine

Montréal, Québec H3T 2A7

Canada

  • Stanford University - Graduate School of Business

    • Email
    • Tel: 650-723-1976
    • Fax: 650-725-8916

  • Canadian Derivatives Institute

SCHOLARLY PAPERS

80

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3,165

Scholarly Papers (80)

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1.

Innovations in Credit Risk Transfer: Implications for Financial Stability

BIS Working Paper No. 255
Number of pages: 40 Posted: 22 Jul 2008 Last Revised: 03 Nov 2013
Darrell Duffie
Stanford University - Graduate School of Business
Downloads 3,462 (5,702)
Citation 188

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Credit derivatives, credit risk transfer, financial innovations, financial stability

2.

Does a Central Clearing Counterparty Reduce Counterparty Risk?

Rock Center for Corporate Governance at Stanford University Working Paper No. 46, Stanford University Graduate School of Business Research Paper No. 2022
Number of pages: 31 Posted: 23 Feb 2009 Last Revised: 28 Apr 2011
Darrell Duffie and Haoxiang Zhu
Stanford University - Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 3,213 (6,440)
Citation 104

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central clearing, netting efficiency, counterparty risk, over-the-counter derivatives

3.

Transform Analysis and Asset Pricing for Affine Jump-Diffusions

Downloads 2,232 (11,459)
Citation 531

Transform Analysis and Asset Pricing for Affine Jump-Diffusions

Number of pages: 43 Posted: 03 Apr 1999
Darrell Duffie, Jun Pan and Kenneth J. Singleton
Stanford University - Graduate School of Business, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Stanford University - Graduate School of Business
Downloads 2,027 (13,093)

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Transform Analysis and Asset Pricing for Affine Jump-Diffusions

NBER Working Paper No. w7105
Number of pages: 45 Posted: 11 Jun 2000 Last Revised: 02 Dec 2022
Darrell Duffie, Jun Pan and Kenneth J. Singleton
Stanford University - Graduate School of Business, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Stanford University - Graduate School of Business
Downloads 205 (246,034)
Citation 98

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4.

Measuring Default Risk Premia from Default Swap Rates and EDFs

BIS Working Paper No. 173, EFA 2004 Maastricht Meetings Paper No. 5121
Number of pages: 56 Posted: 20 Sep 2007
Antje Berndt, Rohan Douglas, Darrell Duffie, Mark Ferguson and David Schranz
Australian National University, College of Business and Economics, Cornell University, Stanford University - Graduate School of Business, Independent and Cornell University
Downloads 2,230 (11,471)
Citation 29

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5.

Reforming Money Market Funds

Tuck School of Business Working Paper No. 2011-86, Rock Center for Corporate Governance at Stanford University Working Paper No. 109, Columbia Business School Research Paper No. 12-13
Number of pages: 10 Posted: 19 Jan 2011 Last Revised: 20 Feb 2012
Martin N. Baily, John Y. Campbell, John H. Cochrane, Douglas W. Diamond, Darrell Duffie, Kenneth R. French, Anil K. Kashyap, Frederic S. Mishkin, David S. Scharfstein, Robert J. Shiller, Matthew J. Slaughter, Hyun Song Shin, Jeremy C. Stein and René M. Stulz
Brookings Institution, Harvard University - Department of Economics, Hoover Institution, University of Chicago - Booth School of Business, Stanford University - Graduate School of Business, Dartmouth College - Tuck School of Business, University of Chicago, Booth School of Business, Columbia University - Columbia Business School, Finance, Harvard Business School - Finance Unit, Yale University - Cowles Foundation, Dartmouth College - Tuck School of Business, Bank for International Settlements (BIS), Harvard University - Department of Economics and Ohio State University (OSU) - Department of Finance
Downloads 1,951 (14,194)
Citation 3

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6.

Funding Value Adjustments

Downloads 1,919 (14,550)
Citation 91

Funding Value Adjustments

Number of pages: 61 Posted: 13 Mar 2016 Last Revised: 02 Aug 2017
Leif B. G. Andersen, Darrell Duffie and Yang Song
Bank of America, Stanford University - Graduate School of Business and University of Washington - Michael G. Foster School of Business
Downloads 1,812 (15,642)
Citation 5

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Funding value adjustment, swap XVAs, debit value adjustment, debt overhang

Funding Value Adjustments

NBER Working Paper No. w23680
Number of pages: 71 Posted: 21 Aug 2017 Last Revised: 16 Mar 2023
Leif B. G. Andersen, Darrell Duffie and Yang Song
Bank of America, Stanford University - Graduate School of Business and University of Washington - Michael G. Foster School of Business
Downloads 107 (419,795)
Citation 36

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7.

Competing for a Share of Global Derivatives Markets: Trends and Policy Choices for the United States

U of Texas Law, Law and Econ Research Paper No. 145, Rock Center for Corporate Governance at Stanford University Working Paper No. 50
Number of pages: 58 Posted: 05 Jun 2008 Last Revised: 29 Sep 2009
Darrell Duffie and Henry T. C. Hu
Stanford University - Graduate School of Business and University of Texas at Austin - School of Law
Downloads 1,893 (14,873)
Citation 8

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Chicago, co-location, competition, competitiveness, dataset, derivatives, derivatives dealers, derivatives regulation, exchanges, financial institutions, financial markets, financial services, futures, human resources, labor, law, location, London, migration, New York, options, securities regulation

8.

Market Making Under the Proposed Volcker Rule

Rock Center for Corporate Governance at Stanford University Working Paper No. 106
Number of pages: 32 Posted: 24 Jan 2012
Darrell Duffie
Stanford University - Graduate School of Business
Downloads 1,836 (15,593)
Citation 4

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market-making, Volcker rule, financial markets, regulatory capital, liquidity requirements, systemic risk

9.

Policy Perspectives on OTC Derivatives Market Infrastructure

Downloads 1,529 (20,665)
Citation 19

Policy Perspectives on OTC Derivatives Market Infrastructure

FRB of New York Staff Report No. 424
Number of pages: 30 Posted: 12 Jan 2010 Last Revised: 09 Mar 2010
Darrell Duffie, Ada Li and Theodore Lubke
Stanford University - Graduate School of Business, Federal Reserve Banks - Federal Reserve Bank of New York and affiliation not provided to SSRN
Downloads 1,230 (28,120)
Citation 16

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OTC derivatives, central counterparty, centralized data repository, collateral management, electronic trading platform, exchange, market transparency, regulation, systemic risk

Policy Perspectives on OTC Derivatives Market Infrastructure

MFI Working Paper No. 2010-002, FRB of New York Staff Report No. 424
Number of pages: 28 Posted: 13 Jan 2010 Last Revised: 10 Jul 2012
Darrell Duffie, Theodore Lubke and Ada Li
Stanford University - Graduate School of Business, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 299 (169,250)
Citation 18

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OTC derivatives, central counterparty, centralized data repository, collateral management, electronic trading platform, exchange, market transparency, regulation, systemic risk

10.

The Decline of Too Big to Fail

Number of pages: 119 Posted: 19 Dec 2019 Last Revised: 23 Aug 2023
Antje Berndt, Darrell Duffie and Yichao Zhu
Australian National University, College of Business and Economics, Stanford University - Graduate School of Business and Australian National University (ANU), Research school of Finance, Actuarial Studies and Applied Statistics
Downloads 1,485 (21,633)
Citation 14

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too big to fail, systemically important banks, government bailouts

11.

The Failure Mechanics of Dealer Banks

Downloads 1,337 (25,308)
Citation 57

The Failure Mechanics of Dealer Banks

BIS Working Paper No. 301
Number of pages: 39 Posted: 05 May 2010 Last Revised: 03 Nov 2013
Darrell Duffie
Stanford University - Graduate School of Business
Downloads 827 (49,348)
Citation 53

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Liquidity, dealer banks, OTC markets, financial crisis

The Failure Mechanics of Dealer Banks

Rock Center for Corporate Governance at Stanford University Working Paper No. 59
Number of pages: 53 Posted: 29 Jul 2009
Darrell Duffie
Stanford University - Graduate School of Business
Downloads 510 (92,165)
Citation 12

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bank failure mechanics

12.

Size Discovery

Downloads 1,245 (28,106)
Citation 14

Size Discovery

Forthcoming, Review of Financial Studies, Stanford University Graduate School of Business Research Paper No. 15-56
Number of pages: 62 Posted: 29 Oct 2015 Last Revised: 02 Nov 2016
Darrell Duffie and Haoxiang Zhu
Stanford University - Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,215 (28,640)

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size discovery, allocative efficiency, workup, dark pool, market design

Size Discovery

NBER Working Paper No. w21696
Number of pages: 62 Posted: 09 Nov 2015 Last Revised: 14 Apr 2023
Darrell Duffie and Haoxiang Zhu
Stanford University - Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 30 (793,279)
Citation 10

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13.

A Dialogue on the Costs and Benefits of Automatic Stays for Derivatives and Repurchase Agreements

U of Penn, Inst for Law & Econ Research Paper No. 12-02, Rock Center for Corporate Governance at Stanford University Working Paper No. 108, Stanford University Working Paper No. 108
Number of pages: 26 Posted: 09 Jan 2012 Last Revised: 18 Oct 2012
Darrell Duffie and David A. Skeel
Stanford University - Graduate School of Business and University of Pennsylvania Carey Law School
Downloads 1,158 (31,256)
Citation 25

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qualified financial contract, OTC derivative, swap, repurchase agreement, automatic stay, clearinghouse, Dodd-Frank Act, financial regulation, finance, bankruptcy

14.

Securities Lending, Shorting, and Pricing

Downloads 1,137 (32,105)

Securities Lending, Shorting, and Pricing

Number of pages: 44 Posted: 04 Mar 2002
Darrell Duffie, Nicolae Garleanu and Lasse Heje Pedersen
Stanford University - Graduate School of Business, University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC
Downloads 1,137 (31,608)
Citation 10

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Securities Lending, Shorting, and Pricing

Posted: 29 Mar 2002
Darrell Duffie, Nicolae Garleanu and Lasse Heje Pedersen
Stanford University - Graduate School of Business, University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC

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15.

Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

Downloads 947 (41,542)

Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

Number of pages: 49 Posted: 11 Jul 2001
Darrell Duffie, Lasse Heje Pedersen and Kenneth J. Singleton
Stanford University - Graduate School of Business, AQR Capital Management, LLC and Stanford University - Graduate School of Business
Downloads 947 (40,921)
Citation 18

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Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

Posted: 31 Aug 2003
Darrell Duffie, Lasse Heje Pedersen and Kenneth J. Singleton
Stanford University - Graduate School of Business, AQR Capital Management, LLC and Stanford University - Graduate School of Business

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16.

Central Bank Digital Currency: Principles for Technical Implementation

Number of pages: 17 Posted: 06 May 2021
Darrell Duffie, Kelly Mathieson and Darko Pilav
Stanford University - Graduate School of Business, Independent and Independent
Downloads 858 (47,625)
Citation 2

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17.

Benchmarks in Search Markets

Downloads 855 (47,811)
Citation 58

Benchmarks in Search Markets

Journal of Finance, Forthcoming, Stanford University Graduate School of Business Research Paper No. 14-47
Number of pages: 62 Posted: 29 Oct 2014 Last Revised: 23 Nov 2016
Darrell Duffie, Piotr Dworczak and Haoxiang Zhu
Stanford University - Graduate School of Business, Northwestern University - Department of Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 761 (55,127)

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Benchmark, Search, Transparency, OTC markets, LIBOR

Benchmarks in Search Markets

NBER Working Paper No. w20620
Number of pages: 62 Posted: 27 Oct 2014 Last Revised: 06 May 2023
Darrell Duffie, Piotr Dworczak and Haoxiang Zhu
Stanford University - Graduate School of Business, Northwestern University - Department of Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 94 (459,391)
Citation 17

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18.

Multi-Period Corporate Default Prediction with Stochastic Covariates

Downloads 831 (49,722)
Citation 234

Multi-Period Corporate Default Prediction with Stochastic Covariates

FDIC Center For Financial Research Working Paper No. 2006-05
Number of pages: 44 Posted: 23 May 2006
Darrell Duffie, Leandro Saita and Ke Wang
Stanford University - Graduate School of Business, Independent and Board of Governors of the Federal Reserve System
Downloads 740 (57,302)
Citation 8

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default, bankruptcy, duration analysis, doubly stochastic

Multi-Period Corporate Default Prediction with Stochastic Covariates

NBER Working Paper No. w11962
Number of pages: 46 Posted: 24 Apr 2006 Last Revised: 09 Sep 2022
Darrell Duffie, Leandro Saita and Ke Wang
Stanford University - Graduate School of Business, Independent and Board of Governors of the Federal Reserve System
Downloads 91 (469,340)
Citation 23

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19.

Aligning Incentives at Systemically Important Financial Institutions

Columbia Business School Research Paper No. 13-18, Fisher College of Business Working Paper
Number of pages: 7 Posted: 28 Mar 2013
Martin N. Baily, John Y. Campbell, John H. Cochrane, Douglas W. Diamond, Darrell Duffie, Kenneth R. French, Anil K. Kashyap, Frederic S. Mishkin, David S. Scharfstein, Robert J. Shiller, Matthew J. Slaughter, Hyun Song Shin and René M. Stulz
Brookings Institution, Harvard University - Department of Economics, Hoover Institution, University of Chicago - Booth School of Business, Stanford University - Graduate School of Business, Dartmouth College - Tuck School of Business, University of Chicago, Booth School of Business, Columbia University - Columbia Business School, Finance, Harvard Business School - Finance Unit, Yale University - Cowles Foundation, Dartmouth College - Tuck School of Business, Bank for International Settlements (BIS) and Ohio State University (OSU) - Department of Finance
Downloads 817 (50,923)
Citation 1

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Bonus, compensation, contingent convertible bonds, capital, regulation, financial crisis

20.

AFA/ASE Panel: Implications of the Credit Crisis for the Regulation of Non-Bank Financial Firms

AFA 2009 San Francisco Meetings Paper, Rock Center for Corporate Governance Working Paper No. 40
Number of pages: 1 Posted: 26 Aug 2008 Last Revised: 29 Sep 2009
Darrell Duffie, Edward J. Kane, Paul McCulley and David Modest
Stanford University - Graduate School of Business, Boston College - Department of Finance, PIMCO Europe Ltd. and Azimuth Alternative Assets Management LLLP
Downloads 540 (86,722)

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21.

Central Clearing and Collateral Demand

Downloads 536 (87,548)
Citation 114

Central Clearing and Collateral Demand

Rock Center for Corporate Governance at Stanford University Working Paper No. 171
Number of pages: 39 Posted: 01 Feb 2014 Last Revised: 16 Apr 2014
Darrell Duffie, Martin Scheicher and Guillaume Vuillemey
Stanford University - Graduate School of Business, European Central Bank (ECB) and HEC Paris - Finance Department
Downloads 319 (158,034)
Citation 2

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Central clearing party, margin, credit default swap, collateral, client clearing

Central Clearing and Collateral Demand

ECB Working Paper No. 1638
Number of pages: 41 Posted: 14 Mar 2014
Darrell Duffie, Martin Scheicher and Guillaume Vuillemey
Stanford University - Graduate School of Business, European Central Bank (ECB) and HEC Paris - Finance Department
Downloads 121 (383,432)
Citation 1

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central clearing party, margin, credit default swap, collateral, client clearing

Central Clearing and Collateral Demand

NBER Working Paper No. w19890
Number of pages: 39 Posted: 11 Feb 2014 Last Revised: 08 May 2022
Darrell Duffie, Martin Scheicher and Guillaume Vuillemey
Stanford University - Graduate School of Business, European Central Bank (ECB) and HEC Paris - Finance Department
Downloads 96 (452,961)
Citation 32

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22.

Across-the-Curve Credit Spread Indices

Stanford University Graduate School of Business Research Paper No. 3884
Number of pages: 14 Posted: 31 Jul 2020
Antje Berndt, Darrell Duffie and Yichao Zhu
Australian National University, College of Business and Economics, Stanford University - Graduate School of Business and Australian National University (ANU), Research school of Finance, Actuarial Studies and Applied Statistics
Downloads 534 (87,959)
Citation 9

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23.

Common Failings: How Corporate Defaults are Correlated

Downloads 531 (88,569)
Citation 160

Common Failings: How Corporate Defaults are Correlated

Journal of Finance, Forthcoming
Number of pages: 36 Posted: 02 Jan 2006
Sanjiv Ranjan Das, Darrell Duffie, Nikunj Kapadia and Leandro Saita
Santa Clara University - Leavey School of Business, Stanford University - Graduate School of Business, University of Massachusetts Amherst - Department of Finance and Independent
Downloads 465 (103,041)
Citation 1

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Correlated default, doubly stochastic, contagion, frailty

Common Failings: How Corporate Defaults are Correlated

NBER Working Paper No. w11961
Number of pages: 29 Posted: 23 Jan 2006 Last Revised: 08 Sep 2022
Sanjiv Ranjan Das, Darrell Duffie, Nikunj Kapadia and Leandro Saita
Santa Clara University - Leavey School of Business, Stanford University - Graduate School of Business, University of Massachusetts Amherst - Department of Finance and Independent
Downloads 66 (568,243)
Citation 19

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24.

Federal Reserve Bank of New York Staff Reports Policy Perspectives on OTC Derivatives Market Infrastructure Staff Report No. 424

Rock Center for Corporate Governance at Stanford University Working Paper No. 70
Number of pages: 28 Posted: 11 Jan 2010
Darrell Duffie, Ada Li and Theodore Lubke
Stanford University - Graduate School of Business, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 515 (92,010)
Citation 11

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OTC derivatives, central counterparty, centralized data repository, collateral management, electronic trading platform, exchange, market transparency, regulation, systemic risk

25.

Frailty Correlated Default

Swiss Finance Institute Research Paper No. 08-44
Number of pages: 53 Posted: 23 Dec 2008
Darrell Duffie, Guillaume Horel, Leandro Saita and Andreas Eckner
Stanford University - Graduate School of Business, Stanford University - Department of Statistics, Independent and Stanford University
Downloads 512 (92,656)
Citation 109

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correlated default, doubly stochastic, frailty, latent factor

26.

Corporate Credit Risk Premia

Downloads 444 (109,861)
Citation 27

Corporate Credit Risk Premia

Stanford University Graduate School of Business Research Paper No. 17-71
Number of pages: 50 Posted: 29 Nov 2017 Last Revised: 31 Dec 2017
Antje Berndt, Rohan Douglas, Darrell Duffie and Mark Ferguson
Australian National University, College of Business and Economics, Cornell University, Stanford University - Graduate School of Business and Independent
Downloads 350 (143,043)
Citation 5

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CDS, Credit risk premia, Credit ratings

Corporate Credit Risk Premia

NBER Working Paper No. w24213
Number of pages: 51 Posted: 22 Jan 2018 Last Revised: 27 Feb 2023
Antje Berndt, Rohan Douglas, Darrell Duffie and Mark Ferguson
Australian National University, College of Business and Economics, Cornell University, Stanford University - Graduate School of Business and Independent
Downloads 94 (459,391)
Citation 10

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27.

Dollar Funding Stresses in China

Stanford University Graduate School of Business Research Paper
Number of pages: 17 Posted: 25 May 2022 Last Revised: 31 Oct 2022
Laura Kodres, Leslie Sheng Shen and Darrell Duffie
Golub Center for Finance and Policy, Federal Reserve Banks - Federal Reserve Bank of Boston and Stanford University - Graduate School of Business
Downloads 430 (114,089)

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Dollar funding, China, Central Bank Liquidity Provision, Currency Markets

28.

Leverage Management

Number of pages: 25 Posted: 21 Oct 2008
Darrell Duffie, Chenyang Wang and Hefei Wang
Stanford University - Graduate School of Business, QVT Financials and University of Illinois at Chicago - Department of Finance
Downloads 407 (121,650)
Citation 10

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29.

Bank Funding Risk, Reference Rates, and Credit Supply

Downloads 396 (125,873)

Bank Funding Risk, Reference Rates, and Credit Supply

Number of pages: 63 Posted: 31 Dec 2022 Last Revised: 31 Jan 2023
Harry Cooperman, Darrell Duffie, Stephan Luck, Zachry Wang and Yilin (David) Yang
Stanford University Graduate School of Business, Stanford University - Graduate School of Business, Federal Reserve Bank of New York, Stanford Graduate School of Business and City University of Hong Kong (CityU) - Department of Economics & Finance
Downloads 344 (146,230)

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Bank funding risk, credit supply, reference rates, credit lines, London Interbank Offered Rate (LIBOR), Secured Overnight Financing Rate (SOFR)

Bank Funding Risk, Reference Rates, and Credit Supply

FRB of New York Staff Report No. 1042, Rev. February 2023
Number of pages: 64 Posted: 23 Dec 2022 Last Revised: 02 Feb 2023
Harry Cooperman, Darrell Duffie, Stephan Luck, Zachry Wang and Yilin (David) Yang
Stanford University Graduate School of Business, Stanford University - Graduate School of Business, Federal Reserve Bank of New York, Stanford Graduate School of Business and City University of Hong Kong (CityU) - Department of Economics & Finance
Downloads 52 (640,646)

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bank funding risk, credit supply, reference rates, credit lines, London Interbank Offered Rate (LIBOR), Secured Overnight Financing Rate (SOFR)

30.

Multi-Period Corporate Failure Prediction with Stochastic Covariates

Downloads 390 (127,698)
Citation 21

Multi-Period Corporate Failure Prediction with Stochastic Covariates

AFA 2005 Philadelphia Meetings Paper
Number of pages: 43 Posted: 12 Jan 2005
Darrell Duffie and Ke Wang
Stanford University - Graduate School of Business and Board of Governors of the Federal Reserve System
Downloads 279 (182,052)
Citation 3

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Multi-Period Corporate Failure Prediction with Stochastic Covariates

NBER Working Paper No. w10743
Number of pages: 46 Posted: 23 Sep 2004 Last Revised: 10 Nov 2022
Darrell Duffie and Ke Wang
Stanford University - Graduate School of Business and Board of Governors of the Federal Reserve System
Downloads 111 (408,683)
Citation 5

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31.

Resolution of Failing Central Counterparties

Stanford University Graduate School of Business Research Paper No. 15-12
Number of pages: 19 Posted: 02 Feb 2015
Darrell Duffie
Stanford University - Graduate School of Business
Downloads 385 (129,609)
Citation 21

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Central clearing, derivatives, central counterparties, failure resolutions

32.

Reserves Were Not So Ample After All∗

Stanford University Graduate School of Business Research Paper No. 4185217
Number of pages: 61 Posted: 09 Aug 2022
Adam M. Copeland, Darrell Duffie and Yilin (David) Yang
Federal Reserve Bank of New York, Stanford University - Graduate School of Business and City University of Hong Kong (CityU) - Department of Economics & Finance
Downloads 345 (146,349)

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Repo rates, reserves, Treasuries, payments, central-bank balance sheet

33.

Market Fragmentation

Downloads 340 (148,596)
Citation 23

Market Fragmentation

Stanford University Graduate School of Business Research Paper No. 3854
Number of pages: 77 Posted: 24 Feb 2020 Last Revised: 26 May 2020
Daniel Chen and Darrell Duffie
Princeton University and Stanford University - Graduate School of Business
Downloads 316 (159,628)
Citation 1

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market fragmentation, price impact, allocative efficiency, price discovery

Market Fragmentation

NBER Working Paper No. w26828
Number of pages: 61 Posted: 09 Mar 2020 Last Revised: 22 Apr 2023
Daniel Chen and Darrell Duffie
Princeton University and Stanford University - Graduate School of Business
Downloads 24 (845,229)

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34.

Compression Auctions With an Application to LIBOR-SOFR Swap Conversion

Stanford University Graduate School of Business Research Paper No. 3727
Number of pages: 12 Posted: 02 Oct 2018
Darrell Duffie
Stanford University - Graduate School of Business
Downloads 329 (153,844)
Citation 6

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35.

Reforming LIBOR and Other Financial-Market Benchmarks

Stanford University Graduate School of Business Research Paper No. 14-41
Number of pages: 36 Posted: 09 Oct 2014
Darrell Duffie and Jeremy C. Stein
Stanford University - Graduate School of Business and Harvard University - Department of Economics
Downloads 320 (158,542)
Citation 25

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Benchmarks, LIBOR, manipulation, reference rate reform

36.

Interoperable Payment Systems and the Role of Central Bank Digital Currencies

Stanford University Graduate School of Business Research Paper No. 3867
Number of pages: 5 Posted: 25 May 2020
Darrell Duffie
Stanford University - Graduate School of Business
Downloads 305 (166,779)
Citation 2

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Digital currency, payment system, interoperability

37.

Information Percolation in Segmented Markets

Downloads 238 (214,144)
Citation 56

Information Percolation in Segmented Markets

Swiss Finance Institute Research Paper No. 10-09
Number of pages: 109 Posted: 09 Mar 2010 Last Revised: 10 Jul 2013
Darrell Duffie, Gustavo Manso and Semyon Malamud
Stanford University - Graduate School of Business, University of California, Berkeley - Haas School of Business and Ecole Polytechnique Federale de Lausanne
Downloads 175 (283,932)
Citation 31

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Search, Matching, Double Auctions, Segmented Markets, Equilibrium, Information, Percolation

Information Percolation in Segmented Markets

NBER Working Paper No. w17295
Number of pages: 86 Posted: 12 Aug 2011 Last Revised: 05 Apr 2023
Darrell Duffie, Semyon Malamud and Gustavo Manso
Stanford University - Graduate School of Business, Ecole Polytechnique Federale de Lausanne and University of California, Berkeley - Haas School of Business
Downloads 63 (582,563)

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38.

Securities Lending, Shorting, and Pricing

NYU Working Paper No. FIN-01-023
Number of pages: 35 Posted: 03 Nov 2008
Darrell Duffie, Nicolae Garleanu and Lasse Heje Pedersen
Stanford University - Graduate School of Business, University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC
Downloads 233 (218,705)
Citation 80

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39.

On the Clearing of Foreign Exchange Derivatives

Rock Center for Corporate Governance at Stanford University Working Paper Series No. 102
Number of pages: 11 Posted: 22 Jun 2011
Darrell Duffie
Stanford University - Graduate School of Business
Downloads 225 (226,137)
Citation 7

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derivatives, foregin exchange, over-the-counter derivatives, trade competition

40.

Information Percolation with Equilibrium Search Dynamics

Econometrica, Vol. 77, No. 5, Swiss Finance Institute Research Paper No. 09-02
Number of pages: 61 Posted: 29 Jan 2009 Last Revised: 27 Nov 2009
Darrell Duffie, Semyon Malamud and Gustavo Manso
Stanford University - Graduate School of Business, Ecole Polytechnique Federale de Lausanne and University of California, Berkeley - Haas School of Business
Downloads 225 (226,137)
Citation 18

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search, matching, equilibrium, information, percolation

41.

Valuation in Over-the-Counter Markets

Downloads 222 (229,052)
Citation 10

Valuation in Over-the-Counter Markets

NYU Working Paper No. FIN-03-041
Number of pages: 46 Posted: 11 Nov 2008
Darrell Duffie, Nicolae Garleanu and Lasse Heje Pedersen
Stanford University - Graduate School of Business, University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC
Downloads 112 (405,979)
Citation 10

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Valuation in Over-the-Counter Markets

NYU Working Paper No. S-MF-04-04
Number of pages: 39 Posted: 12 Nov 2008
Darrell Duffie, Nicolae Gârleanu and Lasse Heje Pedersen
Stanford University - Graduate School of Business, affiliation not provided to SSRN and AQR Capital Management, LLC
Downloads 110 (411,478)

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Valuation in Over-the-Counter Markets

The Review of Financial Studies, Vol. 20, Issue 6, pp. 1865-1900, 2007
Posted: 26 Jun 2008
Darrell Duffie, Nicolae Gârleanu and Lasse Heje Pedersen
Stanford University - Graduate School of Business, affiliation not provided to SSRN and AQR Capital Management, LLC

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G1, G12, G14, D83, D4, D52

42.

Valuation in Dynamic Bargaining Markets

Downloads 192 (261,719)
Citation 19

Valuation in Dynamic Bargaining Markets

NYU Working Paper No. S-MF-01-01
Number of pages: 45 Posted: 12 Nov 2008
Darrell Duffie, Nicolae Garleanu and Lasse Heje Pedersen
Stanford University - Graduate School of Business, University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC
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Citation 1

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Valuation in Dynamic Bargaining Markets

NYU Working Paper No. FIN-01-022
Number of pages: 45 Posted: 03 Nov 2008
Darrell Duffie, Nicolae Garleanu and Lasse Heje Pedersen
Stanford University - Graduate School of Business, University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC
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43.

Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

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Citation 110

Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

NYU Working Paper No. S-CDM-01-05
Number of pages: 50 Posted: 05 Nov 2008
Darrell Duffie, Lasse Heje Pedersen and Kenneth J. Singleton
Stanford University - Graduate School of Business, AQR Capital Management, LLC and Stanford University - Graduate School of Business
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Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

NYU Working Paper No. S-DRP-01-09
Number of pages: 50 Posted: 07 Nov 2008
Darrell Duffie, Lasse Heje Pedersen and Kenneth J. Singleton
Stanford University - Graduate School of Business, AQR Capital Management, LLC and Stanford University - Graduate School of Business
Downloads 85 (490,131)
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44.

The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation

Stanford University Graduate School of Business Research Paper No. 2023, Rock Center for Corporate Governance at Stanford University Working Paper No. 51, Swiss Finance Institute Research Paper No. 09-33
Number of pages: 39 Posted: 01 May 2009
Darrell Duffie, Semyon Malamud and Gustavo Manso
Stanford University - Graduate School of Business, Ecole Polytechnique Federale de Lausanne and University of California, Berkeley - Haas School of Business
Downloads 171 (289,790)
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information percolation, search, learning rates

45.

Over-the-Counter Markets

NYU Working Paper No. S-MF-04-05
Number of pages: 37 Posted: 12 Nov 2008
Darrell Duffie, Nicolae Gârleanu and Lasse Heje Pedersen
Stanford University - Graduate School of Business, affiliation not provided to SSRN and AQR Capital Management, LLC
Downloads 167 (295,627)

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46.

A Sampling-Window Approach to Transactions-Based Libor Fixing

FRB of New York Staff Report No. 596
Number of pages: 21 Posted: 05 Feb 2013
Darrell Duffie, David R. Skeie and James I. Vickery
Stanford University - Graduate School of Business, University of Warwick - Warwick Business School and Federal Reserve Bank of Philadelphia
Downloads 166 (297,093)
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Libor, interbank, transactions-based fixing, sampling window, shadow banking, financial intermediation

47.

How Abundant Are Reserves? Evidence from the Wholesale Payment System

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How Abundant Are Reserves? Evidence from the Wholesale Payment System

FRB of New York Staff Report No. 1040
Number of pages: 26 Posted: 29 Nov 2022
Gara Afonso, Darrell Duffie, Lorenzo Rigon and Hyun Song Shin
Federal Reserve Bank of New York, Stanford University - Graduate School of Business, Stanford University - Department of Economics and Bank for International Settlements (BIS)
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real-time gross settlement (RTGS) systems, quantitative tightening, balance sheet management, reserve balances

How Abundant are Reserves? Evidence from the Wholesale Payment System

NBER Working Paper No. w30736
Number of pages: 26 Posted: 12 Dec 2022 Last Revised: 14 Apr 2023
Gara Afonso, Darrell Duffie, Lorenzo Rigon and Hyun Song Shin
Federal Reserve Bank of New York, Stanford University - Graduate School of Business, Stanford University and Bank for International Settlements (BIS)
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48.

Robust Benchmark Design

NBER Working Paper No. w20540
Number of pages: 56 Posted: 06 Oct 2014 Last Revised: 15 Feb 2023
Darrell Duffie and Piotr Dworczak
Stanford University - Graduate School of Business and Northwestern University - Department of Economics
Downloads 143 (336,128)
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49.

Over-the-Counter Markets

NBER Working Paper No. w10816
Number of pages: 49 Posted: 19 Oct 2004 Last Revised: 23 Jul 2022
Darrell Duffie, Nicolae Garleanu and Lasse Heje Pedersen
Stanford University - Graduate School of Business, University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC
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50.

Affine Processes and Application in Finance

NBER Working Paper No. t0281
Number of pages: 61 Posted: 15 Sep 2002 Last Revised: 10 Apr 2022
Darrell Duffie, D. Filipovic and W. Schachermayer
Stanford University - Graduate School of Business, affiliation not provided to SSRN and University of Vienna
Downloads 136 (349,719)
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51.

Over-the-Counter Marketmaking

NYU Working Paper No. FIN-03-043
Number of pages: 35 Posted: 11 Nov 2008
Darrell Duffie, Nicolae Garleanu and Lasse Heje Pedersen
Stanford University - Graduate School of Business, University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC
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52.

Valuation in Over-the-Counter Markets

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Citation 446

Valuation in Over-the-Counter Markets

NBER Working Paper No. w12020
Number of pages: 46 Posted: 27 Apr 2006 Last Revised: 06 Nov 2022
Nicolae Garleanu, Darrell Duffie and Lasse Heje Pedersen
University of California, Berkeley - Haas School of Business, Stanford University - Graduate School of Business and AQR Capital Management, LLC
Downloads 104 (428,478)
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Valuation in Over-the-Counter Markets

CEPR Discussion Paper No. 5491
Number of pages: 48 Posted: 19 May 2006
Darrell Duffie, Nicolae Garleanu and Lasse Heje Pedersen
Stanford University - Graduate School of Business, University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC
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Citation 76
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Search, bargaining, liquidity, risk, asset pricing

53.

Modeling Sovereign Yield Spreads: A Case Study of Russian Debts

NYU Working Paper No. FIN-01-021
Number of pages: 50 Posted: 03 Nov 2008
Darrell Duffie, Lasse Heje Pedersen and Kenneth J. Singleton
Stanford University - Graduate School of Business, AQR Capital Management, LLC and Stanford University - Graduate School of Business
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54.

Resilience Redux in the U.S. Treasury Market

Jackson Hole Symposium, Federal Reserve Bank of Kansas City, August, 2023, Stanford University Graduate School of Business Research Paper No. 4552735
Number of pages: 56 Posted: 29 Aug 2023 Last Revised: 22 Sep 2023
Darrell Duffie
Stanford University - Graduate School of Business
Downloads 131 (361,873)

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Treasury securities, dealer balance sheets, safe haven, central bank

55.

Prone to Fail: The Pre-Crisis Financial System

Stanford University Graduate School of Business Research Paper No. 3728
Number of pages: 47 Posted: 02 Oct 2018
Darrell Duffie
Stanford University - Graduate School of Business
Downloads 123 (377,214)
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56.

Simulated Moments Estimation of Markov Models of Asset Prices

NBER Working Paper No. t0087
Number of pages: 43 Posted: 27 Jun 2007 Last Revised: 30 Mar 2023
Darrell Duffie and Kenneth J. Singleton
Stanford University - Graduate School of Business and Stanford University - Graduate School of Business
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57.

Augmenting Markets with Mechanisms

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Citation 12

Augmenting Markets with Mechanisms

Stanford University Graduate School of Business Research Paper No. 3623
Number of pages: 115 Posted: 04 Sep 2019 Last Revised: 19 Jun 2020
Samuel Antill and Darrell Duffie
Harvard Business School and Stanford University - Graduate School of Business
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mechanism design, price impact, size discovery, allocative efficiency, workup, dark pool, market design

Augmenting Markets with Mechanisms

NBER Working Paper No. w24146
Number of pages: 116 Posted: 28 Dec 2017 Last Revised: 24 Jun 2023
Samuel Antill and Darrell Duffie
Harvard Business School and Stanford University - Graduate School of Business
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58.

Reserves Were Not So Ample After All

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Citation 8

Reserves Were Not So Ample After All

FRB of New York Staff Report No. 974
Number of pages: 59 Posted: 14 Jul 2021
Adam M. Copeland, Darrell Duffie and Yilin (David) Yang
Federal Reserve Bank of New York, Stanford University - Graduate School of Business and City University of Hong Kong (CityU) - Department of Economics & Finance
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repo rates, reserves, Treasuries, payments, central bank balance sheet

Reserves Were Not so Ample after All

NBER Working Paper No. w29090
Number of pages: 62 Posted: 02 Aug 2021 Last Revised: 26 Jun 2023
Adam M. Copeland, Darrell Duffie and Yilin (David) Yang
Federal Reserve Bank of New York, Stanford University - Graduate School of Business and City University of Hong Kong (CityU) - Department of Economics & Finance
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59.

Systemic Risk Exposures: a 10-by-10-by-10 Approach

NBER Working Paper No. w17281
Number of pages: 10 Posted: 12 Aug 2011 Last Revised: 22 Mar 2023
Darrell Duffie
Stanford University - Graduate School of Business
Downloads 88 (475,180)
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60.

Dealer Capacity and U.S. Treasury Market Functionality

FRB of New York Staff Report No. 1070, https://doi.org/10.59576/sr.1070
Number of pages: 75 Posted: 14 Aug 2023 Last Revised: 16 Aug 2023
Darrell Duffie, Michael J. Fleming, Frank M. Keane, Claire Nelson, Or Shachar and Peter Van Tassel
Stanford University - Graduate School of Business, Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Princeton University, Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of New York
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treasury market, liquidity, volatility, dealer intermediation, value-at-risk

61.

Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group

Journal of Applied Corporate Finance, Vol. 25, Issue 4, pp. 37-40, 2013
Number of pages: 6 Posted: 01 Mar 2023
Martin N. Baily, John Y. Campbell, John H. Cochrane, Douglas W. Diamond, Darrell Duffie, Kenneth R. French, Anil K. Kashyap, Frederic S. Mishkin, David S. Scharfstein, Robert J. Shiller, Matthew J. Slaughter, Hyun Song Shin and René M. Stulz
Brookings Institution, Harvard University - Department of Economics, Hoover Institution, University of Chicago - Booth School of Business, Stanford University - Graduate School of Business, Dartmouth College - Tuck School of Business, University of Chicago, Booth School of Business, Columbia University - Columbia Business School, Finance, Harvard Business School - Finance Unit, Yale University - Cowles Foundation, Dartmouth College - Tuck School of Business, Bank for International Settlements (BIS) and Ohio State University (OSU) - Department of Finance
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62.

Large Portfolio Losses

NBER Working Paper No. w9177
Number of pages: 19 Posted: 15 Sep 2002 Last Revised: 31 Jul 2022
Darrell Duffie and Jean-Deominique Deuschel
Stanford University - Graduate School of Business and Technische Universität Berlin (TU Berlin)
Downloads 60 (587,489)

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63.

Capital Mobility and Asset Pricing

NBER Working Paper No. w17296
Number of pages: 53 Posted: 12 Aug 2011 Last Revised: 06 Apr 2023
Darrell Duffie and Bruno H. Strulovici
Stanford University - Graduate School of Business and Northwestern University
Downloads 57 (602,203)
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64.

Market-Function Asset Purchases

FRB of New York Staff Report No. 1054
Number of pages: 35 Posted: 28 Feb 2023
Darrell Duffie and Frank M. Keane
Stanford University - Graduate School of Business and Federal Reserve Banks - Federal Reserve Bank of New York
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government securities, financial stability, bond markets, central banking, debt management

65.

Continuous-Time Random Matching

Stanford University Graduate School of Business Research Paper No. 4549798
Number of pages: 41 Posted: 24 Aug 2023
Darrell Duffie, Lei Qiao and Yeneng Sun
Stanford University - Graduate School of Business, National University of Singapore (NUS) and National University of Singapore
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Independent dynamic random matching, Markov chain, exact law of large numbers, continuous-time, random mutation.

66.

The Exact Law of Large Numbers for Independent Random Matching

NBER Working Paper No. w17280
Number of pages: 43 Posted: 12 Aug 2011 Last Revised: 20 Mar 2023
Darrell Duffie and Yeneng Sun
Stanford University - Graduate School of Business and National University of Singapore (NUS)
Downloads 40 (699,275)
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67.

Dynamic Directed Random Matching

NBER Working Paper No. w21731
Number of pages: 76 Posted: 16 Nov 2015 Last Revised: 19 May 2023
Darrell Duffie, Lei Qiao and Yeneng Sun
Stanford University - Graduate School of Business, National University of Singapore (NUS) and National University of Singapore (NUS)
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68.

Bank Funding Risk, Reference Rates, and Credit Supply

NBER Working Paper No. w30907
Number of pages: 64 Posted: 06 Feb 2023 Last Revised: 14 Jun 2023
Harry Cooperman, Darrell Duffie, Stephan Luck, Zachry Wang and Yilin (David) Yang
Federal Reserve Banks - Federal Reserve Bank of New York, Stanford University - Graduate School of Business, Federal Reserve Bank of New York, Stanford Graduate School of Business and City University of Hong Kong (CityU) - Department of Economics & Finance
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69.

Redesigning Credit Derivatives to Better Cover Sovereign Default Risk

Rock Center for Corporate Governance at Stanford University Working Paper No. 118
Posted: 04 May 2012 Last Revised: 06 Jul 2012
Darrell Duffie and Mohit Thukral
Stanford University - Graduate School of Business and Stanford University

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credit default swap (CDS), CDS contract design, credit derivatives, sovereign default risk, legacy bond exchanges, financial markets

70.

Market Pricing of Deposit Insurance

Posted: 17 Feb 2004
Darrell Duffie, Robert A. Jarrow and Amiyatosh Purnanandam
Stanford University - Graduate School of Business, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Michigan, Stephen M. Ross School of Business

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Deposit insurance pricing, risk-neutral default probability, bank failure

71.

Liquidation Risk

Posted: 05 Jul 2003
Darrell Duffie and Alexandre Ziegler
Stanford University - Graduate School of Business and University of Zurich - Department of Banking and Finance

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Risk Measurement and Management: firm/enterprise risk

72.

Floating-Fixed Credit Spreads

Posted: 20 Aug 2001
Darrell Duffie and Jun Liu
Stanford University - Graduate School of Business and University of California, San Diego (UCSD) - Rady School of Management

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73.

Risk and Valuation of Collateralized Debt Obligations

Posted: 20 Apr 2001
Nicolae Garleanu and Darrell Duffie
University of California, Berkeley - Haas School of Business and Stanford University - Graduate School of Business

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74.

Swap Rates and Credit Quality

Posted: 14 Sep 1999
Darrell Duffie and Ming Huang
Stanford University - Graduate School of Business and Cornell University - Samuel Curtis Johnson Graduate School of Management

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75.

Modeling Term Structures of Defaultable Bond

Posted: 21 May 1999
Darrell Duffie and Kenneth J. Singleton
Stanford University - Graduate School of Business and Stanford University - Graduate School of Business

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76.

Corporate Incentives for Hedging and Hedge Accounting

REVIEW OF FINANCIAL STUDIES, Vol 8 No 3
Posted: 25 Aug 1998
Peter M. DeMarzo and Darrell Duffie
Stanford Graduate School of Business and Stanford University - Graduate School of Business

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77.

A Liquidity Based Model of Security Design

Posted: 25 Jul 1998
Peter M. DeMarzo and Darrell Duffie
Stanford Graduate School of Business and Stanford University - Graduate School of Business

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78.

Asset Pricing with Heterogeneous Consumers

J. OF POLITICAL ECONOMY, Vol. 104 No. 2, April 1996
Posted: 28 Jun 1998
George M. Constantinides and Darrell Duffie
University of Chicago - Booth School of Business and Stanford University - Graduate School of Business

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79.

An Econometric Model of the Term Structure of Interest-Rate Swap Yields

J. OF FINANCE, Vol. 52 No. 4, September 1997
Posted: 22 Oct 1997
Darrell Duffie and Kenneth J. Singleton
Stanford University - Graduate School of Business and Stanford University - Graduate School of Business

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80.

Special Repo Rates

J. OF FINANCE, Vol. 51 No. 2, June 1996
Posted: 06 Nov 1996
Darrell Duffie
Stanford University - Graduate School of Business

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Other Papers (1)

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1.

Funding Value Adjustments

Number of pages: 54 Posted: 03 Jul 2016
Leif B. G. Andersen, Darrell Duffie and Yang Song
Bank of America, Stanford University - Graduate School of Business and University of Washington - Michael G. Foster School of Business
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Funding value adjustment, swap XVAs, debit value adjustment, debt overhang