Author Page for Darrell Duffie

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 1,932 (8,420)

Abstract:

Transform Analysis and Asset Pricing for Affine Jump-Diffusions

NBER Working Paper No. w7105

Number of pages: 45 Posted: 11 Jun 2000 Last Revised: 16 Apr 2008

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 148 (214,682)

Citation 38

Abstract:

4.

Measuring Default Risk Premia from Default Swap Rates and EDFs

BIS Working Paper No. 173

Number of pages: 56 Posted: 20 Sep 2007

Antje Berndt, Rohan Douglas, Darrell Duffie, Mark Ferguson and David Schranz

Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics, Cornell University, Stanford University - Graduate School of Business, Independent and Cornell University

Downloads 1,939 (8,526)

Citation 223

Abstract:

5.

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

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 1,834 (9,350)

Citation 5

Abstract:

6.

Reforming Money Market Funds

Tuck School of Business Working Paper No. 2011-86

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 Business School - Finance and Economics, 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 1,747 (10,104)

Citation 3

Abstract:

7.

Funding Value Adjustments

Downloads 1,549 ( 12,187)

Citation 38

2

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 Merrill Lynch, Stanford University - Graduate School of Business and University of Washington - Michael G. Foster School of Business

Downloads 1,526 (12,254)

Citation 6

Abstract:

Funding Value Adjustments

NBER Working Paper No. w23680

Number of pages: 71 Posted: 21 Aug 2017

Leif B. G. Andersen, Darrell Duffie and Yang Song

Bank of America Merrill Lynch, Stanford University - Graduate School of Business and University of Washington - Michael G. Foster School of Business

Downloads 23 (561,412)

Citation 17

Abstract:

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 1,542 (12,279)

Citation 74

Abstract:

9.

Policy Perspectives on OTC Derivatives Market Infrastructure

Downloads 1,253 ( 16,994)

Citation 15

2

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 977 (24,229)

Citation 11

Abstract:

Policy Perspectives on OTC Derivatives Market Infrastructure

MFI Working Paper No. 2010-002

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 276 (119,455)

Citation 17

Abstract:

10.

Size Discovery

Downloads 1,166 ( 18,944)

Citation 8

2

Size Discovery

Forthcoming, Review of Financial Studies

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 1,154 (18,888)

Abstract:

Size Discovery

NBER Working Paper No. w21696

Number of pages: 62 Posted: 09 Nov 2015

Darrell Duffie and Haoxiang Zhu

Stanford University - Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Downloads 12 (639,835)

Citation 4

Abstract:

11.

The Failure Mechanics of Dealer Banks

Downloads 1,160 ( 19,092)

Citation 40

2

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 705 (38,253)

Citation 36

Abstract:

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 455 (67,470)

Citation 13

Abstract:

12.

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

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 Law School

Downloads 1,005 (23,641)

Citation 21

Abstract:

13.

Securities Lending, Shorting, and Pricing

Downloads 944 ( 25,858)

2

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 944 (25,434)

Citation 11

Abstract:

Securities Lending, Shorting, and Pricing

Journal of Financial Economics, Forthcoming

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

Abstract:

14.

Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

Downloads 870 ( 29,029)

Citation 20

2

Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

EFA 2001 Barcelona Meetings

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 870 (28,591)

Citation 20

Abstract:

Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

Journal of Finance, Vol. 58, pp. 119-159, 2003

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

Abstract:

15.

Benchmarks in Search Markets

Downloads 780 ( 33,830)

Citation 32

2

Benchmarks in Search Markets

Journal of Finance, Forthcoming

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 707 (38,080)

Abstract:

Benchmarks in Search Markets

NBER Working Paper No. w20620

Number of pages: 62 Posted: 27 Oct 2014

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 73 (351,307)

Citation 11

Abstract:

16.

Multi-Period Corporate Default Prediction with Stochastic Covariates

Downloads 771 ( 34,363)

Citation 192

2

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 697 (38,856)

Citation 8

Abstract:

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 2010

Darrell Duffie, Leandro Saita and Ke Wang

Stanford University - Graduate School of Business, Independent and Board of Governors of the Federal Reserve System

Downloads 74 (348,609)

Citation 14

Abstract:

17.

Aligning Incentives at Systemically Important Financial Institutions

Columbia Business School Research Paper No. 13-18

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 Business School - Finance and Economics, 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 695 (39,593)

Citation 1

Abstract:

18.

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

AFA 2009 San Francisco Meetings Paper

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 514 (58,561)

Abstract:

19.

The Decline of Too Big to Fail

Number of pages: 52 Posted: 19 Dec 2019 Last Revised: 28 Apr 2020

Antje Berndt, Darrell Duffie and Yichao Zhu

Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics, Stanford University - Graduate School of Business and Australian National University (ANU), Research school of Finance, Actuarial Studies and Applied Statistics

Downloads 508 (59,417)

Citation 2

Abstract:

20.

Common Failings: How Corporate Defaults are Correlated

Downloads 482 ( 63,459)

Citation 142

2

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 438 (70,669)

Citation 1

Abstract:

Common Failings: How Corporate Defaults are Correlated

NBER Working Paper No. w11961

Number of pages: 29 Posted: 23 Jan 2006 Last Revised: 08 Sep 2010

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 44 (450,055)

Citation 14

Abstract:

21.

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 478 (64,143)

Citation 11

Abstract:

22.

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 476 (64,500)

Citation 82

Abstract:

23.

Central Clearing and Collateral Demand

Downloads 458 ( 67,586)

Citation 82

3

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 294 (111,647)

Citation 2

Abstract:

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 95 (298,596)

Citation 2

Abstract:

Central Clearing and Collateral Demand

NBER Working Paper No. w19890

Number of pages: 39 Posted: 11 Feb 2014

Darrell Duffie, Martin Scheicher and Guillaume Vuillemey

Stanford University - Graduate School of Business, European Central Bank (ECB) and HEC Paris - Finance Department

Downloads 69 (362,571)

Citation 18

Abstract:

24.

Multi-Period Corporate Failure Prediction with Stochastic Covariates

Downloads 333 ( 97,968)

Citation 16

2

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 255 (129,841)

Citation 3

Abstract:

Multi-Period Corporate Failure Prediction with Stochastic Covariates

NBER Working Paper No. w10743

Number of pages: 46 Posted: 23 Sep 2004 Last Revised: 24 Aug 2009

Darrell Duffie and Ke Wang

Stanford University - Graduate School of Business and Board of Governors of the Federal Reserve System

Downloads 78 (337,915)

Abstract:

25.

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 320 (102,474)

Citation 10

Abstract:

26.

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 287 (115,218)

Citation 10

Abstract:

27.

Corporate Credit Risk Premia

Downloads 268 (123,800)

Citation 11

2

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 (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics, Cornell University, Stanford University - Graduate School of Business and Independent

Downloads 229 (144,558)

Citation 2

Abstract:

Corporate Credit Risk Premia

NBER Working Paper No. w24213

Number of pages: 51 Posted: 22 Jan 2018

Antje Berndt, Rohan Douglas, Darrell Duffie and Mark Ferguson

Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics, Cornell University, Stanford University - Graduate School of Business and Independent

Downloads 39 (472,170)

Citation 6

Abstract:

28.

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 266 (124,784)

Citation 9

Abstract:

29.

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 188 (174,391)

Citation 5

Abstract:

30.

Information Percolation with Equilibrium Search Dynamics

Econometrica, Vol. 77, No. 5

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 185 (176,924)

Citation 3

Abstract:

31.

Information Percolation in Segmented Markets

Downloads 169 (191,604)

Citation 34

2

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 137 (228,525)

Citation 38

Abstract:

Information Percolation in Segmented Markets

NBER Working Paper No. w17295

Number of pages: 86 Posted: 12 Aug 2011

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 32 (506,577)

Abstract:

32.

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 163 (197,597)

Citation 26

Abstract:

33.

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 154 (207,263)

Citation 3

Abstract:

34.

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

Stanford University Graduate School of Business Research Paper No. 2023

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 133 (233,375)

Citation 2

Abstract:

35.

Valuation in Over-the-Counter Markets

Downloads 133 (233,375)

Citation 10

3

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 67 (368,585)

Abstract:

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 66 (371,528)

Citation 10

Abstract:

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

Abstract:

36.

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 New York

Downloads 132 (234,768)

Citation 9

Abstract:

37.

Valuation in Dynamic Bargaining Markets

Downloads 112 (265,099)

Citation 19

2

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

Downloads 78 (337,915)

Citation 1

Abstract:

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

Downloads 34 (496,122)

Citation 1

Abstract:

38.

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 111 (266,763)

Abstract:

39.

Valuation in Over-the-Counter Markets

Downloads 97 (292,479)

Citation 364

2

Valuation in Over-the-Counter Markets

NBER Working Paper No. w12020

Number of pages: 46 Posted: 27 Apr 2006 Last Revised: 02 Jul 2009

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 69 (362,571)

Citation 10

Abstract:

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

Downloads 28 (529,198)

Citation 65

Add to Cart

Abstract:

40.

Robust Benchmark Design

NBER Working Paper No. w20540

Number of pages: 56 Posted: 06 Oct 2014

Darrell Duffie and Piotr Dworczak

Stanford University - Graduate School of Business and Northwestern University - Department of Economics

Downloads 96 (294,441)

Abstract:

41.

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

Downloads 92 (302,512)

Abstract:

42.

Affine Processes and Application in Finance

NBER Working Paper No. t0281

Number of pages: 61 Posted: 15 Sep 2002

Darrell Duffie, D. Filipovic and W. Schachermayer

Stanford University - Graduate School of Business, affiliation not provided to SSRN and University of Vienna

Downloads 92 (302,512)

Citation 12

Abstract:

43.

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

Downloads 91 (304,566)

Abstract:

44.

Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

Downloads 91 (304,566)

Citation 103

2

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

Downloads 48 (433,783)

Abstract:

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 43 (454,418)

Citation 9

Abstract:

45.

Market Fragmentation

Downloads 89 (308,848)

Citation 1

2

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

Graduate School of Business, Stanford University and Stanford University - Graduate School of Business

Downloads 86 (318,293)

Citation 1

Abstract:

Market Fragmentation

NBER Working Paper No. w26828

Number of pages: 61 Posted: 09 Mar 2020

Daniel Chen and Darrell Duffie

Graduate School of Business, Stanford University and Stanford University - Graduate School of Business

Downloads 3 (710,223)

Add to Cart

Abstract:

46.

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 88 (311,106)

Citation 10

Abstract:

47.

Simulated Moments Estimation of Markov Models of Asset Prices

NBER Working Paper No. t0087

Number of pages: 43 Posted: 27 Jun 2007 Last Revised: 29 Sep 2010

Darrell Duffie and Kenneth J. Singleton

Stanford University - Graduate School of Business and Stanford University - Graduate School of Business

Downloads 84 (320,172)

Citation 13

Abstract:

48.

Over-the-Counter Markets

NBER Working Paper No. w10816

Number of pages: 49 Posted: 19 Oct 2004 Last Revised: 23 Jul 2010

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 82 (324,863)

Citation 8

Abstract:

49.

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: 29 Dec 2013

Darrell Duffie

Stanford University - Graduate School of Business

Downloads 68 (361,220)

Abstract:

50.

Augmenting Markets with Mechanisms

Downloads 47 (429,914)

2

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

Stanford Graduate School of Business and Stanford University - Graduate School of Business

Downloads 35 (491,082)

Abstract:

Augmenting Markets with Mechanisms

NBER Working Paper No. w24146

Number of pages: 116 Posted: 28 Dec 2017

Samuel Antill and Darrell Duffie

Stanford Graduate School of Business and Stanford University - Graduate School of Business

Downloads 12 (639,835)

Abstract:

51.

Capital Mobility and Asset Pricing

NBER Working Paper No. w17296

Number of pages: 53 Posted: 12 Aug 2011

Darrell Duffie and Bruno H. Strulovici

Stanford University - Graduate School of Business and Northwestern University

Downloads 40 (457,969)

Citation 6

Abstract:

52.

Large Portfolio Losses

NBER Working Paper No. w9177

Number of pages: 19 Posted: 15 Sep 2002 Last Revised: 29 Oct 2010

Darrell Duffie and Jean-Deominique Deuschel

Stanford University - Graduate School of Business and affiliation not provided to SSRN

Downloads 40 (457,969)

Abstract:

53.

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 23 (544,120)

Abstract:

54.

The Exact Law of Large Numbers for Independent Random Matching

NBER Working Paper No. w17280

Number of pages: 43 Posted: 12 Aug 2011

Darrell Duffie and Yeneng Sun

Stanford University - Graduate School of Business and National University of Singapore (NUS)

Downloads 20 (562,740)

Citation 6

Abstract:

55.

Dynamic Directed Random Matching

NBER Working Paper No. w21731

Number of pages: 76 Posted: 16 Nov 2015

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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56.

The Squam Lake Report: Fixing the Financial System

Journal of Applied Corporate Finance, Vol. 22, Issue 3, pp. 8-21, Summer 2010

Number of pages: 16 Posted: 04 Oct 2010

Kenneth R. French, Martin Neil Baily, John Y. Campbell, John H. Cochrane, Douglas W. Diamond, Darrell Duffie, Anil K. Kashyap, Frederic S. Mishkin, Raghuram G. Rajan, David S. Scharfstein, Robert J. Shiller, Hyun Song Shin, Matthew J. Slaughter, Jeremy C. Stein and René M. Stulz

Dartmouth College - Tuck School of Business, Institute for International Economics, Harvard University - Department of Economics, Hoover Institution, University of Chicago - Booth School of Business, Stanford University - Graduate School of Business, University of Chicago, Booth School of Business, Columbia Business School - Finance and Economics, University of Chicago - Booth School of Business, Harvard Business School - Finance Unit, Yale University - Cowles Foundation, Bank for International Settlements (BIS), Dartmouth College - Tuck School of Business, Harvard University - Department of Economics and Ohio State University (OSU) - Department of Finance

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57.

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: 23 Dec 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 Business School - Finance and Economics, 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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58.

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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59.

Market Pricing of Deposit Insurance

Journal of Financial Services Research, Vol. 24, No. 2-3, pp. 93-119

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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60.

Liquidation Risk

Financial Analysts Journal, Vol. 59, No. 3, May/June 2003

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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61.

Floating-Fixed Credit Spreads

Financial Analysts Journal, Vol. 57, No. 3, May/June 2001

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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62.

Risk and Valuation of Collateralized Debt Obligations

Financial Analysts Journal, Vol. 57, No. 1, January/February 2001

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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63.

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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64.

Modeling Term Structures of Defaultable Bond

Review of Financial Studies, Vol. 12, Issue 3

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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65.

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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66.

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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67.

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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68.

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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69.

Special Repo Rates

J. OF FINANCE, Vol. 51 No. 2, June 1996

Posted: 06 Nov 1996

Darrell Duffie

Stanford University - Graduate School of Business

Darrell Duffie

Stanford University - Graduate School of Business

Professor of Finance

National Bureau of Economic Research (NBER)

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Scholarly Papers (69)

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Valuation in Over-the-Counter Markets

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