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

SCHOLARLY PAPERS

69

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Rank 758

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Top 758

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32,442

SSRN CITATIONS
Rank 123

SSRN RANKINGS

Top 123

in Total Papers Citations

851

CROSSREF CITATIONS

3,409

Scholarly Papers (69)

1.

Does a Central Clearing Counterparty Reduce Counterparty Risk?

Rock Center for Corporate Governance at Stanford University Working Paper No. 46
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 3,093 (3,879)
Citation 81

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

2.

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 2,990 (4,100)
Citation 111

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

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 1,932 (8,420)

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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: 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

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4.

Measuring Default Risk Premia from Default Swap Rates and EDFs

BIS Working Paper No. 173
Number of pages: 56 Posted: 20 Sep 2007
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

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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

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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

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
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

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7.
Downloads 1,549 ( 12,187)
Citation 38

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

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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
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

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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

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

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

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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
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

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

10.
Downloads 1,166 ( 18,944)
Citation 8

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)

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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
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

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11.
Downloads 1,160 ( 19,092)
Citation 40

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

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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 455 (67,470)
Citation 13

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bank failure mechanics

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

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

Securities Lending, Shorting, and Pricing

Number of pages: 44 Posted: 04 Mar 2002
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

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Securities Lending, Shorting, and Pricing

Journal of Financial Economics, Forthcoming
Posted: 29 Mar 2002
Stanford University - Graduate School of Business, University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC

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Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

EFA 2001 Barcelona Meetings
Number of pages: 49 Posted: 11 Jul 2001
Stanford University - Graduate School of Business, AQR Capital Management, LLC and Stanford University - Graduate School of Business
Downloads 870 (28,591)
Citation 20

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Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

Journal of Finance, Vol. 58, pp. 119-159, 2003
Posted: 31 Aug 2003
Stanford University - Graduate School of Business, AQR Capital Management, LLC and Stanford University - Graduate School of Business

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15.
Downloads 780 ( 33,830)
Citation 32

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)

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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
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

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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

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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 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

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17.

Aligning Incentives at Systemically Important Financial Institutions

Columbia Business School Research Paper No. 13-18
Number of pages: 7 Posted: 28 Mar 2013
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

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

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
Stanford University - Graduate School of Business, Boston College - Department of Finance, PIMCO Europe Ltd. and Azimuth Alternative Assets Management LLLP
Downloads 514 (58,561)

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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

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too big to fail, systemically important banks, government bailouts

20.
Downloads 482 ( 63,459)
Citation 142

Common Failings: How Corporate Defaults are Correlated

Journal of Finance, Forthcoming
Number of pages: 36 Posted: 02 Jan 2006
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

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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 2010
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

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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

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

22.

Frailty Correlated Default

Swiss Finance Institute Research Paper No. 08-44
Number of pages: 53 Posted: 23 Dec 2008
Stanford University - Graduate School of Business, Stanford University - Department of Statistics, Independent and Stanford University
Downloads 476 (64,500)
Citation 82

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correlated default, doubly stochastic, frailty, latent factor

23.
Downloads 458 ( 67,586)
Citation 82

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
Stanford University - Graduate School of Business, European Central Bank (ECB) and HEC Paris - Finance Department
Downloads 294 (111,647)
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
Stanford University - Graduate School of Business, European Central Bank (ECB) and HEC Paris - Finance Department
Downloads 95 (298,596)
Citation 2

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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
Stanford University - Graduate School of Business, European Central Bank (ECB) and HEC Paris - Finance Department
Downloads 69 (362,571)
Citation 18

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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

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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: 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)

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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

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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

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Central clearing, derivatives, central counterparties, failure resolutions

27.
Downloads 268 (123,800)
Citation 11

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
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

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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
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

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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

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Benchmarks, LIBOR, manipulation, reference rate reform

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

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

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

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search, matching, equilibrium, information, percolation

31.
Downloads 169 (191,604)
Citation 34

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

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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
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)

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32.

Securities Lending, Shorting, and Pricing

NYU Working Paper No. FIN-01-023
Number of pages: 35 Posted: 03 Nov 2008
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

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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

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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

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information percolation, search, learning rates

35.
Downloads 133 (233,375)
Citation 10

Valuation in Over-the-Counter Markets

NYU Working Paper No. S-MF-04-04
Number of pages: 39 Posted: 12 Nov 2008
Stanford University - Graduate School of Business, affiliation not provided to SSRN and AQR Capital Management, LLC
Downloads 67 (368,585)

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Valuation in Over-the-Counter Markets

NYU Working Paper No. FIN-03-041
Number of pages: 46 Posted: 11 Nov 2008
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

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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
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

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

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Libor, interbank, transactions-based fixing, sampling window, shadow banking, financial intermediation

37.
Downloads 112 (265,099)
Citation 19

Valuation in Dynamic Bargaining Markets

NYU Working Paper No. S-MF-01-01
Number of pages: 45 Posted: 12 Nov 2008
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

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Valuation in Dynamic Bargaining Markets

NYU Working Paper No. FIN-01-022
Number of pages: 45 Posted: 03 Nov 2008
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

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38.

Over-the-Counter Markets

NYU Working Paper No. S-MF-04-05
Number of pages: 37 Posted: 12 Nov 2008
Stanford University - Graduate School of Business, affiliation not provided to SSRN and AQR Capital Management, LLC
Downloads 111 (266,763)

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39.
Downloads 97 (292,479)
Citation 364

Valuation in Over-the-Counter Markets

NBER Working Paper No. w12020
Number of pages: 46 Posted: 27 Apr 2006 Last Revised: 02 Jul 2009
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

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Valuation in Over-the-Counter Markets

CEPR Discussion Paper No. 5491
Number of pages: 48 Posted: 19 May 2006
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
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Search, bargaining, liquidity, risk, asset pricing

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)

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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
Stanford University - Graduate School of Business, AQR Capital Management, LLC and Stanford University - Graduate School of Business
Downloads 92 (302,512)

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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

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43.

Over-the-Counter Marketmaking

NYU Working Paper No. FIN-03-043
Number of pages: 35 Posted: 11 Nov 2008
Stanford University - Graduate School of Business, University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC
Downloads 91 (304,566)

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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
Stanford University - Graduate School of Business, AQR Capital Management, LLC and Stanford University - Graduate School of Business
Downloads 48 (433,783)

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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
Stanford University - Graduate School of Business, AQR Capital Management, LLC and Stanford University - Graduate School of Business
Downloads 43 (454,418)
Citation 9

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45.
Downloads 89 (308,848)
Citation 1

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

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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
Daniel Chen and Darrell Duffie
Graduate School of Business, Stanford University and Stanford University - Graduate School of Business
Downloads 3 (710,223)
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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

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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

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48.

Over-the-Counter Markets

NBER Working Paper No. w10816
Number of pages: 49 Posted: 19 Oct 2004 Last Revised: 23 Jul 2010
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

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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)

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50.
Downloads 47 (429,914)

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)

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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
Samuel Antill and Darrell Duffie
Stanford Graduate School of Business and Stanford University - Graduate School of Business
Downloads 12 (639,835)

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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

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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)

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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
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Digital currency, payment system, interoperability

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)
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Citation 6

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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
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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Citation 3
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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
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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Citation 1
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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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credit default swap (CDS), CDS contract design, credit derivatives, sovereign default risk, legacy bond exchanges, financial markets

59.

Market Pricing of Deposit Insurance

Journal of Financial Services Research, Vol. 24, No. 2-3, pp. 93-119
Posted: 17 Feb 2004
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

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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Risk Measurement and Management: firm/enterprise risk

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

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Other Papers (1)

Total Downloads: 17
1.

Funding Value Adjustments

Number of pages: 54 Posted: 03 Jul 2016
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
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Funding value adjustment, swap XVAs, debit value adjustment, debt overhang