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

  • Stanford University - Graduate School of Business

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

72

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34,978

SSRN CITATIONS
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Top 137

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1,260

CROSSREF CITATIONS

3,217

Scholarly Papers (72)

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1.

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 3,128 (4,570)
Citation 104

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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 3,123 (4,579)
Citation 124

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

3.

Transform Analysis and Asset Pricing for Affine Jump-Diffusions

Downloads 2,114 ( 8,697)
Citation 489

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 1,947 (9,757)

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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 Jun 2021
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 167 (218,799)
Citation 54

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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 (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics, Cornell University, Stanford University - Graduate School of Business, Independent and Cornell University
Downloads 2,032 (9,286)
Citation 29

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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, 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 1,847 (10,842)
Citation 6

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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, 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 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 1,795 (11,358)
Citation 3

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7.

Funding Value Adjustments

Downloads 1,655 ( 12,933)
Citation 58

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 1,608 (13,266)
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: 15 Mar 2021
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 47 (489,956)
Citation 36

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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 1,615 (13,422)
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 1,335 ( 18,093)
Citation 15

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 1,055 (25,227)
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, 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 280 (133,863)
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 Failure Mechanics of Dealer Banks

Downloads 1,238 ( 20,220)
Citation 53

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 754 (40,438)
Citation 47

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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 484 (71,774)
Citation 12

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bank failure mechanics

11.

Size Discovery

Downloads 1,185 ( 21,629)
Citation 11

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 1,169 (21,675)

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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 2021
Darrell Duffie and Haoxiang Zhu
Stanford University - Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 16 (680,133)
Citation 7

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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, 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 Law School
Downloads 1,050 (25,792)
Citation 25

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

13.

Securities Lending, Shorting, and Pricing

Downloads 997 ( 27,800)

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 997 (27,377)
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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14.

Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

Downloads 886 ( 32,851)

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 886 (32,369)
Citation 20

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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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15.

Benchmarks in Search Markets

Downloads 802 ( 37,655)
Citation 40

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 727 (42,476)

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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 75 (388,001)
Citation 17

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16.

The Decline of Too Big to Fail

Number of pages: 82 Posted: 19 Dec 2019 Last Revised: 15 Mar 2021
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 800 (37,806)
Citation 11

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too big to fail, systemically important banks, government bailouts

17.

Multi-Period Corporate Default Prediction with Stochastic Covariates

Downloads 780 ( 39,129)
Citation 204

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 704 (44,359)
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: 10 Mar 2021
Darrell Duffie, Leandro Saita and Ke Wang
Stanford University - Graduate School of Business, Independent and Board of Governors of the Federal Reserve System
Downloads 76 (384,930)
Citation 23

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18.

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 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 720 (43,637)
Citation 1

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

19.

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 519 (66,455)

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20.

Common Failings: How Corporate Defaults are Correlated

Downloads 495 ( 70,554)
Citation 147

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 446 (79,277)
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 Mar 2021
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 49 (481,239)
Citation 19

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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 489 (71,597)
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
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 484 (72,495)
Citation 88

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correlated default, doubly stochastic, frailty, latent factor

23.

Central Clearing and Collateral Demand

Downloads 470 ( 75,167)
Citation 96

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 302 (123,580)
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 97 (330,889)
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 2021
Darrell Duffie, Martin Scheicher and Guillaume Vuillemey
Stanford University - Graduate School of Business, European Central Bank (ECB) and HEC Paris - Finance Department
Downloads 71 (400,225)
Citation 32

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24.

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 363 (101,593)

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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 344 (107,884)
Citation 10

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26.

Multi-Period Corporate Failure Prediction with Stochastic Covariates

Downloads 342 (108,598)
Citation 16

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 260 (144,569)
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 May 2021
Darrell Duffie and Ke Wang
Stanford University - Graduate School of Business and Board of Governors of the Federal Reserve System
Downloads 82 (368,044)

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27.

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 316 (118,352)
Citation 15

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Central clearing, derivatives, central counterparties, failure resolutions

28.

Corporate Credit Risk Premia

Downloads 312 (120,000)
Citation 15

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 257 (146,284)
Citation 3

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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: 28 Feb 2021
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 55 (456,822)
Citation 10

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29.

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 (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 292 (128,711)
Citation 4

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30.

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 283 (133,031)
Citation 13

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Benchmarks, LIBOR, manipulation, reference rate reform

31.

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 229 (164,225)
Citation 6

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32.

Market Fragmentation

Downloads 228 (164,934)
Citation 5

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 224 (167,325)
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 2021
Daniel Chen and Darrell Duffie
Graduate School of Business, Stanford University and Stanford University - Graduate School of Business
Downloads 4 (780,490)
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33.

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 196 (190,007)
Citation 7

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

34.

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 191 (194,488)
Citation 8

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search, matching, equilibrium, information, percolation

35.

Information Percolation in Segmented Markets

Downloads 175 (209,982)
Citation 40

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 141 (252,222)
Citation 44

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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 34 (555,028)

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36.

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 171 (214,258)
Citation 39

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37.

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 144 (247,244)
Citation 11

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

38.

Valuation in Over-the-Counter Markets

Downloads 144 (247,244)
Citation 10

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 73 (393,954)

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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
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 71 (400,225)
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
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

39.

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 140 (252,830)
Citation 3

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information percolation, search, learning rates

40.

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 139 (254,308)
Citation 2

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Digital currency, payment system, interoperability

41.

Valuation in Dynamic Bargaining Markets

Downloads 125 (275,658)
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
Downloads 87 (354,768)
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
Downloads 38 (533,316)
Citation 1

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42.

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 122 (280,732)

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43.

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 108 (305,800)
Citation 1

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44.

Valuation in Over-the-Counter Markets

Downloads 103 (315,851)
Citation 392

Valuation in Over-the-Counter Markets

NBER Working Paper No. w12020
Number of pages: 46 Posted: 27 Apr 2006 Last Revised: 07 May 2021
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
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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
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 83
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Search, bargaining, liquidity, risk, asset pricing

45.

Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

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Citation 104

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
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Citation 9

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46.

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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47.

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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48.

Affine Processes and Application in Finance

NBER Working Paper No. t0281
Number of pages: 61 Posted: 15 Sep 2002 Last Revised: 10 Apr 2021
Darrell Duffie, D. Filipovic and W. Schachermayer
Stanford University - Graduate School of Business, affiliation not provided to SSRN and University of Vienna
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Citation 18

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49.

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 96 (330,600)
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50.

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 Mar 2021
Darrell Duffie and Kenneth J. Singleton
Stanford University - Graduate School of Business and Stanford University - Graduate School of Business
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Citation 2

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51.

Over-the-Counter Markets

NBER Working Paper No. w10816
Number of pages: 49 Posted: 19 Oct 2004 Last Revised: 23 Jul 2021
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.

Augmenting Markets with Mechanisms

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Citation 1

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 2021
Samuel Antill and Darrell Duffie
Harvard Business School and Stanford University - Graduate School of Business
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53.

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
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Citation 2

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54.

Capital Mobility and Asset Pricing

NBER Working Paper No. w17296
Number of pages: 53 Posted: 12 Aug 2011 Last Revised: 05 Apr 2021
Darrell Duffie and Bruno H. Strulovici
Stanford University - Graduate School of Business and Northwestern University
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Citation 10

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55.

Large Portfolio Losses

NBER Working Paper No. w9177
Number of pages: 19 Posted: 15 Sep 2002 Last Revised: 29 Jan 2021
Darrell Duffie and Jean-Deominique Deuschel
Stanford University - Graduate School of Business and Technische Universität Berlin (TU Berlin)
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56.

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: 21 Mar 2021
Darrell Duffie and Yeneng Sun
Stanford University - Graduate School of Business and National University of Singapore (NUS)
Downloads 21 (621,230)
Citation 9

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57.

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 Stanford Graduate School of Business
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repo rates, reserves, Treasuries, payments, central bank balance sheet

58.

Dynamic Directed Random Matching

NBER Working Paper No. w21731
Number of pages: 76 Posted: 16 Nov 2015 Last Revised: 19 May 2021
Darrell Duffie, Lei Qiao and Yeneng Sun
Stanford University - Graduate School of Business, National University of Singapore (NUS) and National University of Singapore (NUS)
Downloads 8 (717,348)
Citation 1

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59.

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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Citation 4
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60.

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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61.

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

62.

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

63.

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

64.

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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65.

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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66.

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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67.

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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68.

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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69.

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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70.

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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71.

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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72.

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