Darrell Duffie

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Darrell Duffie is affiliated with the following schools: Stanford University, University of California, Santa Cruz

Darrell Duffie's AcademicInfluence.com Rankings

Darrell Duffie

Economics

#858

World Rank

#1019

Historical Rank

#447

USA Rank

Financial Economics

#12

World Rank

#12

Historical Rank

USA Rank

economics Degrees

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Economics

Darrell Duffie's Degrees

PhD Economics Stanford University
Masters Economics Stanford University
Bachelors Economics University of California, Santa Cruz

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Why Is Darrell Duffie Influential?

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According to Wikipedia, James Darrell Duffie is a Canadian financial economist and is Dean Witter Distinguished Professor of Finance at Stanford Graduate School of Business. He is the author of numerous research articles, and several books, including Futures Markets, Dynamic Asset Pricing Theory, and—with Kenneth Singleton—Credit Risk.

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Darrell Duffie's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

Dynamic Asset Pricing Theory (1992) (2845)
Modeling term structures of defaultable bonds (1999) (2559)
An Overview of Value at Risk (1997) (1405)
A YIELD-FACTOR MODEL OF INTEREST RATES (1996) (1348)
Asset Pricing with Heterogeneous Consumers (1996) (1139)
Affine Processes and Application in Finance (2002) (1066)
Over-the-Counter Markets (2004) (1054)
Stochastic differential utility (1992) (1029)
Simulated Moments Estimation of Markov Models of Asset Prices (1990) (978)
An Econometric Model of the Term Structure of Interest-Rate Swap Yields (1997) (897)
Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models (2007) (785)
Multi-Period Corporate Failure Prediction with Stochastic Covariates (2003) (752)
Corporate Incentives for Hedging and Hedge Accounting (1995) (744)
A liquidity-based model of security design (1999) (712)
Credit Swap Valuation (1999) (708)
Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010) (642)
Risk and Valuation of Collateralized Debt Obligations (2001) (640)
Common Failings: How Corporate Defaults are Correlated (2006) (619)
Bank Lines of Credit in Corporate Finance: An Empirical Analysis (2006) (614)
Securities Lending, Shorting, and Pricing (2001) (610)
Term Structures of Credit Spreads with Incomplete Accounting Information (2001) (606)
Valuation in Over-the-Counter Markets (2003) (601)
Does a Central Clearing Counterparty Reduce Counterparty Risk? (2011) (552)
Frailty Correlated Default (2006) (548)
Multi-Period Corporate Default Prediction with Stochastic Covariates (2005) (526)
Special Repo Rates (1996) (477)
Swap Rates and Credit Quality (1996) (470)
Measuring Default Risk Premia from Default Swap Rates and EDFs (2007) (453)
Asset Pricing with Stochastic Differential Utility (1992) (451)
Implementing Arrow-Debreu equilbria by continuous trading of a few long-lived securities (1985) (443)
Mean-variance hedging in continuous time (1991) (441)
Modeling Sovereign Yield Spreads: A Case Study of Russian Debt (2001) (430)
Credit Risk: Pricing, Measurement, and Management (2003) (349)
Security markets : stochastic models (1989) (326)
Equilibrium in incomplete markets: I : A basic model of generic existence (1985) (312)
Innovations in Credit Risk Transfer: Implications for Financial Stability (2008) (297)
Financial Market Innovation and Security Design: An Introduction (1995) (285)
Stationary Markov Equilibria (1994) (276)
Recursive valuation of defaultable securities and the timing of resolution of uncertainty (1996) (271)
Continuous-time security pricing: A utility gradient approach (1994) (267)
Corporate financial hedging with proprietary information (1991) (248)
Hedging in incomplete markets with HARA utility (1997) (230)
Central Clearing and Collateral Demand (2014) (220)
The Failure Mechanics of Dealer Banks (2009) (217)
The Consumption-Based Capital Asset Pricing Model (1989) (210)
Efficient Monte Carlo Simulation of Security Prices (1995) (186)
Asset Price Dynamics with Slow-Moving Capital (2010) (175)
Information Percolation with Equilibrium Search Dynamics (2008) (170)
Systemic Illiquidity in the Federal Funds Market (2007) (168)
Transactions costs and portfolio choice in a discrete-continuous-time setting (1990) (164)
Analytical value-at-risk with jumps and credit risk (2001) (164)
Dark Markets: Asset Pricing and Information Transmission in Over-The-Counter Markets (2011) (156)
Credit risk modeling with affine processes (2007) (151)
Information Percolation in Large Markets (2007) (150)
Market Making Under the Proposed Volcker Rule (2012) (147)
How Big Banks Fail and What to Do about It (2010) (143)
Equilibrium in incomplete markets: II : Generic existence in stochastic economies (1986) (133)
Benchmarks in Search Markets (2014) (131)
Optimal Innovation of Futures Contracts (1989) (127)
Stochastic Equilibria: Existence, Spanning Number, and the 'No Expected Financial Gain from Trade' Hypothesis (1986) (126)
Existence of independent random matching (2007) (123)
Capital Mobility and Asset Pricing (2011) (122)
FROM DISCRETE- TO CONTINUOUS-TIME FINANCE: WEAK CONVERGENCE OF THE FINANCIAL GAIN PROCESS' (1992) (120)
Stochastic equilibria with incomplete financial markets (1987) (114)
Financial Regulatory Reform After the Crisis: An Assessment (2017) (108)
Reforming LIBOR and Other Financial-Market Benchmarks (2014) (108)
Defaultable Term Structure Models with Fractional Recovery of Par (1998) (107)
Measuring and marking counterparty risk (2003) (102)
Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals (2004) (102)
Policy Perspectives on OTC Derivatives Market Infrastructure (2010) (99)
Volatility in energy prices (1999) (99)
Funding Value Adjustments (2017) (96)
Floating–Fixed Credit Spreads (2001) (92)
Large portfolio losses (2002) (85)
Key Mechanics of the U.S. Tri-Party Repo Market (2012) (81)
Arrow and General Equilibrium Theory (1989) (81)
Information Percolation (2008) (78)
Systemic Risk Exposures: a 10-by-10-by-10 Approach (2011) (78)
Optimal Investment With Undiversifiable Income Risk (1993) (77)
Information Percolation in Segmented Markets (2011) (75)
Optimal hedging and equilibrium in a dynamic futures market (1990) (73)
PDE solutions of stochastic differential utility (1992) (73)
Pricing continuously resettled contingent claims (1992) (72)
Pass-Through Efficiency in the Fed’s New Monetary Policy Setting (2017) (67)
Market Pricing of Deposit Insurance (2003) (66)
A Dialogue on the Costs and Benefits of Automatic Stays for Derivatives and Repurchase Agreements (2012) (65)
The Squam Lake Report (2010) (65)
Black's Consol Rate Conjecture (1995) (64)
Multi-factor term structure models (1994) (61)
Efficient and equilibrium allocations with stochastic differential utility (1994) (55)
Corporate Credit Risk Premia (2017) (54)
Resolution of Failing Central Counterparties (2014) (49)
EQUILIBRIUM AND THE ROLE OF THE FIRM IN INCOMPLETE MARKETS (1986) (49)
Funding Value Adjustments: Funding Value Adjustments (2019) (49)
Prone to Fail: The Pre-Crisis Financial System (2018) (46)
other authors (1989) (46)
An extension of the Black-Scholes model of security valuation (1988) (44)
A Contractual Approach to Restructuring Financial Institutions (2010) (42)
Theory of Valuation: Frontiers of Modern Financial Theory (1989) (42)
Federal Reserve Bank of New York Staff Reports Policy Perspectives on OTC Derivatives Market Infrastructure Staff Report No. 424 (2010) (41)
Size Discovery (2015) (40)
Post-Crisis Bank Regulations and Financial Market Liquidity (2018) (35)
Liquidation Risk (2003) (35)
A term structure model with preferences for the timing of resolution of uncertainty (1997) (35)
Robust Benchmark Design (2014) (30)
Measuring Corporate Default Risk (2011) (30)
The theory of value in security markets (1991) (28)
The Decline of Too Big to Fail (2020) (27)
Banque de France Financial Stability Review Special Report on Over-the-Counter Derivatives Is There a Case for Banning Short Speculation in Sovereign Bond Markets? (2010) (26)
Replumbing Our Financial System: Uneven Progress (2013) (24)
The nature of incomplete security markets (1993) (24)
Competitive equilibria in general choice spaces (1986) (23)
Reserves Were Not So Ample After All (2021) (23)
Money in general equilibrium theory (1990) (22)
Augmenting Markets with Mechanisms (2017) (22)
Multiperiod Securities Markets, With Differential Information: Martingales and Resolution Times (2015) (22)
A Sampling-Window Approach to Transactions-Based Libor Fixing (2013) (21)
Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs (2014) (20)
Reforming Money Market Funds (2011) (20)
The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation (2010) (20)
Systemic Dynamics in the Federal Funds Market (2006) (19)
Black, Merton and Scholes — Their Central Contributions to Economics (1998) (17)
The New Palgrave: Finance: A book review (1990) (17)
Valuation in Dynamic Bargaining Markets (2001) (17)
State-Space Models of the Term Structure of Interest Rates (1996) (15)
Dynamic Directed Random Matching (2015) (13)
Stochastic Differential Utility, Appendix C: The Infinite-Horizon Case (1992) (13)
Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group (2013) (12)
How should we regulate derivatives markets (2009) (11)
On the Clearing of Foreign Exchange Derivatives (2011) (11)
Passthrough Efficiency in the Fed ’ s New Monetary Policy Setting ? ( Preliminary ) (2016) (11)
Intertemporal asset pricing theory (2003) (10)
Across-the-Curve Credit Spread Indices (2020) (10)
Competing for a Share of Global Derivatives Markets: Trends and Policy Choices for the United States (2008) (10)
Universal state prices and asymmetric information (2002) (9)
Drawing Boundaries Around and Through the Banking System (2012) (9)
Compression Auctions With an Application to LIBOR-SOFR Swap Conversion (2018) (9)
Aligning Incentives at Systemically Important Financial Institutions (2013) (8)
Continuous Time Random Matching∗ (2017) (8)
Reprint of: Information percolation in segmented markets (2015) (7)
Policy Issues in the Design of Tri-Party Repo Markets (2011) (7)
Explaining the U.S. tri-party repo market (2012) (7)
Intertemporal Arbitrage and the Markov Valuation of Securities * (2005) (7)
Chapter 6. Regulation of Executive Compensation in Financial Services (2010) (6)
Digital Currencies and Stablecoins: Risks, Opportunities and Challenges Ahead (2020) (6)
Predictable representation of martingale spaces and changes of probability measure (1985) (6)
Financial Market Infrastructure: Too Important to Fail (2014) (6)
Redesigning Credit Derivatives to Better Cover Sovereign Default Risk (2012) (6)
Trading Activity and Price Transparency in the Inflation Swap Market (2013) (6)
Chapter 9. Credit Default Swaps, Clearinghouses, and Exchanges (2010) (6)
Interoperable Payment Systems and the Role of Central Bank Digital Currencies (2020) (6)
Chapter 7. An Expedited Mechanism to Recapitalize Distressed Financial Firms: Regulatory Hybrid Securities (2010) (5)
Credit risk modeling with affine processes q (2005) (5)
Notes on LIBOR Conversion (2018) (5)
A Short Course on Credit Risk Modeling with Affine Processes (2002) (5)
Incomplete security markets with infinitely many states: An introduction (1996) (5)
Working Paper No . 2005-14 Asset Salability and Debt Maturity : Evidence from 19 th Century American Railroads (2005) (4)
Policy Issues Facing the Market for Credit Derivatives (2009) (4)
Over the Counter Search Frictions: A Case Study of the Federal Funds Market (2007) (4)
Chapter 3. A New Information Infrastructure for Financial Markets (2010) (4)
Price Operators : Extensions , Potentials , and the Markov Valuation of Securities (2005) (4)
Financial Product Differentiation and Fee Competition in the Mutual Fund Industry (2005) (3)
Diffusion Approximation in Arrow's Model of Exhaustable Resources. (1986) (3)
Martingales, Arbitrage, and Portfolio Choice (1994) (3)
Research articles A term structure model with preferences for the timing of resolution of uncertainty (1997) (3)
The Society for Financial Studies Corporate Incentives for Hedging and Hedge Accounting (2007) (3)
Swap Rates and Credit Quality Supplementary Results (1995) (2)
Central Bank Digital Currency: Principles for Technical Implementation (2021) (2)
Does Option Market Volume Signal Bad News (2010) (2)
A utility gradient approach (1994) (2)
Nikunj Kapadia Risk-Based Capital Standards , Deposit Insurance and Procyclicality Risk-Based Capital Standards , Deposit Insurance and Procyclicality FDIC Center for Financial Research Working Paper No (2005) (2)
Preliminary and Incomplete Version (2006) (2)
Over-the-Counter Marketmaking (2003) (2)
Policy Perspectives on OTC Derivatives Market Infrastructure OTC Derivatives Market Infrastructure (2010) (2)
Chapter 2. A Systemic Regulator for Financial Markets (2010) (2)
Preface to the Special Issue on Systemic Risk: Models and Mechanisms (2016) (2)
Measuring Default Risk Premia : 2001 – 2010 ∗ (2011) (2)
Chapter 10. Prime Brokers, Derivatives Dealers, and Runs (2010) (1)
The Decline of Too Big to Fail Preliminary version (2020) (1)
The Decline of Too Big to Fail EXTREMELY PRELIMINARY DRAFT (2018) (1)
Frailty Correlated Default Preliminary and Incomplete Version (2006) (1)
On Viable Diffusion Price Processes of the Market Portfolio (2016) (1)
Supplement to Capital Mobility and Asset Pricing Additional Appendices (2012) (1)
Book Review: Stochastic calculus for finance (2008) (1)
New findings of functional anova with applications to computational finance and statistics (2005) (1)
Liquidation Risk the Model (2003) (1)
Empirical Evidence of Frailty (2011) (0)
Strategic Uncertainty in Financial Markets: Evidence from a Consensus Pricing Service (2020) (0)
The Decline of Too Big to Fail NO DISTRIBUTION—FOR CICF REVIEWERS ONLY (2019) (0)
quantified in a simple model in terms of maturity, credit quality, yield volatility, yield-spread volatility, correlation between changes in yield spreads and default-free yields, and other determining variables. We show (2016) (0)
Information Percolation with Equilibrium Search Dynamics ∗ Forthcoming : Econometrica (2009) (0)
Augmenting Markets with Mechanisms PRELIMINARY DRAFT (2017) (0)
Frailty‐Induced Correlation* (2011) (0)
The Information Value of Bond Ratings By (1999) (0)
The Society for Financial Studies Asset Pricing with Stochastic Differential Utility (2007) (0)
Das Swiss Finance Institute versammelt Risikoexperten am «2nd Annual Meeting» (2007) (0)
.1. a Brief Zoology of Risks (0)
Online Appendix of “Benchmarks in Search Markets” (2016) (0)
APPENDIX. Central Clearing of Derivatives (2010) (0)
Efficiency of linear estimators under heavy-tailedness: convolutions of [alpha]-symmetric distributions. (2006) (0)
A pr 2 00 4 PSEUDO-DIFFUSIONS AND QUADRATIC TERM STRUCTURE MODELS (2004) (0)
Meeting of the Resolution Project with Attendees from the Financial Deposit Insurance Corporation Hoover Institution, Washington, DC (2013) (0)
CONTINUOUS-TIME RANDOM MATCHING 1 (2019) (0)
Market Fragmentation (2020) (0)
The Default Intensities of Public Corporations (2011) (0)
Dynamic Asset Pricing Theory (Provisional Manuscript) (1999) (0)
Information Percolation with Equilibrium Search Dynamics Preliminary Version (2008) (0)
Chapter 4. A Simple OTC Pricing Model (2012) (0)
AFA/ASE Panel: Implications of the Credit Crisis for the Regulation of Non-Bank Financial Firms (2008) (0)
Liquidity Premia in Dynamic Bargaining Markets (2004) (0)
Chapter 4. Regulation of Retirement Savings (2010) (0)
Discussion: Asset Prices and Intergenerational Risk Sharing: The Role of Idiosyncratic Earnings Shocks (2008) (0)
Appendix A. Foundations for Random Matching (2012) (0)
Chapter 5 Information Percolation in OTC Markets (2012) (0)
Margin Requirements and the Security Market Line Petri Jylhä (2017) (0)
FDIC Center for Financial Research Working Paper Common Failings : How Corporate Defaults are Correlated (2004) (0)
Chapter 8. Improving Resolution Options for Systemically Important Financial Institutions (2010) (0)
2002 Cattedra Galileana Lectures Credit Risk Modeling with Affine Processes (2004) (0)
Asset Pricing in Incomplete Markets (2018) (0)
CHAPTER FIVE. Improving Regulations and Market Infrastructure (2010) (0)
Implied Recovery 2 Implied Recovery (2008) (0)
Chapter 5. Reforming Capital Requirements (2010) (0)
Appendix B. Counting Processes (2012) (0)
ASSET PRIClNG IN INCOMPLETE MARKETS* (2018) (0)
Across-the-Curve Credit Spread Indices PRELIMINARY (2020) (0)
Chapter 11 Intertemporal asset pricing theory (2003) (0)
Results for Information Percolation in Segmented Markets (2014) (0)
Value Adjustments (2017) (0)
Comment on "Risk Topography" (2011) (0)
Mean-variance in continuous time (1989) (0)
PIMS Lectures Over the Counter Markets Lecture 2: Search and Bargaining Preliminary Draft (2014) (0)
Appendix of “ Benchmarks in Search Markets ” (2016) (0)
Robust Benchmark Design Online Appendix (2020) (0)
CHAPTER FOUR. Recapitalizing a Weak Bank (2010) (0)
6. Asset Pricing in Incomplete Markets (1993) (0)
Chapter 1. Over-the- Counter Markets (2012) (0)
THIS PAPER POSES a problem for an economy whose primitives are a set of agents with preferences for, and endowments of, random streams (stochastic processes) of consumption goods: How does the manner in which agents receive new (1986) (0)
Proposed Running Head : Incomplete Markets Equilibria (2013) (0)
CHAPTER THREE. Failure Mechanisms (2010) (0)
Report on Ã¢â‚¬Å“The Committee on Yen Risk-free-rate Model EstimationÃ¢â‚¬Â (2007) (0)
Stochastic Differential Utility Appendix C with Costis Skiadas1 (2007) (0)
Chapter 2. The Case of Federal Funds Lending (2012) (0)
Chapter 3. Search for Counterparties (2012) (0)
CHAPTER TWO. What Is a Dealer Bank (2010) (0)
Objectives and Scope (2011) (0)
Systems economics for industry functional modeling. Second annual technical report (1982) (0)
Chapter 11. Conclusions (2010) (0)
Asset Allocation in Bankruptcy by Shai Bernstein Stanford University (2016) (0)
Comment (2012) (0)
How to Estimate Default Intensity Processes (2011) (0)
The value function of the stochastic control problem is a smooth solution of the associated (2003) (0)

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