Darrell Duffie
38 catalog papers. Identity-linked publications and additional name matches are distinguished below.
ORCID: 0000-0002-1212-7004
Publications
- The Decline of Too Big to Fail — American Economic Review 2025
- Bank Funding Risk, Reference Rates, and Credit Supply — The Journal of Finance 2025
- Reserves Were Not So Ample After All — The Quarterly Journal of Economics 2025
- Augmenting Markets with Mechanisms — The Review of Economic Studies 2021
- Market Fragmentation — American Economic Review 2021
- Robust benchmark design — Journal of Financial Economics 2021 (name-matched, not ORCID-linked)
- Funding Value Adjustments — The Journal of Finance 2019
- Corporate Credit Risk Premia — Review of Finance 2018
- Financial Regulatory Reform After the Crisis: An Assessment — Management Science 2018
- Size Discovery — The Review of Financial Studies 2017
- Benchmarks in Search Markets — The Journal of Finance 2017
- Preface to the Special Issue on Systemic Risk: Models and Mechanisms — Operations Research 2016
- Central clearing and collateral demand — Journal of Financial Economics 2015 (name-matched, not ORCID-linked)
- Capital Mobility and Asset Pricing — Econometrica 2012 (name-matched, not ORCID-linked)
- Presidential Address: Asset Price Dynamics with Slow-Moving Capital — The Journal of Finance 2010
- Frailty Correlated Default — The Journal of Finance 2009
- Information Percolation With Equilibrium Search Dynamics — Econometrica 2009
- Valuation in Over-the-Counter Markets — The Review of Financial Studies 2007
- Common Failings: How Corporate Defaults Are Correlated — The Journal of Finance 2007
- Multi-period corporate default prediction with stochastic covariates — Journal of Financial Economics 2007 (name-matched, not ORCID-linked)
- Information Percolation in Large Markets — American Economic Review 2007
- Systemic Illiquidity in the Federal Funds Market — American Economic Review 2007
- Over-the-Counter Markets — Econometrica 2005
- Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals — Econometrica 2004
- Modeling Sovereign Yield Spreads: A Case Study of Russian Debt — The Journal of Finance 2003
- Securities lending, shorting, and pricing — Journal of Financial Economics 2002 (name-matched, not ORCID-linked)
- Term Structures of Credit Spreads with Incomplete Accounting Information — Econometrica 2001
- Transform Analysis and Asset Pricing for Affine Jump-diffusions — Econometrica 2000
- Modeling Term Structures of Defaultable Bonds — The Review of Financial Studies 1999
- A Liquidity-based Model of Security Design — Econometrica 1999
- An Econometric Model of the Term Structure of Interest-Rate Swap Yields — The Journal of Finance 1997
- Special Repo Rates — The Journal of Finance 1996
- Asset Pricing with Heterogeneous Consumers — Journal of Political Economy 1996
- Swap Rates and Credit Quality — The Journal of Finance 1996
- Corporate Incentives for Hedging and Hedge Accounting — The Review of Financial Studies 1995
- Asset Pricing with Stochastic Differential Utility — The Review of Financial Studies 1992
- Optimal Innovation of Futures Contracts — The Review of Financial Studies 1989
- Theory of Valuation: Frontiers of Modern Financial Theory — The Review of Financial Studies 1989