Darrell Duffie

Transform Analysis and Asset Pricing for Affine Jump-Diffusions

Year: 1999
Journal: Econometrica
Authors: Darrell Duffie; Jun Pan; Kenneth Singleton

Large Portfolio Losses

Year: 2002
Journal: Finance and Stochastics
Authors: Amir Dembo; Jean-Dominique Deuschel; Darrell Duffie

Over-the-Counter Markets

Year: 2004
Journal: Econometrica
Authors: Darrell Duffie; Nicolae Garleanu; Lasse Heje Pedersen

Multiperiod Corporate Failure Prediction with Stochastic Covariates

Year: 2004
Journal: Journal of Financial Economics
Authors: Darrell Duffie; Ke Wang

Common Failings: How Corporate Defaults Are Correlated

Year: 2006
Journal: Journal of Finance
Authors: Sanjiv Das; Darrell Duffie; Nikunj Kapadia; Leandro Saita

Multiperiod Corporate Default Prediction with Stochastic Covariates

Year: 2006
Journal: Journal of Financial Economics
Authors: Darrell Duffie; Ke Wang; Leandro Saita

Valuation in Over-the-Counter Markets

Year: 2006
Journal: Review of Financial Studies
Authors: Darrell Duffie; Nicolae Garleanu; Lasse Heje Pedersen

Valuation in Over-the-Counter Markets

Year: 2006
Journal: Review of Financial Studies
Authors: Darrell Duffie; Nicolae B. Grleanu; Lasse Heje Pedersen

The Exact Law of Large Numbers for Independent Random Matching

Year: 2011
Journal: Journal of Economic Theory
Authors: Darrell Duffie; Yeneng Sun

Systemic Risk Exposures: A 10by10by10 Approach

Year: 2011
Journal: No Journal Matched
Authors: Darrell Duffie

Information Percolation in Segmented Markets

Year: 2011
Journal: Journal of Economic Theory
Authors: Darrell Duffie; Semyon Malamud; Gustavo Manso

Capital Mobility and Asset Pricing

Year: 2011
Journal: Econometrica
Authors: Darrell Duffie; Bruno Strulovici

Central Clearing and Collateral Demand

Year: 2014
Journal: Journal of Financial Economics
Authors: Darrell Duffie; Martin Scheicher; Guillaume Vuillemey

Robust Benchmark Design

Year: 2014
Journal: Journal of Financial Economics
Authors: Darrell Duffie; Piotr Dworczak

Benchmarks in Search Markets

Year: 2014
Journal: Journal of Finance
Authors: Darrell Duffie; Piotr Dworczak; Haoxiang Zhu

Dynamic Directed Random Matching

Year: 2015
Journal: Journal of Economic Theory
Authors: Darrell Duffie; Lei Qiao; Yeneng Sun

Size Discovery

Year: 2015
Journal: Review of Financial Studies
Authors: Darrell Duffie; Haoxiang Zhu

Funding Value Adjustments

Year: 2017
Journal: Journal of Finance
Authors: Leif Andersen; Darrell Duffie; Yang Song

Augmenting Markets with Mechanisms

Year: 2017
Journal: Review of Economic Studies
Authors: Samuel Antill; Darrell Duffie

Corporate Credit Risk Premia

Year: 2018
Journal: Review of Finance
Authors: Antje Berndt; Rohan Douglas; Darrell Duffie; Mark Ferguson

Market Fragmentation

Year: 2020
Journal: American Economic Review
Authors: Daniel Chen; Darrell Duffie

Reserves Were Not So Ample After All

Year: 2021
Journal: No Journal Matched
Authors: Adam Copeland; Darrell Duffie; Yilin Yang

How Abundant are Reserves? Evidence from the Wholesale Payment System

Year: 2022
Journal: No Journal Matched
Authors: Gara Afonso; Darrell Duffie; Lorenzo Rigon; Hyun Song Shin

Bank Funding Risk, Reference Rates, and Credit Supply

Year: 2023
Journal: No Journal Matched
Authors: Harry R. Cooperman; Darrell Duffie; Stephan Luck; Zachry Z. Wang; Yilin Yang