Darrell Duffie

Graduate School of Business
Stanford University
Stanford, CA 94305-7298
Tel: 650/723-1976
Fax: 650/725-7979

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
NBER Program Affiliations: AP
NBER Affiliation: Research Associate

NBER Working Papers and Publications

August 2017Funding Value Adjustments
with Leif Andersen, Yang Song: w23680
November 2015Dynamic Directed Random Matching
with Lei Qiao, Yeneng Sun: w21731
Size Discovery
with Haoxiang Zhu: w21696
October 2014Benchmarks in Search Markets
with Piotr Dworczak, Haoxiang Zhu: w20620
Robust Benchmark Design
with Piotr Dworczak: w20540
February 2014Central Clearing and Collateral Demand
with Martin Scheicher, Guillaume Vuillemey: w19890

Published: Duffie, Darrell & Scheicher, Martin & Vuillemey, Guillaume, 2015. "Central clearing and collateral demand," Journal of Financial Economics, Elsevier, vol. 116(2), pages 237-256. citation courtesy of

May 2013Systemic Risk Exposures: A 10-by-10-by-10 Approach
in Risk Topography: Systemic Risk and Macro Modeling, Markus Brunnermeier and Arvind Krishnamurthy, editors
August 2011Information Percolation in Segmented Markets
with Semyon Malamud, Gustavo Manso: w17295

"Information Percolation in Segmented Markets" (with Semyon Malamud and Gustavo Manso), Graduate School of Business, Stanford University, forthcoming, Journal of Economic Theory, 2014, Technical Appendices (published online only). citation courtesy of

Capital Mobility and Asset Pricing
with Bruno Strulovici: w17296

Published: Darrell Duffie & Bruno Strulovici, 2012. "Capital Mobility and Asset Pricing," Econometrica, Econometric Society, vol. 80(6), pages 2469-2509, November. citation courtesy of

The Exact Law of Large Numbers for Independent Random Matching
with Yeneng Sun: w17280

Published: Duffie, Darrell & Sun, Yeneng, 2012. "The exact law of large numbers for independent random matching," Journal of Economic Theory, Elsevier, vol. 147(3), pages 1105-1139. citation courtesy of

Systemic Risk Exposures: A 10-by-10-by-10 Approach

Published: Systemic Risk Exposures: A 10-by-10-by-10 Approach, Darrell Duffie. in Risk Topography: Systemic Risk and Macro Modeling, Brunnermeier and Krishnamurthy. 2014

June 2011Comment on "Risk Topography"
in NBER Macroeconomics Annual 2011, Volume 26, Daron Acemoglu and Michael Woodford, editors
February 2006Valuation in Over-the-Counter Markets
with Nicolae Garleanu, Lasse Heje Pedersen: w12020

Published: Duffie, Darrell, Nicolae Garleanu, and Lasse Heje Pedersen. "Valuation in Over-the-Counter Markets." Review of Financial Studies 20, 5 (2007): 1865-1900. citation courtesy of

January 2006Common Failings: How Corporate Defaults are Correlated
with Sanjiv Das, Nikunj Kapadia, Leandro Saita: w11961

Published: Das, Sanjiv R., Darrell Duffie, Nikunj Kapadia, and Leandro Saita. "Common Failings: How Corporate Defoults are Correlated." Journal of Finance 62, 1 (February 2007): 93-117. citation courtesy of

Multi-Period Corporate Default Prediction With Stochastic Covariates
with Leandro Siata, Ke Wang: w11962

Published: Duffie, Darrell, Leandro Saita and Ke Wang. "Multi-Period Corporate Default Prediction with Stochastic Covariates." Journal of Financial Economics 83 (2007): 635-665. citation courtesy of

October 2004Over-the-Counter Markets
with Nicolae Garleanu, Lasse Heje Pedersen: w10816

Published: Duffie, Darrell, Nicolae Garleanu and Lasse Heje Pedersen. "Over-the-Counter Markets," Econometrica, 2005, v73(6,Nov), 1815-1848. citation courtesy of

September 2004Multi-Period Corporate Failure Prediction with Stochastic Covariates
with Ke Wang: w10743

Published: Duffie, Darrell, Leandro Saita and Ke Wang. "Multi-Period Corporate Default Prediction with Stochastic Covariates,." Journal of Financial Economics 83 (2007): 635-665.

September 2002Affine Processes and Application in Finance
with D. Filipovic, W. Schachermayer: t0281
Large Portfolio Losses
with Amir Dembo, Jean-Deominique Deuschel: w9177

Published: Dembo, Amir, Jean-Dominique Deuschel and Darrell Duffie. "Large Portfolio Losses," Finance and Stochastics, 2004, v8(1), 3-16. citation courtesy of

April 1999Transform Analysis and Asset Pricing for Affine Jump-Diffusions
with Jun Pan, Kenneth Singleton: w7105

Published: Duffie, Darrell, Jun Pan and Kenneth Singleton. "Transform Analysis And Asset Pricing For Affine Jump-Diffusions," Econometrica, 2000, v68(6,Nov), 1343-1376. citation courtesy of

March 1990Simulated Moments Estimation of Markov Models of Asset Prices
with Kenneth J. Singleton: t0087

Published: econometrica, vol. 61, no. 4. july 1993, 929-952.

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