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

Darrell Duffie

NBER Working Paper No. 17281
Issued in August 2011

---- Acknowledgments ----

I am grateful for comments from Viral Acharya, Lewis Alexander, Niki Anderson, Peter Axilrod, Dick Berner, Markus Brunnermeier, Stacey Coleman, Rob Engle, Mike Fishman, Mark Flood, John Gidman, Tobi Guldimann, Anil Kashyap, John Khambu, Arvind Krishnamurthy, Joe Langsam, Clinton Lively, Stephen O'Connor, Mike Piwowar, Hélène Rey, and Chester Spatt, none of whom necessarily agree with any of the views expressed here. In June 2007, I provided a preliminary version of this approach to the Financial Advisory Roundtable of the Federal Reserve Bank of New York. This note was prepared for a meeting on October 17, 2010, of the Systemic Risk Measurement Initiative of the National Bureau of Economic Research, of which I am a research associate. This approach has been presented to a number of regulators in Europe and the United States, whose comments have been extremely helpful. I am especially grateful to the editors, Markus Brunnermeier and Arvind Krishnamurthy. The views expressed herein are those of the author and do not necessarily reflect the views of the National Bureau of Economic Research.

---- Disclosure of Financial Relationships for Darrell Duffie ----

Current Editorial Board Service

Econometrica, 1990 to present.

Review of Finance, 1995 to present.

Journal of Computational Finance, 1997 to present.

Advances in Mathematical Economics, 1998 to present.

Journal of Financial Economics, 2001 to present.

Mathematics and Financial Economics, 2007 to present.

AEJ: Microeconomics, 2007 to present.

International Journal of Central Banking, 2009 to present.

Stochastic Systems, 2009 to present.

Review of Asset Pricing Studies, 2010 to present.

Other Current Professional Positions

American Academy of Arts and Sciences, Fellow.

Econometric Society, Fellow and Member of Council.

National Bureau of Economic Research, Research Associate.

NCCR FinRisk, International Scientific Council, Switzerland.

American Finance Association, Board of Directors.

Chicago Mercantile Exchange-Mathematical Sciences Research Institute, Prize Committee.

Federal Reserve Bank of New York, Financial Advisory Roundtable.

Financial Economists Roundtable.

Pacific Institute of Mathematical Sciences, Board of Directors.

Working Group on Global Markets, Stanford University.

Squam Lake Group, Member.

Stanford Institute of Economic Policy Research (SIEPR), Senior Fellow.

Society of Financial Econometrics (SoFiE), Council.

Hausdorff Research Institute for Mathematics, University of Bonn, Stochastic Dynamics in Economics and Finance, Advisory Board.

Swiss Finance Institute, Scientific Council.

Current Business Activities

Lehman Estate (New York), Consulting and Expert Witness.

Matterhorn Investment Management (hedge fund), Consultation.

Kepos Capital (hedge fund), Academic Advisory Board.

Cantor Fitzgerald (interdealer brokerage), Expert Witness.

Moody's Corporation, Board of Directors.

return to bibliography page

NBER Videos

National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email:

Contact Us