Robust Benchmark Design

Darrell Duffie, Piotr Dworczak

NBER Working Paper No. 20540
Issued in October 2014, Revised in March 2018

---- Acknowledgments ----

We are grateful for useful discussions with members of the Market Participants Group on Reference Rate Reform (MPG). We have had particularly useful conversations with Matteo Aquilina, Terry Belton, David Bowman, Finbarr Hutchison, Paul Milgrom, Anthony Murphy, Holger Neuhaus, PierMario Satta, Roberto Schiavi, David Skeie, Andy Skrzypacz, Tom Steffen, Jeremy Stein, Kevin Stiroh, James Vickery, Zhe Wang, Victor Westrupp, and Haoxiang Zhu. The results and opinions expressed in this paper are not necessarily those of the Market Participants Group on Reference Rate Reform, a committee chaired by Duffie that was established by the Financial Stability Board and that published its final report in 2014, nor do they necessarily reflect the views of the National Bureau of Economic Research.

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

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