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Gregory R. Duffee


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Gregory R. Duffee

Gregory R. Duffee

Johns Hopkins University -- Economics Department
Professor of Economics
463 Mergenthaler Hall
3400 N. Charles St.
Baltimore, Md. 21218

  • Harvard University, Ph. D. (Economics) (1989)
  • Extensive experience as an economist for the Federal Reserve System.
  • Credit risk (theoretical and empirical), the term structure of interest rates (especially affine models), derivative instruments

Contact:   Email address secured by Enkoder.
Phone +1 (410) 516-8828
Fax +1 (410) 516-7600


External links for Gregory R. Duffee and his worksOfficial Page "Personal" Page
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Publications: that are posted on

Credit Pricing

Estimating the price of default risk
by Gregory R. Duffee of the Federal Reserve Board of Governors
(284K PDF) -- 30 pages -- Spring 1999

Treasury yields and corporate bond yield spreads: An empirical analysis
by Gregory R. Duffee of the Federal Reserve Board of Governors
(519K PDF) -- 35 pages -- May 1996

Duffee, Gregory R., " The Relation Between Treasury Yields and Corporate Bond Yield Spreads", Journal of Finance, Vol. 53, No. 6, (December 1998), pp. 2225-2241.

Credit Modeling

Duffee Gregory R., " On Measuring Credit Risks of Derivative Instruments", Journal of Banking & Finance, Vol. 20, No. 5, (June 1996), pp. 805-833.

Credit Derivatives

Credit Derivatives in Banking: Useful Tools for Loan Risk Management?
by Gregory R. Duffee of the University of California, Berkeley, and
 Chunsheng Zhou of the University of California at Riverside
(227K PDF) -- 30 pages -- August 2001

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