Gregory R. Duffee

DefaultRisk.com the web's biggest credit risk modeling resource.

Gregory R. Duffee

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

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
e-mail

Web Pages:
Official Home Page	GREGORY R. DUFFEE	Background, research interests, courses, references to some of his publications.
"Personal" Home Page	Gregory R. Duffee	Contact information, courses, links, some posted publications.
Worldwide Directory of Finance Faculty	Gregory Duffee Johns Hopkins University	Sparse information and phone numbers are old.

Publications: that are posted on DefaultRisk.com

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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