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Gregory R. Duffee10th Most Prolific Credit Author in DefaultRisk.com
University of California -- Department of Finance
Assistant Professor
Haas School of Business
545 Student Services Building #1900
Berkeley, CA. 94720-1900
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 (510) 642-1435 | | Fax | +1 (510) 643-1420 | | e-mail |
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Publications: that are posted on DefaultRisk.comCredit Pricing Estimating the price of default risk
by Gregory R. Duffee of the Federal Reserve Board of Governors
(701K PDF) -- 43 pages -- July 1996 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. [Abstract] 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. [Abstract] Credit Derivatives Credit Derivatives in Banking: Useful Tools for Loan Risk Management?
by Gregory R. Duffee of the University of California at Berkeley, and
Chunsheng Zhou of University of California at Riverside
(227K PDF) -- 30 pages -- August 2001 [Home] [Credit Researchers] [Top Ten Most Prolific]
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