J. Darrell Duffie
3rd Most Prolific Credit Author in DefaultRisk.com
2nd Most Popular Author in DefaultRisk.com
Financial Engineer of the Year for 2003
Stanford University -- Department of Finance
James Irvin Miller Professor of Finance
Graduate School of Business
518 Memorial Way
Stanford, CA. 94305-5015
USA
- Stanford University, Ph. D. (Engineering Economic Systems) (1984)
- Has written several books on asset pricing.
- Financial risk management, credit risk and valuation of defaultable securities, valuation and hedging of derivative securities, term structure of interest rate modeling, financial innovation and security design.
| Contact: | | Email address secured by Enkoder. |
| Phone | +1 (650) 723-1976 |
| Fax | +1 (650) 725-7979 |
| e-mail |
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Publications: that are posted on DefaultRisk.com
Credit Pricing
Term Structures of Credit Spreads with Incomplete Accounting Information
by Darrell Duffie of Stanford University, and
David Lando of the University of Copenhagen,
(248K PDF) -- 40 pages -- August 24, 2000
Floating-Fixed Credit Spreads
by Darrell Duffie of Stanford University, and
Jun Liu of Stanford University
(265K PDF) -- 23 pages -- December 20, 1999
Modeling Term Structures of Defaultable Bonds
by Darrell Duffie of Stanford University, and
Kenneth J. Singleton of Stanford University and NBER
(485K PDF) -- 46 pages -- February 4, 1999
Defaultable Term Structure Models with Fractional Recovery of Par
by Darrell Duffie of Stanford University
(297K PDF) -- 27 pages -- August 18, 1998
Duffie, Darrell and Kenneth J. Singleton, "An Econometric Model of the Term Structure of Interest-Rate Swap Yields", Journal of Finance, Vol. 52, No. 4, (September 1997), pp. 1287-1321. [Abstract]
Darrel, Duffie, Mark Schroder, and Costis Skiadas, "Recursive Valuation of Defaultable Securities and the Timing of Resolution of Uncertainty'', Annals of Applied Probability, Vol. 6, No. 4, (November 1996), pp. 1075-1090. [Abstract]
Swap Rates and Credit Quality: Supplementary Results
by Darrell Duffie of Stanford University, and
Ming Huang of Stanford University
(354K PDF) -- 41 pages -- March 31, 1995
Credit Modeling
Multi-Period Corporate Failure Prediction With Stochastic Covariates
by Darrell Duffie of Stanford University,
Leandro Saita of Stanford University, and
Ke Wang of the University of Tokyo
(482K PDF) -- 32 pages -- March 2007
Credit Risk Modeling with Affine Processes
by Darrell Duffie of Stanford University
(473K PDF) -- 69 pages -- June 2004
Large Portfolio Losses
by Amir Dembo of Stanford University,
Jean-Dominique Technische Universität, Berlin, and
Darrell Duffie of Stanford University
(147K PDF) -- 19 pages -- March 11, 2003
Analytical Value-At-Risk with Jumps and Credit Risk
by Darrell Duffie of Stanford University, and
Jun Pan of Stanford University
(379K PDF) -- 27 pages -- November 29, 1999
Credit Swap Valuation
by Darrell Duffie of Stanford University
(236K PDF) -- 30 pages -- November 6, 1998
Credit Derivatives
Credit Swap Valuation
by Darrell Duffie of Stanford University
(236K PDF) -- 30 pages -- November 6, 1998
First-to-Default Valuation
by Darrell Duffie of the Université de Paris, Dauphine, & Stanford University
(313K PDF) -- 28 pages -- May 10, 1998
Collateralized Debt Obligations
Risk and Valuation of Collateralized Debt Obligations
by Darrell Duffie of Stanford University, and
Nicolae Gârleanu of Stanford University
(504K PDF) -- 46 pages -- September 23, 2001
Credit Correlation
Common Failings: How Corporate Defaults are Correlated
by Sanjiv R. Das of Santa Clara University,
Darrell Duffie of Stanford University,
Nikunj Kapadia of the University of Massachusetts, Amherst, and
Leandro Saita of Lehman Brothers
(255K PDF) -– 26 pages -- February 2007
Frailty Correlated Default
by Darrell Duffie of Stanford University,
Andreas Eckner of Stanford University,
Guillaume Horel of Stanford University, and
Leandro Saita of Lehman Brothers
(370K PDF) –- 50 pages -- October 19, 2006
Simulating Correlated Defaults
by Darrell Duffie of Stanford University, and
Kenneth Singleton of Stanford University
(390K PDF) -- 47 pages -- May 21, 1999
Supervisory
Innovations in Credit Risk Transfer: Implications for Financial Stability
by Darrell Duffie of Stanford University
(273K PDF) -- 47 pages -- July 2, 2007
Sovereign Risk
Duffie, Darrel, Lasse Hefe Pedersen, and Kenneth J. Singleton, "Modeling Sovereign Yield Spreads: A Case Study of Russian Debt", Journal of Finance, Vol. 58, No. 1, (February 2003), pp. 119-159. [Abstract]
Liquidity Risk
Liquidation Risk
by Darrell Duffie of Stanford University, and
Alexandre Ziegler of the University of Lausanne
(125K PDF) -- 14 pages -- August 20, 2001
Other
Measuring Default Risk Premia from Default Swap Rates and EDFs
by Antje Berndt of Cornell University,
Rohan Douglas of Quantifi LLC,
Darrell Duffie of Stanford University,
Mark Ferguson of Quantifi LLC, and
David Schranz of CIBC
(889K PDF) -- 56 pages -- November 15, 2005
Affine Processes and Applications in Finance
by Darrell Duffie of Stanford University,
Damir Filipović of Princeton University, and
Walter Schachermayer of the Vienna University of Technology
(492K PDF) -- 59 pages -- September 24, 2002
Related Topics
Duffie, Darrell, Jun Pan, and Kenneth Singleton, "Transform Analysis And Asset Pricing For Affine Jump-Diffusions", Econometrica, Vol. 68, No. 6, (November 2000), pp. 1343-1376. [Abstract]
Books:
| Credit Risk Modeling with Affine Processes
by Darrel Duffie,
Edizioni della Normale, (May 2007), Paperback, 58 pages |
 | Credit Risk: Pricing, Management, and Measurement (Princeton Series in Finance)
by Darrell Duffie and Kenneth J. Singleton,
Princeton University Press, (February 2003), Hardcover, 464 pages |
 | Dynamic Asset Pricing Theory, 3rd edition
by Darrell Duffie
Princeton University Press, (November 1, 2001), Hardcover, 472 pages |
 | Mathematical Finance
by Mark H.A. Davis (Editor), Darrell Duffie (Editor), Wendell H. Fleming (Editor), Steven E. Shreve (Editor),
Springer, (April 13, 1995), Hardcover, 133 pages |
 | Security Markets: Stochastic Models (Economic Theory, Econometrics, and Mathematical Economics)
by Darrell Duffie
Academic Press, (August 1988), Hardcover, 358 pages |
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