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J. Darrell Duffie7th Most Prolific Credit Author in DefaultRisk.com
9th Most Popular Author in DefaultRisk.com
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,
(474K PDF) -- 32 pages -- May 2001 Floating-Fixed Credit Spreads
by Darrell Duffie of Stanford University, and
Jun Liu of Stanford University
(265K PDF) -- 23 pages -- May/June 2001 Modeling Term Structures of Defaultable Bonds
by Darrell Duffie of Stanford University, and
Kenneth J. Singleton of Stanford University & NBER
(413K PDF) -- 34 pages -- October 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. 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. 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 Deuschel Technische Universität Berlin, and
Darrell Duffie of Stanford University
(205K PDF) -- 14 pages -- January 2004 Measuring and Marking Counterparty Risk
by Eduardo Canabarro of Goldman Sachs, and
Darrell Duffie of Stanford University
(86K PDF) -- 13 pages -- October 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
(559K PDF) -- 46 pages -- September 23, 2001 Credit Correlation Frailty Correlated Default
by Darrell Duffie of Stanford University,
Andreas Eckner of the Bank of America,
Guillaume Horel of the Bank of America, and
Leandro Saita of Barclays Capital
(216K PDF) -- 35 pages -- October 2009 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 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. 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 Credit Does a Central Clearing Counterparty Reduce Counterparty Risk?
by Darrell Duffie of Stanford University, and
Haoxiang Zhu of Stanford University
(170K PDF) -- 30 pages -- July 24, 2010 Measuring Default Risk Premia from Default Swap Rates and EDFs
by Antje Berndt of Carnegie Mellon 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. Books:  | How Big Banks Fail and What to Do about It
by Darrell Duffie
Princeton University Press, (October 18, 2010), Hardcover, 112 pages | 
| 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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