Duffie, Darrell
Overview
Works:  141 works in 445 publications in 5 languages and 6,579 library holdings 

Roles:  Author, Thesis advisor, Editor, Author of introduction, Contributor, Other 
Classifications:  HG4637, 332.6 
Publication Timeline
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Most widely held works by
Darrell Duffie
Dynamic asset pricing theory by
Darrell Duffie(
Book
)
33 editions published between 1992 and 2008 in English and Undetermined and held by 1,103 WorldCat member libraries worldwide
Dynamic Asset Pricing Theory is a textbook for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three increasingly restrictive assumptions: absence of arbitrage, singleagent optimality, and equilibrium. These results are unified with two key concepts, state prices and martingales. Technicalities are given relatively little emphasis so as to draw connections between these concepts and to make plain the similarities between discrete and continuoustime models. For simplicity, all continuoustime models are based on Brownian motion. Applications include term structure models, derivative valuation and hedging methods, and dynamic programming algorithms for portfolio choice and optimal exercise of American options. Numerical methods covered include Monte Carlo simulation and finitedifference solvers for partial differential equations
33 editions published between 1992 and 2008 in English and Undetermined and held by 1,103 WorldCat member libraries worldwide
Dynamic Asset Pricing Theory is a textbook for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three increasingly restrictive assumptions: absence of arbitrage, singleagent optimality, and equilibrium. These results are unified with two key concepts, state prices and martingales. Technicalities are given relatively little emphasis so as to draw connections between these concepts and to make plain the similarities between discrete and continuoustime models. For simplicity, all continuoustime models are based on Brownian motion. Applications include term structure models, derivative valuation and hedging methods, and dynamic programming algorithms for portfolio choice and optimal exercise of American options. Numerical methods covered include Monte Carlo simulation and finitedifference solvers for partial differential equations
Security markets : stochastic models by
Darrell Duffie(
Book
)
18 editions published between 1988 and 2008 in English and Undetermined and held by 541 WorldCat member libraries worldwide
18 editions published between 1988 and 2008 in English and Undetermined and held by 541 WorldCat member libraries worldwide
How big banks fail and what to do about it by
Darrell Duffie(
Book
)
17 editions published between 2010 and 2012 in English and Chinese and held by 523 WorldCat member libraries worldwide
In sharp, clinical detail, Darrell Duffle walks readers stepbystep through the mechanics of largebank failures. He identifies where the cracks first appear when a dealer bank is weakened by severe trading losses, and demonstrates how the bank's relationships with its customers and business partners abruptly change when its solvency is threatened. As others seek to reduce their exposure to the dealer bank, the bank is forced to signal its strength by using up its slim stock of remaining liquid capital. Duffle shows how the key mechanisms in a dealer bank's collapse  such as Lehman Brothers' failure in 2008  derive from special institutional frameworks and regulations that influence the flight of shortterm secured creditors, hedgefund clients, derivatives counterparties, and most devastatingly, the loss of clearing and settlement services.  Book Jacket
17 editions published between 2010 and 2012 in English and Chinese and held by 523 WorldCat member libraries worldwide
In sharp, clinical detail, Darrell Duffle walks readers stepbystep through the mechanics of largebank failures. He identifies where the cracks first appear when a dealer bank is weakened by severe trading losses, and demonstrates how the bank's relationships with its customers and business partners abruptly change when its solvency is threatened. As others seek to reduce their exposure to the dealer bank, the bank is forced to signal its strength by using up its slim stock of remaining liquid capital. Duffle shows how the key mechanisms in a dealer bank's collapse  such as Lehman Brothers' failure in 2008  derive from special institutional frameworks and regulations that influence the flight of shortterm secured creditors, hedgefund clients, derivatives counterparties, and most devastatingly, the loss of clearing and settlement services.  Book Jacket
Credit risk : pricing, measurement, and management by
Darrell Duffie(
Book
)
14 editions published between 2003 and 2009 in English and held by 429 WorldCat member libraries worldwide
"In this book, two of America's leading economists provide the first integrated treatment of the conceptual, practical, and empirical foundations for credit risk pricing and risk measurement. Masterfully applying theory to practice, Darrel Duffie and Kenneth Singleton model credit risk for the purpose of measuring portfolio risk and pricing defaultable bonds, credit derivatives, and other securities exposed to credit risk. The methodological rigor, scope, and sophistication of their stateoftheart account is unparalleled, and its singularly indepth treatment of pricing and credit derivatives further illuminates a problem that has drawn much attention in an era when financial institutions the world over are revising their credit management strategies."Jacket
14 editions published between 2003 and 2009 in English and held by 429 WorldCat member libraries worldwide
"In this book, two of America's leading economists provide the first integrated treatment of the conceptual, practical, and empirical foundations for credit risk pricing and risk measurement. Masterfully applying theory to practice, Darrel Duffie and Kenneth Singleton model credit risk for the purpose of measuring portfolio risk and pricing defaultable bonds, credit derivatives, and other securities exposed to credit risk. The methodological rigor, scope, and sophistication of their stateoftheart account is unparalleled, and its singularly indepth treatment of pricing and credit derivatives further illuminates a problem that has drawn much attention in an era when financial institutions the world over are revising their credit management strategies."Jacket
Futures markets by
Darrell Duffie(
Book
)
19 editions published between 1989 and 1994 in 3 languages and held by 331 WorldCat member libraries worldwide
19 editions published between 1989 and 1994 in 3 languages and held by 331 WorldCat member libraries worldwide
Measuring corporate default risk by
Darrell Duffie(
Book
)
16 editions published in 2011 in English and held by 241 WorldCat member libraries worldwide
This examination of the empirical behaviour of corporate default risk provides a unified statistical methodology for default prediction based on stochastic intensity modelling. The findings are particularly relevant in the aftermath of the financial crisis
16 editions published in 2011 in English and held by 241 WorldCat member libraries worldwide
This examination of the empirical behaviour of corporate default risk provides a unified statistical methodology for default prediction based on stochastic intensity modelling. The findings are particularly relevant in the aftermath of the financial crisis
Dark markets : asset pricing and information transmission in overthecounter markets by
Darrell Duffie(
Book
)
15 editions published in 2012 in English and held by 216 WorldCat member libraries worldwide
Overthecounter (OTC) markets for derivatives, collateralized debt obligations, and repurchase agreements played a significant role in the global financial crisis. Rather than being traded through a centralized institution such as a stock exchange, OTC trades are negotiated privately between market participants who may be unaware of prices that are currently available elsewhere in the market. In these relatively opaque markets, investors can be in the dark about the most attractive available terms and who might be offering them. This opaqueness exacerbated the financial crisis, as regulators and market participants were unable to quickly assess the risks and pricing of these instruments. Dark Markets offers a concise introduction to OTC markets by explaining key conceptual issues and modeling techniques, and by providing readers with a foundation for more advanced subjects in this field. Darrell Duffie covers the basic methods for modeling search and random matching in economies with many agents. He gives an overview of asset pricing in OTC markets with symmetric and asymmetric information, showing how information percolates through these markets as investors encounter each other over time. This book also features appendixes containing methodologies supporting the more theoryoriented of the chapters, making this the most selfcontained introduction to OTC markets available
15 editions published in 2012 in English and held by 216 WorldCat member libraries worldwide
Overthecounter (OTC) markets for derivatives, collateralized debt obligations, and repurchase agreements played a significant role in the global financial crisis. Rather than being traded through a centralized institution such as a stock exchange, OTC trades are negotiated privately between market participants who may be unaware of prices that are currently available elsewhere in the market. In these relatively opaque markets, investors can be in the dark about the most attractive available terms and who might be offering them. This opaqueness exacerbated the financial crisis, as regulators and market participants were unable to quickly assess the risks and pricing of these instruments. Dark Markets offers a concise introduction to OTC markets by explaining key conceptual issues and modeling techniques, and by providing readers with a foundation for more advanced subjects in this field. Darrell Duffie covers the basic methods for modeling search and random matching in economies with many agents. He gives an overview of asset pricing in OTC markets with symmetric and asymmetric information, showing how information percolates through these markets as investors encounter each other over time. This book also features appendixes containing methodologies supporting the more theoryoriented of the chapters, making this the most selfcontained introduction to OTC markets available
Transform analysis and asset pricing for affine jumpdiffusions by
Darrell Duffie(
Book
)
12 editions published in 1999 in English and held by 73 WorldCat member libraries worldwide
In the setting of affine' jumpdiffusion state processes, this paper provides an analytical treatment of a class of transforms, including various Laplace and Fourier transforms as special cases, that allow an analytical treatment of a range of valuation and econometric problems. Example applications include fixedincome pricing models, with a role for intensityybased models of default, as well as a wide range of optionpricing applications. An illustrative example examines the implications of stochastic volatility and jumps for option valuation. This example highlights the impact on option 'smirks' of the joint distribution of jumps in volatility and jumps in the underlying asset price, through both amplitude as well as jump timing
12 editions published in 1999 in English and held by 73 WorldCat member libraries worldwide
In the setting of affine' jumpdiffusion state processes, this paper provides an analytical treatment of a class of transforms, including various Laplace and Fourier transforms as special cases, that allow an analytical treatment of a range of valuation and econometric problems. Example applications include fixedincome pricing models, with a role for intensityybased models of default, as well as a wide range of optionpricing applications. An illustrative example examines the implications of stochastic volatility and jumps for option valuation. This example highlights the impact on option 'smirks' of the joint distribution of jumps in volatility and jumps in the underlying asset price, through both amplitude as well as jump timing
Modèles dynamiques d'évaluation by
Darrell Duffie(
Book
)
2 editions published in 1994 in French and held by 62 WorldCat member libraries worldwide
2 editions published in 1994 in French and held by 62 WorldCat member libraries worldwide
Large portfolio losses by
Amir Dembo(
Book
)
12 editions published in 2002 in English and held by 47 WorldCat member libraries worldwide
This paper provide a largedeviations approximation of the tail distribution of total financial losses on a portfolio consisting of many positions. Applications include the total default losses on a bank portfolio, or the total claims against an insurer. The results may be useful in allocating exposure limits, and in allocating risk capital across different lines of business. Assuming that, for a given total loss, the distress caused by the loss is larger if the loss occurs within a smaller time period, we provide a largedeviations estimate of the likelihood that there will exist a subperiod of the future planning period during which a total loss of the critical severity occurs. Under conditions, this calculation is reduced to the calculation of the likelihood of the same sized loss over a fixed initial time interval whose length is a property of the portfolio and the critical loss level
12 editions published in 2002 in English and held by 47 WorldCat member libraries worldwide
This paper provide a largedeviations approximation of the tail distribution of total financial losses on a portfolio consisting of many positions. Applications include the total default losses on a bank portfolio, or the total claims against an insurer. The results may be useful in allocating exposure limits, and in allocating risk capital across different lines of business. Assuming that, for a given total loss, the distress caused by the loss is larger if the loss occurs within a smaller time period, we provide a largedeviations estimate of the likelihood that there will exist a subperiod of the future planning period during which a total loss of the critical severity occurs. Under conditions, this calculation is reduced to the calculation of the likelihood of the same sized loss over a fixed initial time interval whose length is a property of the portfolio and the critical loss level
Overthecounter markets by
Darrell Duffie(
Book
)
11 editions published between 2004 and 2006 in English and held by 36 WorldCat member libraries worldwide
We study how intermediation and asset prices in overthecounter markets are affected by illiquidity associated with search and bargaining. We compute explicitly the prices at which investors trade with each other as well as marketmakers' bid and ask prices in a dynamic model with strategic agents. Bidask spreads are lower if investors can more easily find other investors, or have easier access to multiple marketmakers. With a monopolistic marketmaker, bidask spreads are higher if investors have easier access to the marketmaker. We characterize endogenous search and welfare, and discuss empirical implications
11 editions published between 2004 and 2006 in English and held by 36 WorldCat member libraries worldwide
We study how intermediation and asset prices in overthecounter markets are affected by illiquidity associated with search and bargaining. We compute explicitly the prices at which investors trade with each other as well as marketmakers' bid and ask prices in a dynamic model with strategic agents. Bidask spreads are lower if investors can more easily find other investors, or have easier access to multiple marketmakers. With a monopolistic marketmaker, bidask spreads are higher if investors have easier access to the marketmaker. We characterize endogenous search and welfare, and discuss empirical implications
Valuation in overthecounter markets by
Darrell Duffie(
Book
)
16 editions published in 2006 in English and held by 35 WorldCat member libraries worldwide
We provide the impact on asset prices of searchandbargaining frictions in overthecounter markets. Under certain conditions, illiquidity discounts are higher when counterparties are harder to find, when sellers have less bargaining power, when the fraction of qualified owners is smaller, or when risk aversion, volatility, or hedging demand are larger. Supply shocks cause prices to jump, and then "recover" over time, with a time signature that is exaggerated by search frictions. We discuss a variety of empirical implications
16 editions published in 2006 in English and held by 35 WorldCat member libraries worldwide
We provide the impact on asset prices of searchandbargaining frictions in overthecounter markets. Under certain conditions, illiquidity discounts are higher when counterparties are harder to find, when sellers have less bargaining power, when the fraction of qualified owners is smaller, or when risk aversion, volatility, or hedging demand are larger. Supply shocks cause prices to jump, and then "recover" over time, with a time signature that is exaggerated by search frictions. We discuss a variety of empirical implications
Multiperiod corporate failure prediction with stochastic covariates by
Darrell Duffie(
Book
)
11 editions published in 2004 in English and held by 35 WorldCat member libraries worldwide
We provide maximum likelihood estimators of term structures of conditional probabilities of bankruptcy over relatively long time horizons, incorporating the dynamics of firmspecific and macroeconomic covariates. We find evidence in the U.S. industrial machinery and instruments sector, based on over 28,000 firmquarters of data spanning 1971 to 2001, of significant dependence of the level and shape of the term structure of conditional future bankruptcy probabilities on a firm's distance to default (a volatilityadjusted measure of leverage) and on U.S. personal income growth, among other covariates.Variation in a firm's distance to default has a greater relative effect on the term structure of future failure hazard rates than does a comparatively sized change in U.S. personal income growth, especially at dates more than a year into the future
11 editions published in 2004 in English and held by 35 WorldCat member libraries worldwide
We provide maximum likelihood estimators of term structures of conditional probabilities of bankruptcy over relatively long time horizons, incorporating the dynamics of firmspecific and macroeconomic covariates. We find evidence in the U.S. industrial machinery and instruments sector, based on over 28,000 firmquarters of data spanning 1971 to 2001, of significant dependence of the level and shape of the term structure of conditional future bankruptcy probabilities on a firm's distance to default (a volatilityadjusted measure of leverage) and on U.S. personal income growth, among other covariates.Variation in a firm's distance to default has a greater relative effect on the term structure of future failure hazard rates than does a comparatively sized change in U.S. personal income growth, especially at dates more than a year into the future
Multiperiod corporate default prediction with stochastic covariates by
Darrell Duffie(
Book
)
10 editions published in 2006 in English and held by 23 WorldCat member libraries worldwide
We provide maximum likelihood estimators of term structures of conditional probabilities of corporate default, incorporating the dynamics of firmspecific and macroeconomic covariates. For U.S. Industrial firms, based on over 390,000 firmmonths of data spanning 1979 to 2004, the level and shape of the estimated term structure of conditional future default probabilities depends on a firm's distance to default (a volatilityadjusted measure of leverage), on the firm's trailing stock return, on trailing S&P 500 returns, and on U.S. interest rates, among other covariates. Distance to default is the most influential covariate. Default intensities are estimated to be lower with higher shortterm interest rates. The outofsample predictive performance of the model is an improvement over that of other available models
10 editions published in 2006 in English and held by 23 WorldCat member libraries worldwide
We provide maximum likelihood estimators of term structures of conditional probabilities of corporate default, incorporating the dynamics of firmspecific and macroeconomic covariates. For U.S. Industrial firms, based on over 390,000 firmmonths of data spanning 1979 to 2004, the level and shape of the estimated term structure of conditional future default probabilities depends on a firm's distance to default (a volatilityadjusted measure of leverage), on the firm's trailing stock return, on trailing S&P 500 returns, and on U.S. interest rates, among other covariates. Distance to default is the most influential covariate. Default intensities are estimated to be lower with higher shortterm interest rates. The outofsample predictive performance of the model is an improvement over that of other available models
Affine processes and applications in finance by
Darrell Duffie(
Book
)
6 editions published in 2002 in English and held by 17 WorldCat member libraries worldwide
We provide the definition and a complete characterization of regular affine processes. This type of process unifies the concepts of continuousstate branching processes with immigration and OrnsteinUhlenbeck type processes. We show, and provide foundations for, a wide range of financial applications for regular affine processes
6 editions published in 2002 in English and held by 17 WorldCat member libraries worldwide
We provide the definition and a complete characterization of regular affine processes. This type of process unifies the concepts of continuousstate branching processes with immigration and OrnsteinUhlenbeck type processes. We show, and provide foundations for, a wide range of financial applications for regular affine processes
Simulated moments estimation of Markov models of asset prices by
Darrell Duffie(
Book
)
7 editions published between 1989 and 1990 in English and held by 17 WorldCat member libraries worldwide
Abstract: This paper provides a simulated moments estimator (SME) of the parameters of dynamic models in which the state vector follows a timehomogeneous Markov process. Conditions are provided for both weak and strong consistency as well as asymptotic normality. Various tradeoff's among the regularity conditions underlying the large sample properties of the SME are discussed in the context of an asset pricing model
7 editions published between 1989 and 1990 in English and held by 17 WorldCat member libraries worldwide
Abstract: This paper provides a simulated moments estimator (SME) of the parameters of dynamic models in which the state vector follows a timehomogeneous Markov process. Conditions are provided for both weak and strong consistency as well as asymptotic normality. Various tradeoff's among the regularity conditions underlying the large sample properties of the SME are discussed in the context of an asset pricing model
The Exact Law of Large Numbers for Independent Random Matching by
Darrell Duffie(
Book
)
6 editions published in 2011 in English and held by 5 WorldCat member libraries worldwide
This paper provides a mathematical foundation for independent random matching of a large population, as widely used in the economics literature. We consider both static and dynamic systems with random mutation, partial matching arising from search, and type changes induced by matching. Under independence assumptions at each randomization step, we show that there is an almostsure constant crosssectional distribution of types in a large population, and moreover that the multiperiod crosssectional distribution of types is deterministic and evolves according to the transition matrices of the type process of a given agent. We also show the existence of a joint agentprobability space, and randomized mutation, partial matching and matchinduced typechanging functions that satisfy appropriate independence conditions, where the agent space is an extension of the classical Lebesgue unit interval  National Bureau of Economic Research web site
6 editions published in 2011 in English and held by 5 WorldCat member libraries worldwide
This paper provides a mathematical foundation for independent random matching of a large population, as widely used in the economics literature. We consider both static and dynamic systems with random mutation, partial matching arising from search, and type changes induced by matching. Under independence assumptions at each randomization step, we show that there is an almostsure constant crosssectional distribution of types in a large population, and moreover that the multiperiod crosssectional distribution of types is deterministic and evolves according to the transition matrices of the type process of a given agent. We also show the existence of a joint agentprobability space, and randomized mutation, partial matching and matchinduced typechanging functions that satisfy appropriate independence conditions, where the agent space is an extension of the classical Lebesgue unit interval  National Bureau of Economic Research web site
Information Percolation in Segmented Markets by
Darrell Duffie(
Book
)
7 editions published between 2010 and 2011 in English and held by 5 WorldCat member libraries worldwide
We calculate equilibria of dynamic doubleauction markets in which agents are distinguished by their preferences and information. Over time, agents are privately informed by bids and offers. Investors are segmented into groups that differ with respect to characteristics determining information quality, including initial information precision as well as market 'connectivity,' the expected frequency of their trading opportunities. Investors with superior information sources attain strictly higher expected profits, provided their counterparties are unable to observe the quality of those sources. If, however, the quality of bidders' information sources are commonly observable, then, under conditions, investors with superior information sources have strictly lower expected profits  National Bureau of Economic Research web site
7 editions published between 2010 and 2011 in English and held by 5 WorldCat member libraries worldwide
We calculate equilibria of dynamic doubleauction markets in which agents are distinguished by their preferences and information. Over time, agents are privately informed by bids and offers. Investors are segmented into groups that differ with respect to characteristics determining information quality, including initial information precision as well as market 'connectivity,' the expected frequency of their trading opportunities. Investors with superior information sources attain strictly higher expected profits, provided their counterparties are unable to observe the quality of those sources. If, however, the quality of bidders' information sources are commonly observable, then, under conditions, investors with superior information sources have strictly lower expected profits  National Bureau of Economic Research web site
Capital Mobility and Asset Pricing by
Darrell Duffie(
Book
)
8 editions published between 2009 and 2011 in English and held by 5 WorldCat member libraries worldwide
We present a model for the equilibrium movement of capital between asset markets that are distinguished only by the levels of capital invested in each. Investment in that market with the greatest amount of capital earns the lowest risk premium. Intermediaries optimally trade off the costs of intermediation against fees that depend on the gain they can offer to investors for moving their capital to the market with the higher mean return. Those fees also depend on the bargaining power of the investor, in light of potential alternative intermediaries. In equilibrium, the speeds of adjustment of mean returns and of capital between the two markets are increasing in the degree to which capital is imbalanced between the two markets  National Bureau of Economic Research web site
8 editions published between 2009 and 2011 in English and held by 5 WorldCat member libraries worldwide
We present a model for the equilibrium movement of capital between asset markets that are distinguished only by the levels of capital invested in each. Investment in that market with the greatest amount of capital earns the lowest risk premium. Intermediaries optimally trade off the costs of intermediation against fees that depend on the gain they can offer to investors for moving their capital to the market with the higher mean return. Those fees also depend on the bargaining power of the investor, in light of potential alternative intermediaries. In equilibrium, the speeds of adjustment of mean returns and of capital between the two markets are increasing in the degree to which capital is imbalanced between the two markets  National Bureau of Economic Research web site
Systemic Risk Exposures A 10by10by10 Approach by
Darrell Duffie(
Book
)
5 editions published in 2011 in English and held by 5 WorldCat member libraries worldwide
Here, I present and discuss a '10by10by10' networkbased approach to monitoring systemic financial risk. Under this approach, a regulator would analyze the exposures of a core group of systemically important financial firms to a list of stressful scenarios, say 10 in number. For each scenario, about 10 such designated firms would report their gains or losses. Each reporting firm would also provide the identities of the 10, say, counterparties with whom the gain or loss for that scenario is the greatest in magnitude relative to all counterparties. The gains or losses with each of those 10 counterparties would also be reported, scenario by scenario Gains and losses would be measured in terms of market value and also in terms of cash flow, allowing regulators to assess risk magnitudes in terms of stresses to both economic values and also liquidity. Exposures would be measured before and after collateralization. One of the scenarios would be the failure of a counterparty. The 'top ten' counterparties for this scenario would therefore be those whose defaults cause the greatest losses to the reporting firm In eventual practice, the number of reporting firms, the number of stress scenarios, and the number of major counterparties could all exceed 10, but it is reasonable to start with a small reporting system until the approach is better understood and agreed upon internationally  National Bureau of Economic Research web site
5 editions published in 2011 in English and held by 5 WorldCat member libraries worldwide
Here, I present and discuss a '10by10by10' networkbased approach to monitoring systemic financial risk. Under this approach, a regulator would analyze the exposures of a core group of systemically important financial firms to a list of stressful scenarios, say 10 in number. For each scenario, about 10 such designated firms would report their gains or losses. Each reporting firm would also provide the identities of the 10, say, counterparties with whom the gain or loss for that scenario is the greatest in magnitude relative to all counterparties. The gains or losses with each of those 10 counterparties would also be reported, scenario by scenario Gains and losses would be measured in terms of market value and also in terms of cash flow, allowing regulators to assess risk magnitudes in terms of stresses to both economic values and also liquidity. Exposures would be measured before and after collateralization. One of the scenarios would be the failure of a counterparty. The 'top ten' counterparties for this scenario would therefore be those whose defaults cause the greatest losses to the reporting firm In eventual practice, the number of reporting firms, the number of stress scenarios, and the number of major counterparties could all exceed 10, but it is reasonable to start with a small reporting system until the approach is better understood and agreed upon internationally  National Bureau of Economic Research web site
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