Darrell Duffie, Dean Witter Distinguished Professor of Finance at the Graduate School of Business, and professor by courtesy, Department of Economics, Stanford University, has been on the finance faculty at Stanford since receiving his Ph.D. from Stanford in 1984.

Recent Work

"Benchmarks in Search Markets" (with Piotr Dworczak and Haoxiang Zhu), Working Paper, Graduate School of Business, Stanford University, July, 2015, revised, September, 2016. Appendix of additional results.

"Passthrough Efficiency in the Fed’s New Monetary Policy Setting" (with Arvind Krishnamurthy), paper invited for  presentation at the Jackson Hole Symposium of the Federal Reserve Bank of Kansas City, August 26, 2016. Bloomberg radio interview (audio), August 30, 2016.

"Size Discovery" (with Haoxiang Zhu), Working paper, Graduate School of Business, Stanford University, October, 2015, revised July, 2016, First Prize, AQR Insight Award, May, 2016 (with technical appendix).

"Financial Regulatory Reform After the Crisis: An Assessment," paper invited for presentation to the 2016 ECB Forum on Central Banking, Sintra, Portugal, June, 2016 (presentation slides; presentation video, beginning at minute 5:00).

"Systemic Risk in Financial Systems and Capital Markets in Relationship with the Proposed Draft Capital Markets Stability Act," Expert Report submitted to Canada's Department of Justice, May 2016.

"Submission in Response to U.S. Treasury Notice Seeking Public Comment on the Evolution of the Treasury Market Structure," Graduate School of Business, Stanford University, April, 2016.

"Why are Big Banks Supplying Less Liquidity to Bond Markets?" Forbes, March 11, 2016.

"Funding Value Adjustment," (with Leif Andersen and Yang Song), Working Paper, Graduate School of Business, Stanford University, March 2016.

"Dynamic Directed Random Matching" (with Lei Qiao and Yeneng Sun), Working Paper, Graduate School of Business, Stanford University, November, 2015.

CFTC Roundtable on Made Available for Trade Determinations, July 15, 2015. Video. (Prepared remarks start at 1 hour, 14 minutes.)

"Central Clearing and Collateral Demand" (with Martin Scheicher and Guillaume Vuillemey), Journal of Financial Economics, Vol. 116 (2015), pp. 237-256.

"Reforming LIBOR and Other Financial-Market Benchmarks" (with Jeremy Stein),  Journal of Economic Perspectives, Volume 29 (Spring 2015), pp. 191-212.

"Information Percolation in Segmented Markets" (with Semyon Malamud and Gustavo Manso), Journal of Economic Theory, Volume 157 (2015), pp. 1130-1158. Technical Appendices (published online only).

"Discussion of John Cochrane's, 'A New Structure for U.S. Federal Debt,' " forthcoming in The $13 Trillion Dollar Question: Managing the U.S. Federal Debt, edited by David Wessel, Brookings Institution Press, 2015.

"In Support of Transparent Financial Benchmarks" (with Piotr Dworczak and Hoaxing Zhu), VOX, February 16, 2015.

"Resolution of Failing Central Counterparties," in Making Failure Feasible: How Bankruptcy Reform Can End 'Too Big To Fail', edited by Thomas Jackson, Kenneth Scott and John E. Taylor, Hoover Institution Press, 2015.

Systemic Risk Exposures: A 10-by-10-by-10 Approach,” in Systemic Risk and Macro Modeling, Markus K. Brunnermeier and Arvind Krishnamurthy, editors, University of Chicago Press, 2014.

"Market Participants Group on Reforming Interest Rate Benchmarks, Final Report" (with the Market Participants Group), Financial Stability Board, March 2014.

"Libor Needs More Competition" (with Jeremy Stein), Bloomberg, July 22, 2014.

"Robust Benchmark Design" (with Piotr Dworczak), Working Paper, Graduate School of Business, Stanford University, September, 2014.

"Challenges to A Policy Treatment of Speculative Trading Motivated by Differences in Beliefs," Journal of Legal Studies, Volume 43 (2014), pp. S173-S182.

"A Bloomberg Essay on the Form of Bank Capital Regulations," January 7, 2014.

"Financial Market Infrastructure: Too Important to Fail," in The U.S. Financial System – Five Years After the Crisis, edited by Martin Bailey and John Taylor, forthcoming, Hoover Institution and Brookings Institute, 2014.

"Aligning Incentives at Systemically Important Financial Institutions," The Squam Lake Group, March, 2013.

"The Futurization of Swaps," Bloomberg Government, January 28, 2013. A Counterpoint to Commentary by Robert Litan, Bloomberg Government, January 14, 2013.

"A Sampling-Window Approach to Transactions-Based Libor Fixing" (with David Skeie and James Vickery), Federal Reserve Bank of New York Staff Report Number 513, February 2013.

"Replumbing Our Financial System — Uneven Progress," International Journal of Central Banking 2013, Volume 9, Supplement 1: 251-280.

"Drawing Boundaries Around and Through the Banking System,"  Chapter 1.2, World Economic Forum, Financial Development Report, October 31, 2012.

"Key Mechanics of the U.S. Tri-Party Repo Market" (with Adam Copeland, Antoine Martin, and Susan McLaughlin), Economic Policy Review of the Federal Reserve Bank of New York, October, 2012.

"Fixing the Flaw in Sovereign CDSs" (with Mohit Thukral), Risk Magazine, July, 2012.

Interview, The Region, Federal Reserve Bank of Minneapolis, June, 2012.

"Capital Mobility and Asset Pricing" (with Bruno Strulovici),  Econometrica 2012, Volume 80:2469-2509.   Supplement. The copyright to this article is held by the Econometric Society, http://www.econometricsociety.org.

"SEC Beware, Money Funds Can Bring System Down," The Squam Lake Group, Bloomberg, April 18, 2012.

"Market Making Under the Proposed Volcker Rule," a report to the Securities Industry and Financial Markets Association and a submission to the Office of the Comptroller of the Currency, the Board of Governors of the Federal Reserve System, the Federal Deposit Insurance Corporation, and the Securities and Exchange Commission, January, 2012, Graduate School of Business, Stanford University.

"A Dialogue on the Costs and Benefits of Automatic Stays for Derivatives and Repurchase Agreements" (with David Skeel), U of Penn, Inst for Law & Econ Research Paper No. 12-02, January 2012. In Bankruptcy Not Bailout: A Special Chapter 14, edited by  Kenneth E. Scott and John B. Taylor, Hoover Press, 2012.

Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets, Princeton University Press, 2012

"After MF Global: How to Protect Customers' Cash" (with Joseph Grundfest), Financial Times, December 6, 2011.

"On the Clearing of Foreign Exchange Derivatives," Graduate School of Business, Stanford University, May 2011.   Comment on U.S. Treasury, "Determination of Foreign Exchange Swaps and Foreign Exchange Forwards under the Commodity Exchange Act," April, 2011.

"Reforming Money Market Funds," The Squam Lake Group, January, 2011.

Measuring Corporate Default Risk, Oxford University Press, 2011
(book jacket available here)

"Does a Central Clearing Counterparty Reduce Counterparty Risk?" (with Haoxiang Zhu), Review of Asset Pricing Studies 2011, Volume 1: 74-95.

"The Exact Law of Large Numbers for Independent Random Matching" (with Yeneng Sun), Journal of Economic Theory 2012, Volume 147: 1105-1139.

 

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Photo credit: Asia Kepka

Contact

655 Knight Way
Graduate School of Business
Stanford University, Stanford, CA 94305-7298
Email: duffie@stanford.edu

Curriculum Vitae