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

Recent Work

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

"Dynamic Directed Random Matching" (with Lei Qiao and Yeneng Sun), Working Paper, Graduate School of Business, Stanford University, June, 2014.

"Central Clearing and Collateral Demand" (with Martin Scheicher and Guillaume Vuillemey), forthcoming, Journal of Financial Economics, 2014.

"Challenges to A Policy Treatment of Speculative Trading Motivated by Differences in Beliefs," forthcoming, Journal of Legal Studies, 2014.

"Information Percolation in Segmented Markets" (with Semyon Malamud and Gustavo Manso), Graduate School of Business, Stanford University, forthcoming, Journal of Economic Theory, 2014, Technical Appendices (published online only).

"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.

"Systemic Risk Exposures: A 10-by-10-by-10 Approach," Working Paper, National Bureau of Economic Research, Systemic Risk Measurement Initiative, July, 2011. Forthcoming in Systemic Risk and Macro Modeling, Markus K. Brunnermeier and Arvind Krishnamurthy, editors, University of Chicago Press.

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

The Squam Lake Report: Fixing the Financial System, Princeton University Press, 2010

How Big Banks Fail And What To Do About It, Princeton University Press, 2010

"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.

"Asset Price Dynamics with Slow-Moving Capital" (American Finance Association Presidential Address), Journal of Finance 2010, Volume 65: 1238-1268.

"The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation" (with Semyon Malamud and Gustavo Manso), Journal of Economic Theory 2010, Volume 145: 1574-1601.  

 

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Photo credit: Asia Kepka

Contact

655 Knight Way
Graduate School of Business
Stanford University, Stanford, CA 94305-7298

Fax: (650) 725-7979
Email: duffie@stanford.edu