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

"Compression Auctions, With an Application to LIBOR-SOFR Swap Conversion," Technical Note, Graduate School of Business, Stanford University, September, 2018.

"Prone to Fail: The Pre-Crisis Financial System," Working paper, Graduate School of Business, Stanford University, For "The Financial Crisis @ 10," National Bureau of Economic Research Summer Institute, July, 2018. (Slides)

"Augmenting Markets with Mechanisms" (with Sam Antill),  Working paper, Graduate School of Business, Stanford University, May, 2018.

"Swap Markets: Post LIBOR/EURIBOR," Speevr Video Interview, April 2018.

"Post-Crisis Bank Regulations and Financial Market Liquidity," Thirteenth Paolo Baffi Lecture on Money and Finance, Banca d'Italia, Eurosystem,  March 2018.

"A Review of Financial Reform," Speevr Video Interview, April 2018.

"Robust Benchmark Design" (with Piotr Dworczak), Working Paper, Graduate School of Business, Stanford University, March, 2018.

"Notes on LIBOR Conversion," Graduate School of Business, Stanford University, January, 2018.

"Corporate Credit Risk Premia" (with Antje Berndt, Rohan Douglas, and Mark Ferguson), forthcoming, Review of Finance, 2018.

"Dynamic Directed Random Matching" (with Lei Qiao and Yeneng Sun), Journal of Economic Theory, Vol. 143 (2018) pp. 124-183.

 In Memoriam, Kenneth J. Arrow (1921-2017), American Finance Association, November, 2017.

"Funding Value Adjustments," (with Leif Andersen and Yang Song), forthcoming, Journal of Finance, 2017.

"Benchmarks in Search Markets" (with Piotr Dworczak and Haoxiang Zhu), Journal of Finance. Vol. 72 (2017), 1983-2084. First Prize, Amundi Smith Breeden Prizes of the American Finance Association. Appendix of additional results.

"Converting LIBOR Contracts to New Benchmarks: An Auction-and-Protocol Approach," GRI and IEOR Financial Engineering Practitioners Seminar, New York, October 24, 2017.

"Size Discovery" (with Haoxiang Zhu), Review of Financial Studies, Volume 30 (2017), pages 1095-1150. First Prize, AQR Insight Award, May, 2016 (with technical appendix).

"Continuous-Time Random Matching" (with Lei Qiao and Yeneng Sun), Working Paper, Graduate School of Business, Stanford University, May, 2017. [Slides]

"Size Discovery Protocols are not on the Efficient Frontier," Risk, May 24, 2017.

"What to do about Libor?" Risk, April 24, 2017.

"The Covered Interest Parity Conundrum," Risk, March 27, 2017.

"CCPs should prep to quash Sifi swap termination stays," Risk, February 22, 2017.

"Efficient Contracting in Network Financial Markets" (with Chaojun Wang), Working paper, Graduate School of Business, Stanford University, January, 2017.

"FVA: Off the Mark," Risk, January 24, 2017.

"Why the leverage ratio distorts market-making," Risk, January 3, 2017.

"Passthrough Efficiency in the Fed’s New Monetary Policy Setting" (with Arvind Krishnamurthy),  in Richard A. Babson, editor, Designing Resilient Monetary Policy Frameworks for the Future, A Symposium Sponsored by the Federal Reserve Bank of Kansas City, Jackson Hole, Wyoming,  August 25-27, 2016, Federal Reserve Bank of Kansas City, pages 21-102. Bloomberg radio interview (audio), August 30, 2016.

"Financial Regulatory Reform After the Crisis: An Assessment," forthcoming, Management Science, 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.

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,' " 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.

"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, 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.

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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