Darrell Duffie, Adams Distinguished Professor of Management and 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

"Robust Benchmark Design" (with Piotr Dworczak), forthcoming, Journal of Financial Economics, October, 2020.

"Augmenting Markets with Mechanisms" (with Sam Antill), September, 2020, forthcoming in Review of Economic Studies.

"How many credit ratings is enough?," Remarks for presentation at the Roundtable on the Desired Standard for Credit Ratings in Israel’s Debt Market, Israel Securities Authority, August, 2020.

Project advisor, "Digital Currencies and Stablecoins: Risks, Opportunities, and Challenges Ahead," Working Group on Digital Currencies, Group of 30, Washington, D.C., July, 2020.

"Across-the-Curve Credit Spread Indices," with Antje Berndt and Yichao Zhu, Stanford Graduate School of Business, July, 2020.

Discussion of "The Market Events of Mid-September 2019," (Gara Afonso, Marco Cipriani, Adam Copeland, Anna Kovner, Gabriele La Spada, and Antoine Martin) and "U.S. Banks and Global Liquidity," (Ricardo Correa, Wenxin Du, and Gordon Liao), NBER Summer Institute  2020, Macro, Money and Financial Markets. This discussion draws from work with Adam Copeland and David Yilin Yang, July 9, 2020.

"Debt, Stability and Recovery Under Covid19," Podcast interview conducted by Stanford University student Catherine Gu, Pandemic Pulse, May 27, 2020.

"Still the World’s Safe Haven? -- Redesigning the U.S. Treasury Market After the COVID- 19 Crisis," Hutchins Center Working Paper Number 62, Brookings Institution, May, 2020. [Slides] [Video of paper presentation at FutFinInfo 2020]

"Interoperable Payment Systems and the Role of Central Bank Digital Currencies," May, 2020, to appear in "Finance and Insurance Reloaded," Institut Louis Bachelier Annual Report, 2020.

"Market Fragmentation," with Daniel Chen, Working Paper, Graduate School of Business, Stanford University, May, 2020.

"Payment System Innovation,"  The Global Economy and Financial Stability Conference, Booth School, University of Chicago, Miami, February, 2020.

"The Decline of Too Big to Fail," with Antje Berndt and Yichao Zhu, Working paper, Australia National University, December, 2019.

Cyber Runs,” with Joshua Younger, Hutchins Center Working Paper, Brookings Institution, June, 2019.

"Continuous-Time Random Matching" (with Lei Qiao and Yeneng Sun), Working Paper, Graduate School of Business, Stanford University, June, 2019. [Slides, Supplement]

"Digital Currencies and Fast Payment Systems: Disruption is Coming," for presentation at the Asian Monetary Policy Forum, preliminary draft, Graduate School of Business, Stanford University, May, 2019.

"Prone to Fail: The Pre-Crisis Financial System," Journal of Economic Perspectives, Volume 33 (2019), pages 81-106. (Slides)

"Funding Value Adjustments," (with Leif Andersen and Yang Song), Journal of Finance, Volume 74 (2019).

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

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

"Corporate Credit Risk Premia" (with Antje Berndt, Rohan Douglas, and Mark Ferguson), Review of Finance, Volume 22 (2018), pp. 419-454.

"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.

"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).

"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," Management Science, Volume 64 (2018), pages 4471-4965. Presented at 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.

Photo credit: Asia Kepka


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

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