Credit Risk

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

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

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

"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.

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

Measuring Corporate Default Risk, Oxford University Press, 2011.

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

"The Failure Mechanics of Dealer Banks," Journal of Economic Perspectives 2010, Volume 24: 51-72.

"Policy Perspectives on OTC Derivatives Market Infrastructure" (with Ada Li and Theo Lubke), Staff Report Number 424, Federal Reserve Bank of New York, January, 2010.

Testimony to United States House of Representatives, Subcommittee on Capital Markets, Insurance, and Government Sponsored Enterprises, "Credit Default Swaps on Government Debt: Potential Implications of the Greek Debt Crisis," Hearing of April 29, 2010.

SEC v. Goldman Sachs: Analyzing the Complaint Regarding the ABACUS 2007 AC-1 Deal (slides and video from a presentation with Professor Joseph Grundfest), April, 2010.

"Frailty Correlated Default" (with Andreas Eckner, Guillaume Horel, and Leandro Saita), Journal of Finance 2009, Volume 64: 2089-2123.

"Policy Issues Facing the Market for Credit Derivatives" in The Road Ahead for the Fed, edited by John D. Ciorciari and John B. Taylor, Hoover Institution Press, 2009.

Senate Testimony on Credit Derivatives, July, 2008.

"Common Failings: How Corporate Defaults are Correlated" (with Sanjiv Das, Nikunj Kapadia, and Leandro Saita), The Journal of Finance 2007, Volume 62: 93-117.

"Multi-Period Corporate Default Prediction with Stochastic Covariates" (with Leandro Saita and Ke Wang), The Journal of Financial Economics 2007, Volume 83: 635-665.

"Innovations in Credit Risk Transfer: Implications for Financial Stability,'' Graduate School of Business, Stanford University, June, 2007, prepared for the Bank of International Settlements.

"Measuring Default-Risk Premia from Default Swap Rates and EDFs" (with Antje Berndt, Rohan Douglas, Mark Ferguson, and David Schranz), Graduate School of Business, Stanford University, November, 2005.

"Credit Risk Modeling with Affine Processes,'' Cattedra Galileana Lectures, Scuola Normale, Pisa, April, 2002, Journal of Banking and Finance 2005, Volume 29: 2751-2802.

"Credit Risk for OTC Derivatives Portfolios: Exposure and Valuation" (with Eduardo Canabarro), in ALM of Financial Institutions, edited by Leo Tilman, Institutional Investor Books, 2004.

"Large Portfolio Losses'' (with Amir Dembo and Jean-Dominique Deuschel), Finance and Stochastics 2004, Volume 8: 3-16.  The publication is available at www.springerlink.com.

"Market Pricing of Deposit Insurance'' (with Robert Jarrow, Amiyatosh Purnanandam, and Wei Yang), Journal of Financial Services Research 2003, Volume 24: 93-119. The publication is available at www.springerlink.com.

"Modeling Sovereign Yield Spreads: A Case Study of Russian Debt'' (with Lasse Pedersen and Ken Singleton), Journal of Finance 2003, Volume 58: 119-160.

 "Term Structure of Credit Spreads with Incomplete Accounting Information" (with David Lando), Econometrica 2001, Volume 69: 633-664. The copyright to this article is held by the Econometric Society, http://www.econometricsociety.org/.

 "Analytical Value at Risk with Jumps and Credit Risk" with Jun Pan, Finance and Stochastics 2001, Volume 5: 155-180. The publication is available at www.springerlink.com.

"Risk and Valuation of Collateralized Debt Obligations" (with Nicolae Garleanu), Financial Analysts Journal 2001, Volume 57: 41-59, Winner of 2001 Graham and Dodd Award of Excellence.  (Supplementary Research)

"Floating-Fixed Credit Spreads" (with Jun Liu), Financial Analysts Journal 2001, Volume 57, Number 3: 76-87.

BankOne Case, Regarding Market Valuation of Swaps, 2001

"Risk and Valuation of Collateralized Debt Obligations" (with Nicolae Garleanu), Financial Analysts Journal 2001, Volume 57: 41-59, Winner of 2001 Graham and Dodd Award of Excellence.  (Supplementary Results).

"Credit Swap Valuation" Financial Analysts Journal 1999, January-February: 73-87.

"Simulating Correlated Defaults" (with Kenneth Singleton), Graduate School of Business, Stanford University, September, 1998.

"Defaultable Term Structure Models with Fractional Recovery of Par," Graduate School of Business, Stanford University, August, 1998.

"First-to-Default Valuation,'' Institut de Finance, University of Paris, Dauphine, and Graduate School of Business, Stanford University, May 10, 1998.

"Recursive Valuation of Defaultable Securities and the Timing of the Resolution of Uncertainty" (with Mark Schroder and Costis Skiadas),  Annals of Applied Probability 1996, Volume 6: 1075-1090. 

"Swap Rates and Credit Quality" (with Ming Huang), Journal of Finance 1996,Volume 51: 921-950. 

"Swap Rates and Credit Quality -- Supplementary Results'' (with Ming Huang), containing technical material beyond that published in our 1996 article in The Journal of Finance , Working Paper, Graduate School of Business, Stanford University, March, 1995. 

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