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List of works by Darrell Duffie

An Overview of Value at Risk

scientific article published in 1997

Augmenting Markets with Mechanisms

scientific article published in December 2017

Benchmarks in Search Markets

scientific article published in October 2014

Capital Mobility and Asset Pricing

scientific article published in August 2011

Central Clearing and Collateral Demand

scientific article published in February 2014

Common Failings: How Corporate Defaults Are Correlated

Common Failings: How Corporate Defaults are Correlated

scientific article published in January 2006

Corporate Credit Risk Premia

scientific article published in January 2018

Credit Swap Valuation

scientific article (publication date: 1999)

Dynamic Directed Random Matching

scientific article published in November 2015

Equilibrium in incomplete markets: I

Financial Market Innovation and Security Design: An Introduction

scientific article published in February 1995

Frailty Correlated Default

article

Funding Value Adjustments

scientific article published in August 2017

Hedging in incomplete markets with HARA utility

Information Percolation in Segmented Markets

scientific article published in August 2011

Large Portfolio Losses

Market Fragmentation

scientific article published in March 2020

Multi-Period Corporate Default Prediction With Stochastic Covariates

scientific article published in January 2006

Multi-Period Corporate Failure Prediction with Stochastic Covariates

scientific article published in September 2004

Over-the-Counter Markets

Over-the-Counter Markets

scientific article published in October 2004

Robust Benchmark Design

scientific article published in October 2014

Simulated Moments Estimation of Markov Models of Asset Prices

Size Discovery

scientific article published in November 2015

Systemic Risk Exposures: A 10-by-10-by-10 Approach

scientific article published in August 2011

The Exact Law of Large Numbers for Independent Random Matching

scientific article published in August 2011

Transform Analysis and Asset Pricing for Affine Jump-Diffusions

scientific article published in April 1999

Valuation in Over-the-Counter Markets

scientific article published in February 2006