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Darrell Duffie

Darrell   Duffie
Professor, Finance
DarrellDuffie
Dean Witter Distinguished Professor of Finance
Senior Fellow (by courtesy), Stanford Institute for Economic Policy Research
Professor of Economics (by courtesy), School of Humanities and Sciences 
Shanahan Family Faculty Scholar for 2014-2015
Academic Area: 
Finance

Research Statement

Darrell Duffie’s research interests include over-the-counter markets, banking, financial risk management, credit risk, valuation and hedging of derivative securities, financial market infrastructure, the term structure of interest rates, financial innovation, security design (including legal treatments at failure resolution), and market design. Recently, Duffie has focused on how capital moves from one segment of asset markets to another, and the implications of imperfect trading opportunities for asset price behavior, especially in over-the-counter markets.

Bio

Darrell Duffie is the Dean Witter Distinguished Professor of Finance at Stanford University’s Graduate School of Business. He is a member of the Financial Advisory Roundtable of the Federal Reserve Bank of New York, a Fellow and member of the Council of the Econometric Society, a Research Fellow of the National Bureau of Economic Research, a Fellow of the American Academy of Arts and Sciences, and a member of the board of directors of Moody’s Corporation since 2008. Duffie was the 2009 president of the American Finance Association. He currently chairs the Market Participants Group, charged by the Financial Stability Board with recommending reforms to Libor, Euribor, and other interest rate benchmarks. Duffie’s recent books include How Big Banks Fail (Princeton University Press, 2010), Measuring Corporate Default Risk (Oxford University Press, 2011), and Dark Markets (Princeton University Press, 2012).

Academic Degrees

  • PhD, Stanford University, 1984
  • MEc, University of New England, 1980
  • BScE, University of New Brunswick, 1975

Academic Appointments

  • At Stanford since 1984
  • Lecturer, University of New Brunswick, 1978-1979

Professional Experience

  • Chair, Market Participants Group on Reference Rate Reform, 2013-14
  • Member of the Board of Directors of Moody's Corporation, 2008-date

Awards and Honors

  • Elected Fellow, American Academic of Arts and Sciences, 2007
  • Clarendon Lecturer in Finance, Oxford University, 2004
  • Financial Engineer of the Year, International Association of Financial Engineering, 2003
  • Distinguished Teacher Award, Doctoral Program, Graduate School of Business, Stanford University, 2003
  • NYSE Prize for equity research, Western Finance Association, 2002

Publications

Journal Articles

Darrell Duffie. Journal of Finance. 2010, Vol. 65, Issue 4, Pages 1237-1267.
Darrell Duffie, Nicolae Gârleanu, Lasse Heje Pedersen. Econometrica. 2005, Vol. 73, Issue 6, Pages 1815–1847.
Darrell Duffie, Lasse Heje Pedersen, Kenneth J. Singleton. Journal of Finance. 2003, Vol. 58, Issue 1, Pages 119-159.
Darrell Duffie, Jun Pan, Kenneth J. Singleton. Econometrica. 2000, Vol. 68, Issue 6 , Pages 1343 - 1376.
Peter M. DeMarzo, Darrell Duffie. Econometrica. 1999, Vol. 67, Issue 1, Pages 65–99.
Darrell Duffie, Kenneth J. Singleton. Review of Financial Studies. 1999, Vol. 12, Issue 4, Pages 687-720.
Darrell Duffie, Kenneth J. Singleton. Journal of Finance. 1997, Vol. 52, Issue 4, Pages 1287-1321.
Darrell Duffie, Rui Kan. Mathematical Finance. 1996, Vol. 6, Issue 4, Pages 379-406.
Darrell Duffie, Kenneth J. Singleton. Econometrica. 1993, Vol. 61, Issue 4, Pages 929-952.

Books

Darrell Duffie Princeton: Princeton University Press, 2012.
Darrell Duffie Princeton and Oxford: Oxford University Press, 2011.
Darrell Duffie Princeton: Princeton University Press, 2010.
Darrell Duffie, Kenneth R. French, Martin N. Bailey, John Y. Campbell, John H. Cochrane, Douglas W. Diamond, Anil K. Kashyap, Frederic S. Mishkin, Raghuram G. Rajan, David S. Scharfstein, Robert J. Shiller, Hyun Song Shin, Matthew J. Slaughter, Jeremy C. Stein, Rene M. Stulz Princeton: Princeton University Press, 2010.
Darrell Duffie, Kenneth J. Singleton Princeton: Princeton University Press, 2003.
Darrell Duffie Princeton: Princeton University Press, 2001.
Darrell Duffie Englewood Cliffs: Prentice-Hall, 1989.
Darrell Duffie Boston: Academic Press, 1988.

Courses Taught

Degree Courses

2014-15

This course is intended for those who plan careers that may involve debt financing for their businesses or other investments, or involve trading or investing in debt instruments and their derivatives, including money-market instruments including...

This course is a survey of China's financial system, including its banking industry, monetary policy structure, and financial markets (bonds, derivatives, equities, foreign exchange, and related markets). The goal is an integrated view of how...

This course is an introduction to multiperiod models in finance, mainly pertaining to optimal portfolio choice and asset pricing. The course begins with discrete-time models for portfolio choice and security prices, and then moves to a continuous...

Need approval from sponsoring faculty member and GSB Registrar.

Doctoral Practicum in Teaching

Doctoral Practicum in Research

2013-14

This seminar is designed to provide some experience with research methods and topics in finance, and to assist undergraduates with career interests in financial research, whether academic or not, with preparation for those careers. The seminar...

This course is intended for those who plan careers that may involve debt financing for their businesses or other investments, or involve trading or investing in debt instruments and their derivatives, including money-market instruments,...

This course is an introduction to multiperiod models in finance, mainly pertaining to optimal portfolio choice and asset pricing. The course begins with discrete-time models for portfolio choice and security prices, and then moves to a continuous...

2012-13

This seminar is designed to provide some experience with research methods and topics in finance, and to assist undergraduates with career interests in financial research, whether academic or not, with preparation for those careers. The seminar...

Stanford Case Studies

Emergence of Default Swap Index Products | F268
J.Duffie, Erin Yurday2004
Risk at Freddie Mac | F270
J. Duffie, Erin Yurday2004

Conferences, Talks, and Speaking Engagements

Video: How to Fix the Tri-Party Repo System
Darrell Duffie exposes the tri-party repo system as one of the most dangerous weak points in the US financial system, and explains how to fix it.

Service to the Profession

  • Fellow and Member of Council, Econometric Society, 1997-present
  • Research Associate, National Bureau of Economic Research, 1997-present

In the Media

The Region, Federal Reserve Bank of Minneapolis, June 2012