Darrell Duffie

Professor, Finance

Darrell Duffie

The Adams Distinguished Professor of Management and Professor of Finance

Senior Fellow, Stanford Institute for Economic Policy Research
Professor of Economics (by courtesy), School of Humanities and Sciences
Senior Fellow (by courtesy), Hoover Institution
Academic Area:

Research Statement

Darrell Duffie’s research interests include over-the-counter markets, banking, financial stability, credit risk, valuation and hedging of derivative securities, financial market infrastructure, the term structure of interest rates, financial innovation, security design, market design, and fintech payments.

Bio

Darrell Duffie is The Adams Distinguished Professor of Management and Professor of Finance at Stanford Graduate School of Business. He is a fellow and member of the Council of the Econometric Society, a research fellow of the National Bureau of Economic Research, and a fellow of the American Academy of Arts and Sciences. Duffie was the 2009 president of the American Finance Association. In 2014, he chaired 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

Professional Experience

  • Independent Director on the Board of Dimensional Funds, 2019–21
  • Member of the Board of Directors of Moody's Corporation, 2008–18
  • Chair, Market Participants Group on Reference Rate Reform, 2013–14

Awards and Honors

  • R. Michael and Mary Shanahan Faculty Fellow, 2022–23
  • R. Michael and Mary Shanahan Faculty Fellow, 2021–22
  • Stephen A. Ross Prize in Financial Economics, 2014, 2021
  • Amundi Pioneer Prize, The Journal of Finance, 2017
  • 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

Antje Berndt, Darrell Duffie, Yichao Zhu
Financial Markets, Institutions & Instruments
August 2023 Vol. 32 Issue 3 Pages 115–130
Darrell Duffie, Piotr Dworczak
Journal of Financial Economics
November 2021 Vol. 142 Issue 2 Pages 775–802
Samuel Antill, Darrell Duffie
The Review of Economic Studies
July 2021 Vol. 88 Issue 4 Pages 1665–1719
Daniel Chen, Darrell Duffie
American Economic Review
July 2021 Vol. 111 Issue 7 Pages 2247–2274
Darrell Duffie, Leif Anderson, Yang Song
Journal of Finance
February 2019 Vol. 74 Issue 1 Pages 145-192
Darrell Duffie
Journal of Economic Perspectives
2019 Vol. 33 Issue 1 Pages 81-106
Darrell Duffie
Management Science
October 2018 Vol. 64 Issue 10 Pages 4471–4965
Antje Berndt, Rohan Douglas, Darrell Duffie, Mark Ferguson
Review of Finance
March 1, 2018 Vol. 22 Issue 2 Pages 419-454
Darrell Duffie, Lei Qiao, Yeneng Sun
Journal of Economic Theory
2018 Vol. 143 Pages 124-183
Darrell Duffie, Piotr Dworczak, Haoxiang Zhu
Journal of Finance
October 2017 Vol. 72 Issue 5 Pages 1983-2044
Darrell Duffie, Haoxiang Zhu
Review of Financial Studies
April 2017 Vol. 30 Issue 4 Pages 1095-1150
Darrell Duffie, Martin Scheicher, Guillaume Vuillemey
Journal of Financial Economics
May 2015 Vol. 116 Issue 2 Pages 237-256
Darrell Duffie, Semyon Malamud, Gustavo Manso
Journal of Economic Theory
2015 Vol. 158
Darrell Duffie, Jeremy C. Stein
Journal of Economic Perspectives
2015 Vol. 29 Issue 2 Pages 191-212
Darrell Duffie
Journal of Legal Studies
June 2014 Vol. 43 Issue S2 Pages 173-182
Darrell Duffie, Bruno Strulovici
Econometrica
November 2012 Vol. 80 Issue 6 Pages 2469-2509
Darrell Duffie, Yeneng Sun
Journal of Economic Theory
May 2012 Vol. 147 Issue 3 Pages 1105-1139
Darrell Duffie, Haoxiang Zhu
The Review of Asset Pricing Studies
July 2011 Vol. 1 Issue 1 Pages 74-95
Darrell Duffie
The Journal of Finance
August 2010 Vol. 65 Issue 4 Pages 1237-1267
Darrell Duffie, Semyon Malamud, Gustavo Manso
Journal of Economic Theory
July 2010 Vol. 145 Issue 4 Pages 1574-1601
Darrell Duffie, Gaston Giroux, Gustavo Manso
American Economic Journal: Microeconomics
February 2010 Vol. 2 Issue 1 Pages 100-111
Darrell Duffie
Journal of Finance
2010 Vol. 65 Issue 4 Pages 1237-1267
Darrell Duffie
Journal of Economic Perspectives
2010 Vol. 24 Issue 1 Pages 51-72
Darrell Duffie, Andreas Eckner, Guillaume Horel, Leandro Saita
Journal of Finance
October 2009 Vol. LXIV Issue 5 Pages 2089-2123
Darrell Duffie, Semyon Malamud, Gustavo Manso
Econometrica
September 2009 Vol. 77 Issue 5 Pages 1513-1574
Darrell Duffie, Sanjiv R. Das, Nikunj Kapadia, Leandro Saita
Journal of Finance
February 2007 Vol. LXII Issue 1 Pages 93-117
Darrell Duffie, Yeneng Sun
The Annals of Applied Probability
2007 Vol. 17 Issue 1 Pages 386-419
Darrell Duffie, Gustavo Manso
American Economic Review: Papers and Proceedings, 2007
2007 Pages 203-209
Darrell Duffie, Leandro Saita, Ke Wang
Journal of Financial Economics
2007 Vol. 83 Pages 635-665
Darrell Duffie, Adam B. Ashcraft
American Economic Review: Papers and Proceedings, 2007
2007 Vol. 97 Pages 221-225
Darrell Duffie, Nicolae Garleanu, Lasse Heje Pedersen
The Review of Financial Studies
2007 Vol. 20 Pages 1865-1900
Darrell Duffie, Nicolae Gârleanu, Lasse Heje Pedersen
Econometrica
2005 Vol. 73 Issue 6 Pages 1815–1847
Darrell Duffie, Peter Glynn
Econometrica
November 2004 Vol. 72 Issue 6 Pages 1773-1808
Darrell Duffie, Amir Dembo, Jean-Dominique Deuschel
Finance and Stochastics
2004 Vol. 8 Pages 3-16
Darrell Duffie, D. Filipovic, W. Schachermayer
The Annals of Applied Probability
August 2003 Vol. 13 Issue 3 Pages 984-1053
Darrell Duffie, Alexandre Ziegler
Financial Analysts Journal
2003 Vol. May/June Pages 42-51
Darrell Duffie, Robert Jarrow, Amiyatosh Purnanandam, Wei Yang
Journal of Financial Services Research
2003 Vol. 24 Issue 2/3 Pages 93-119
Darrell Duffie, Lasse Heje Pedersen, Kenneth J. Singleton
Journal of Finance
2003 Vol. 58 Issue 1 Pages 119-159
Darrell Duffie, Nicolae Garleanu, Lasse Heje Pedersen
Journal of Financial Economics
November 2002 Vol. 66 Issue 2-3 Pages 307-339
Darrell Duffie, Rui Kan
Journal of Mathematical Economics
September 2002 Vol. 38 Issue 1-2 Pages 191-196
Darrell Duffie, Jun Liu
Financial Analysts Journal
May 2001 Vol. 57 Issue 3 Pages 76-87
Darrell Duffie, David Lando
Econometrica
May 2001 Vol. 69 Issue 3 Pages 633-664
Darrell Duffie, Jun Pan
Finance and Stochastics
April 2001 Vol. 5 Issue 2 Pages 155-180
Darrell Duffie, Nicolae Garleanu
Financial Analysts Journal
January 2001 Vol. 57 Issue 1 Pages 41-59
Darrell Duffie, Jun Pan, Kenneth J. Singleton
Econometrica
2000 Vol. 68 Issue 6 Pages 1343–1376
Darrell Duffie
Financial Analysts Journal
January 1999 Vol. 55 Issue 1 Pages 73-87
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, Wendell Fleming, H. Mete Soner, Thaleia Zariphopoulou
Journal of Economic Dynamics and Control
May 1997 Vol. 21 Issue 4-5 Pages 753-782
Darrell Duffie, Kenneth J. Singleton
Journal of Finance
April 1997 Vol. 52 Issue 4 Pages 1287-1321
Darrell Duffie, Mark Schroder
Economic Theory
January 1997 Vol. 9 Issue 1 Pages 3-22
Darrell Duffie, Mark Schroder, Costis Skiadas
The Annals of Applied Probability
November 1996 Vol. 6 Issue 4 Pages 1075-1090
Darrell Duffie, Ming Huang
The Journal of Finance
July 1996 Vol. 51 Issue 3 Pages 921-949
Darrell Duffie
The Journal of Finance
June 1996 Vol. 51 Issue 2 Pages 493-526
Darrell Duffie, George Constantinides
Journal of Political Economy
April 1996 Vol. 104 Issue 2 Pages 219-240
Darrell Duffie, Rui Kan
Mathematical Finance
1996 Vol. 6 Issue 4 Pages 379-406
Darrell Duffie, Peter Glynn
The Annals of Applied Probability
November 1995 Vol. 5 Issue 4 Pages 897-905
Darrell Duffie, Jin Ma, Jiongmin Yong
The Annals of Applied Probability
May 1995 Vol. 5 Issue 2 Pages 356-382
Darrell Duffie, Peter M. DeMarzo
Review of Financial Studies
1995 Vol. 8 Issue 3 Pages 743-771
Darrell Duffie, J. Geanakoplos, A. Mas-Colell, A. McLennan
Econometrica
July 1994 Vol. 62 Issue 4 Pages 745-781
Darrell Duffie, Costis Skiadas
Journal of Mathematical Economics
March 1994 Vol. 23 Issue 2 Pages 107-131
Darrell Duffie, Pierre-Yves Geoffard, Costis Skiadas
Journal of Mathematical Economics
March 1994 Vol. 23 Issue 2 Pages 133-146
Darrell Duffie, J. Michael Harrison
The Annals of Applied Probability
August 1993 Vol. 3 Issue 3 Pages 641-651
Darrell Duffie, Thaleia Zariphopoulou
Mathematical Finance
April 1993 Vol. 3 Issue 2 Pages 135-148
Darrell Duffie, Kenneth J. Singleton
Econometrica
1993 Vol. 61 Issue 4 Pages 929-952
Darrell Duffie, Richard Stanton
Journal of Economic Dynamics and Control
July 1992 Vol. 16 Issue 3-4 Pages 561-573
Darrell Duffie, Larry Epstein, Costis Skiadas
Econometrica
March 1992 Vol. 60 Issue 2 Pages 353
Darrell Duffie, Philip Protter
Mathematical Finance
January 1992 Vol. 2 Issue 1 Pages 1-15
Darrell Duffie
Review of Financial Studies
1992 Vol. 5 Issue 3 Pages 411-436
Darrell Duffie, Pierre-Louis Lions
Journal of Mathematical Economics
April 1991 Vol. 21 Issue 6 Pages 577-606
Darrell Duffie, Henry R. Richardson
The Annals of Applied Probability
February 1991 Vol. 1 Issue 1 Pages 1-15
Darrell Duffie, Matthew O. Jackson
Journal of Economic Dynamics and Control
February 1990 Vol. 14 Issue 1 Pages 21-33
Darrell Duffie, Tong-sheng Sun
Journal of Economic Dynamics and Control
February 1990 Vol. 14 Issue 1 Pages 35-51
Darrell Duffie
Handbook of Monetary Economics
1990 Vol. 1 Pages 81-100
Darrell Duffie, William Zame
Econometrica
November 1989 Vol. 57 Issue 6 Pages 1279
Darrell Duffie, Matthew O. Jackson
Review of Financial Studies
1989 Vol. 2 Issue 3 Pages 275-296
Darrell Duffie
Journal of Economic Theory
October 1988 Vol. 46 Issue 1 Pages 194-204
Darrell Duffie
Journal of Economic Theory
April 1987 Vol. 41 Issue 2 Pages 405-416
Darrell Duffie, Chi-fu Huang
Journal of Mathematical Economics
September 1986 Vol. 15 Issue 3 Pages 283-303
Darrell Duffie
Econometrica
September 1986 Vol. 54 Issue 5 Pages 1161-1183
Darrell Duffie, Wayne Shafer
Journal of Mathematical Economics
June 1986 Vol. 15 Issue 3 Pages 199-216
Darrell Duffie
Journal of Mathematical Economics
1986 Vol. 15 Issue 1 Pages 1-23
Darrell Duffie, Wayne Shafer
Journal of Mathematical Economics
December 1985 Vol. 14 Issue 3 Pages 285-300
Darrell Duffie, Chi-fu Huang
Econometrica
November 1985 Vol. 53 Issue 6 Pages 1337-1356

Books

Darrell Duffie
Princeton University Press
Princeton
2012
Darrell Duffie
Oxford University Press
Princeton and Oxford
2011
Darrell Duffie
Princeton University Press
Princeton
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 University Press
Princeton
2010
Darrell Duffie, Kenneth J. Singleton
Princeton University Press
Princeton
2003
Darrell Duffie
Princeton University Press
Princeton
2001
Darrell Duffie
Prentice-Hall
Englewood Cliffs
1989
Darrell Duffie
Academic Press
Boston
1988

Book Chapters

R. Aggarwal, D. Boneh, J. Cohen, L. Diamond, Darrell Duffie, E. Economy, Y.J. Fanusie, N. Ferguson, Hon. J.C. Giancarlo, L. Gloudeman, Zhiguo He, S. Hoffman, M.D. Johnson, S. Levey, S. Mandelker, D. Mazières, H.R. McMaster, E.S. Medeiros, N. Narula, M. Piazzesi, M. Pottinger, E. Prasad, R. Rajan, N. Schadlow, R. Sokolow, J.B. Taylor, G. Tiffert, R.M. Townsend, M. Turpin, K. Warsh, C. Xu
Hoover Institution Publication (Editors: Darrell Duffie and Elizabeth Economy)
2022

Working Papers

Harry Cooperman, Darrell Duffie, Stephan Luck, Zachry Wang, Yilin (David) Yang December 2022
Gara Afonso, Darrell Duffie, Lorenzo Rigon, Hyun Song Shin November 2022
Adam Copeland, Darrell Duffie, Yilin (David) Yang July 2022
Darrell Duffie December 1, 2019
Darrell Duffie December 17, 2014
Darrell Duffie January 16, 2012
Darrell Duffie, Ada Li, Theo Lubke 2010

Stanford Case Studies

J. Duffie, Erin Yurday
2004
J. Duffie, Erin Yurday
2004

Conferences, Talks & Speaking Engagements

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.

Stanford GSB Affiliations

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

Insights by Stanford Business

December 13, 2023
Keep your brain warm with these book suggestions.
December 05, 2023
New ideas never go out of season.
May 01, 2023
From VC and ESG to China and crypto — the topics and trends that professors are watching most closely.
March 23, 2022
Beijing hopes its new digital yuan will undermine the dollar’s dominance. But Darrell Duffie says Washington shouldn’t rush its response.
September 22, 2021
Darrell Duffie talks about an emerging consensus on major reforms to the world’s financial safe haven.
April 29, 2021
The global shift to government-issued digital currencies “is like the space race of the 1960s,” says Stanford GSB’s Darrell Duffie.
December 09, 2020
We’ve compiled an eclectic collection of books to share — or hoard — while sheltering in place this season.
November 23, 2020
The U.S. Treasury market came close to a meltdown in March, revealing a rickety system that threatens “national economic security,” a Stanford professor says.
May 07, 2020
In this panel, professors agreed that something needed to be done, fast, to help the economic fallout, but disagreed on federal government’s strategy.
May 06, 2020
A seamless switch to cryptocurrency may be as easy as hitting accept on an app.
April 28, 2020
The e-dollar is coming and it’s up to big banks to either lead or follow.
October 24, 2019
Banks earn big profits by paying minuscule interest on deposits and charging large credit card fees. Digital currencies are about to disrupt that.
October 04, 2019
A Stanford GSB professor examines the post-crisis financial system.
January 10, 2019
The president is browbeating the Federal Reserve, but a Stanford finance professor says it’s a bad idea that won’t work.
October 05, 2018
We aren’t nearly as safe as we could be, two Stanford GSB finance experts find.
December 05, 2017
15 Stanford business professors recommend books for those long winter nights.
November 21, 2017
It’s time to replace LIBOR, the beleaguered benchmark that determines adjustable interest rates. But how?
July 10, 2015
The country could be creating false confidence that hurts the market later.
May 11, 2015
A professor of finance explores the burgeoning economy and its opportunities for further growth.
April 27, 2015
A finance professor says doing business on a global scale requires understanding what makes China tick.
January 26, 2015
Stanford’s Darrell Duffie squares off against the new prohibitionists.
September 10, 2014
A finance professor explains what it will take to fix the problem.
May 13, 2013
A Stanford theoretician of financial risk looks at how to fix the "pipes and valves" of modern finance.
March 19, 2013
Two scholars explain what could happen next in Nicosia — and the rest of Europe.
May 18, 2012
A Stanford research team proposes changes to control investor exposure to sovereign default risk.
February 10, 2012
Europe's banks also need to shore up their capital, not just borrow liquidity, say three experts on international finance.
January 17, 2012
A scholar proposes alternative capital requirements for banks to eliminate potential unintended consequences of financial reform.
June 01, 2011
Boston Fed CEO Eric Rosengren says money market mutual funds are vulnerable to the European debt crisis.
January 01, 2011
Economics experts from Stanford GSB and beyond explain why there are no easy solutions to the estimated $14 trillion debt.
July 01, 2010
A finance professor says putting the financial system in order depends on understanding of how big banks can go from weakness to sudden failure.
April 01, 2010
Two Stanford finance experts distinguished between ethical and legal issues in an analysis of the Securities and Exchange Commission's lawsuit against Goldman Sachs.
April 01, 2009
A finance professor explores a regulation of credit default swaps.
November 01, 2001
A finance scholar explores short selling's impact on markets, including when it's thwarted.
November 01, 2001
Research suggests that companies are issuing these newly popular securities with more than raising capital in mind.
November 01, 2001
A seminar provides an inside look at hedge fund managers' strategic challenges, and why the offset risk can be attractive to investors.

School News

January 18, 2024
If/Then aims to help business leaders address modern problems
October 25, 2023
In Washington and around the globe, faculty are helping policymakers untangle knotty problems.
June 29, 2022
Students choose Szu-chi Huang, Scott Brady, Darrell Duffie, and David Dodson for 2021–2022 teaching awards.
November 19, 2021
Panel at economic forum discusses climate change, financial technology as key areas of mutual interest.
November 03, 2021
Webinar hosted by Darrell Duffie discusses the risks and importance of the stablecoin market.
May 02, 2018
The Journal of Finance has bestowed first prize honors on the paper “Benchmarks in Search Markets.”
April 23, 2018
Two first-time political candidates talk about applying the lessons they learned at Stanford GSB.
October 01, 2009
The finance professor was honored with the annual award during fall 2009 Stanford GSB alumni weekend activities.
June 02, 2003
A "command performer," "master of asset pricing," and a professor who creates a safe environment for learning are recognized by Stanford GSB students.