D-Index & Metrics Best Publications

D-Index & Metrics

Discipline name D-index D-index (Discipline H-index) only includes papers and citation values for an examined discipline in contrast to General H-index which accounts for publications across all disciplines. Citations Publications World Ranking National Ranking
Economics and Finance D-index 90 Citations 58,245 169 World Ranking 75 National Ranking 59

Research.com Recognitions

Awards & Achievements

2010 - Fellow of the American Finance Association (AFA)

2007 - Fellow of the American Academy of Arts and Sciences

1995 - Fellows of the Econometric Society

Overview

What is he best known for?

The fields of study he is best known for:

  • Finance
  • Statistics
  • Mathematical analysis

Darrell Duffie spends much of his time researching Econometrics, Actuarial science, Financial economics, Credit risk and Valuation. His work in the fields of Unobservable overlaps with other areas such as Stochastic investment model. Darrell Duffie has researched Actuarial science in several fields, including Bond, Yield curve, Mathematical economics and Value at risk.

In his research on the topic of Financial economics, Corporate debt, Loss given default and Credit default swap is strongly related with Credit default swap index. The study incorporates disciplines such as Covariate, Monetary economics, Position and Bankruptcy in addition to Credit risk. His research investigates the link between Valuation and topics such as Capital asset pricing model that cross with problems in Variance, Monopolistic competition and Market maker.

His most cited work include:

  • Dynamic Asset Pricing Theory (2220 citations)
  • A YIELD-FACTOR MODEL OF INTEREST RATES (1951 citations)
  • TRANSFORM ANALYSIS AND ASSET PRICING FOR AFFINE JUMP-DIFFUSIONS (1938 citations)

What are the main themes of his work throughout his whole career to date?

His main research concerns Econometrics, Actuarial science, Financial economics, Finance and Financial system. Darrell Duffie studies Capital asset pricing model, a branch of Econometrics. His Capital asset pricing model study also includes fields such as

  • Asset, which have a strong connection to Monetary economics,
  • Valuation of options which connect with Stochastic volatility.

His Actuarial science study integrates concerns from other disciplines, such as Clearing and Market value. His work in Financial economics addresses issues such as Valuation, which are connected to fields such as Volatility. His Financial system research focuses on Credit risk and how it connects with Issuer.

He most often published in these fields:

  • Econometrics (28.48%)
  • Actuarial science (21.67%)
  • Financial economics (17.65%)

What were the highlights of his more recent work (between 2013-2020)?

  • Monetary economics (18.27%)
  • Financial market (12.38%)
  • Libor (7.43%)

In recent papers he was focusing on the following fields of study:

Darrell Duffie focuses on Monetary economics, Financial market, Libor, Clearing and Incentive. His Monetary economics research includes themes of Expected loss, Default risk, Credit risk, Margin and Issuer. His research integrates issues of Markov process, Insolvency, Matching, Actuarial science and Repurchase agreement in his study of Financial market.

In his work, Darrell Duffie performs multidisciplinary research in Actuarial science and Equity value. Darrell Duffie combines subjects such as Transparency, Econometrics, Common value auction, Yield curve and Reference rate with his study of Libor. His Econometrics research integrates issues from Average cost, Unsecured debt and Risk management.

Between 2013 and 2020, his most popular works were:

  • Central clearing and collateral demand (75 citations)
  • Reforming LIBOR and Other Financial Market Benchmarks (48 citations)
  • Funding Value Adjustments (40 citations)

In his most recent research, the most cited papers focused on:

  • Finance
  • Statistics
  • Mathematical analysis

His primary areas of investigation include Clearing, Monetary economics, Novation, Margin and Extensive data. His Clearing research is multidisciplinary, incorporating elements of Insolvency, Counterparty and Bankruptcy. His Monetary economics research is multidisciplinary, relying on both Issuer, Default risk, Credit risk and Expected loss.

His Novation research incorporates elements of Rehypothecation, Collateral and Credit default swap.

This overview was generated by a machine learning system which analysed the scientist’s body of work. If you have any feedback, you can contact us here.

Best Publications

Dynamic Asset Pricing Theory

Darrell Duffie.
(1992)

5001 Citations

Modeling Term Structures of Defaultable Bonds

Darrell Duffie;Kenneth J. Singleton.
Review of Financial Studies (1999)

3668 Citations

TRANSFORM ANALYSIS AND ASSET PRICING FOR AFFINE JUMP-DIFFUSIONS

Darrell Duffie;Jun Pan;Kenneth Singleton.
Econometrica (2000)

3654 Citations

A YIELD-FACTOR MODEL OF INTEREST RATES

Darrell Duffie;Rui Kan.
Mathematical Finance (1996)

3030 Citations

An Overview of Value at Risk

Darrell Duffie;Jun Pan.
Journal of Derivatives (1997)

1871 Citations

Credit Risk : Pricing, Measurement, and Management

Darrell Duffie;Kenneth J. Singleton.
(2003)

1843 Citations

Term Structures of Credit Spreads with Incomplete Accounting Information

Darrell Duffie;David Lando.
Econometrica (2001)

1637 Citations

Asset Pricing with Heterogeneous Consumers

George M. Constantinides;Darrell Duffie.
Journal of Political Economy (1996)

1445 Citations

Stochastic differential utility

D. Duffie;L. G. Epstein;C. Skiadas.
Econometrica (1992)

1275 Citations

OVER-THE-COUNTER MARKETS

Darrell Duffie;Nicolae Garleanu;Lasse Heje Pedersen.
Econometrica (2005)

1207 Citations

Best Scientists Citing Darrell Duffie

Robert A. Jarrow

Robert A. Jarrow

Cornell University

Publications: 100

Peter Christoffersen

Peter Christoffersen

University of Toronto

Publications: 77

Kay Giesecke

Kay Giesecke

Stanford University

Publications: 76

Pierre Collin-Dufresne

Pierre Collin-Dufresne

Swiss Finance Institute

Publications: 71

Siem Jan Koopman

Siem Jan Koopman

Tinbergen Institute

Publications: 67

Liuren Wu

Liuren Wu

City University of New York

Publications: 63

Francis A. Longstaff

Francis A. Longstaff

University of California, Los Angeles

Publications: 61

Kris Jacobs

Kris Jacobs

University of Houston

Publications: 58

Damiano Brigo

Damiano Brigo

Imperial College London

Publications: 55

Andre Lucas

Andre Lucas

Vrije Universiteit Amsterdam

Publications: 54

Christian Gourieroux

Christian Gourieroux

Federal University of Toulouse Midi-Pyrénées

Publications: 52

Hanno Lustig

Hanno Lustig

Stanford University

Publications: 51

Paul Glasserman

Paul Glasserman

Columbia University

Publications: 49

Francis X. Diebold

Francis X. Diebold

University of Pennsylvania

Publications: 44

Marti G. Subrahmanyam

Marti G. Subrahmanyam

New York University

Publications: 42

Profile was last updated on December 6th, 2021.
Research.com Ranking is based on data retrieved from the Microsoft Academic Graph (MAG).
The ranking d-index is inferred from publications deemed to belong to the considered discipline.

If you think any of the details on this page are incorrect, let us know.

Contact us
Something went wrong. Please try again later.