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.
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