2010 - Fellow of the American Finance Association (AFA)
2007 - Fellow of the American Academy of Arts and Sciences
1995 - Fellows of the Econometric Society
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 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
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.
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.
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.
Dynamic Asset Pricing Theory
Modeling Term Structures of Defaultable Bonds
Darrell Duffie;Kenneth J. Singleton.
Review of Financial Studies (1999)
TRANSFORM ANALYSIS AND ASSET PRICING FOR AFFINE JUMP-DIFFUSIONS
Darrell Duffie;Jun Pan;Kenneth Singleton.
A YIELD-FACTOR MODEL OF INTEREST RATES
Darrell Duffie;Rui Kan.
Mathematical Finance (1996)
An Overview of Value at Risk
Darrell Duffie;Jun Pan.
Journal of Derivatives (1997)
Credit Risk : Pricing, Measurement, and Management
Darrell Duffie;Kenneth J. Singleton.
Term Structures of Credit Spreads with Incomplete Accounting Information
Darrell Duffie;David Lando.
Asset Pricing with Heterogeneous Consumers
George M. Constantinides;Darrell Duffie.
Journal of Political Economy (1996)
Stochastic differential utility
D. Duffie;L. G. Epstein;C. Skiadas.
Darrell Duffie;Nicolae Garleanu;Lasse Heje Pedersen.
Profile was last updated on December 6th, 2021.
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