Darrell Duffie

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 Dean Witter Distinguished Professor of Finance at Stanford University’s 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, 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. 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 for 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

Books

• Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets
  Darrell Duffie Princeton University Press Princeton 2012
• Measuring Corporate Default Risk
  Darrell Duffie Oxford University Press Princeton and Oxford 2011
• How Big Banks Fail and What to Do About It
  Darrell Duffie Princeton University Press Princeton 2010
• The Squam Lake Report: Fixing the Financial System
  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
• Credit Risk
  Darrell Duffie, Kenneth J. Singleton Princeton University Press Princeton 2003
• Dynamic Asset Pricing Theory
  Darrell Duffie Princeton University Press Princeton 2001
• Futures Markets
  Darrell Duffie Prentice-Hall Englewood Cliffs 1989
• Security Markets: Stochastic Models
  Darrell Duffie Academic Press Boston 1988