Darrell Duffie Books

In this book, two leading economists offer a comprehensive exploration of the foundations for credit risk pricing and measurement. Darrell Duffie and Kenneth Singleton adeptly model credit risk to assess portfolio risk and price defaultable bonds, credit derivatives, and other securities subject to credit risk. Their rigorous and sophisticated analysis provides an unparalleled examination of pricing and credit derivatives, addressing a critical issue as financial institutions globally refine their credit management strategies. The authors critically evaluate various credit-risk modeling approaches, discussing their strengths and weaknesses. They combine theoretical insights with extensive empirical analyses of credit-related time series, including default probabilities, recoveries, ratings transitions, and yield spreads. Both "structural" and "reduced-form" methods for pricing defaultable securities are presented, with assessments of their historical data fits. The book also covers the pricing of credit derivatives such as credit swaps, collateralized debt obligations, credit guarantees, lines of credit, and spread options. Furthermore, the authors suggest enhancements to current pricing and management practices to better equip financial institutions for future market changes. This resource is essential for risk managers, traders, regulators, academic researchers, and students engaged with financial products carrying significa

This book addresses the implications for financial-market liquidity of post-crisis capital and failure-resolution rules for systemically important banks and argues that current rules do not allow for potential levels of market efficiency and financi

In the fall of 2008, fifteen leading economists gathered at Squam Lake, New Hampshire, to devise a long-term plan for financial regulation reform. The resulting insights form a unified, nonpartisan strategy aimed at addressing the issues plaguing global financial markets. Unlike the ideologically driven proposals that have dominated discussions, this report presents a clear action plan designed to transform financial regulation for future generations. The authors highlight the ongoing conflict between financial institutions and society, offering transparent solutions to bridge this divide. They identify critical gaps in the current regulatory framework concerning complex financial entities, retirement savings, and credit default swaps. Innovative ideas for new financial instruments are proposed to recapitalize banks without imposing costs on taxpayers. To mitigate the risk of large bank failures, the report advocates for higher capital requirements and the establishment of a systemic regulator within the central bank. By analyzing the failures of the financial system and recommending necessary reforms, this report combines extensive academic, private sector, and public policy expertise. Its urgent recommendations aim to enhance the financial well-being of all, making it essential reading for anyone concerned about the health of the global economy.

Duffie surveys the structure, uses, and strategies of the modern futures markets. He explores financial decision-making procedures--pointing out techniques for hedging with futures--and gives readers a wealth of proven, up-to-date methods for calculating risk-minimizing hedging positions.