Darrell Duffie’s research interests include over-the-counter markets, banking, financial risk management, credit risk, valuation and hedging of derivative securities, term structure of interest rate modeling, financial innovation, and market design. Recently, Duffie has focused on how capital moves from one segment of asset markets to another, and the implications of imperfect trading opportunities for asset price behavior, especially in over-the-counter markets. Duffie and several collaborators have some recent results on portfolio credit risk, based on the assumption that there are unobservable common default-risk factors.

Darrell Duffie is the Dean Witter Distinguished Professor of Finance at The Graduate School of Business, Stanford University, where he has been a member of the finance faculty since receiving his Ph.D. at Stanford in 1984. Among other books, Duffie is the author of Dynamic Asset Pricing Theory (Princeton University Press, third edition 2001) and a co-author of The Squam Lake Report: Fixing the Financial System (Princeton University Press, 2010). His recent research focuses on asset pricing, credit risk, fixed-income securities, and over-the-counter markets. Duffie is a Fellow and member of the Council of the Econometric Society, a Research Associate of the National Bureau of Economic Research, a member of the Financial Advisory Roundtable of the New York Federal Reserve Bank, and a Fellow of The American Academy of Arts and Sciences. He was the President of The American Finance Association for 2009.