Darrell Duffie is the The Adams Distinguished Professor of Management and Professor of Finance at Stanford Graduate School of Business and has been writing about financial markets since 1984. He is a fellow and member of the Council of the Econometric Society, a research fellow of the National Bureau of Economic Research, and a fellow of the American Academy of Arts and Sciences. 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).
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1: Objectives and Scope 2: Survival Modeling 3: How to Estimate Default Intensity Processes 4: The Default Intensities of Public Corporations 5: Default Correlation 6: Frailty-Induced Correlation 7: Empirical Evidence of Frailty A: Time-Series Parameter Estimates B: Residual Gaussian Copula Correlation C: Additional Tests for Mis-Specified Intensities D: Applying the Gibbs Sampler with Frailty E: Testing for Frailty F: Unobserved Heterogeneity G: Non-Linearity Check H: Bayesian Frailty Dynamics I: Risk-Neutral Default Probabilities
