James Darrell Duffie (born May 23, 1954) is a Canadian

financial economist Financial economics is the branch of economics characterized by a "concentration on monetary activities", in which "money of one type or another is likely to appear on ''both sides'' of a trade". William F. Sharpe"Financial Economics", in Its c ...

and is Dean Witter Distinguished Professor of Finance at

Stanford Graduate School of Business The Stanford Graduate School of Business is the Postgraduate education, graduate business school of Stanford University, a Private university, private research university in Stanford, California. For several years it has been the most selective ...

. He is the author of numerous

research article Academic publishing is the subfield of publishing which distributes academic research and scholarship. Most academic work is published in academic journal articles, books or theses. The part of academic written output that is not formally pub ...

s, and several books, including ''Futures Markets'', ''Dynamic Asset Pricing Theory'', and—with Kenneth Singleton—''Credit Risk''.

Education

He holds a Ph.D. (1984) in Engineering Economic Systems from

Stanford University Leland Stanford Junior University, commonly referred to as Stanford University, is a Private university, private research university in Stanford, California, United States. It was founded in 1885 by railroad magnate Leland Stanford (the eighth ...

, a Master of Economics (1980) from the

University of New England (Australia) The University of New England (UNE) is a public university in New South Wales, Australia. Founded in 1938, it was the first Australian university to be established outside of a state capital. Its main campus is located in the regional city of ...

, and a Bachelor of Science in Engineering (

Civil Engineering Civil engineering is a regulation and licensure in engineering, professional engineering discipline that deals with the design, construction, and maintenance of the physical and naturally built environment, including public works such as roads ...

) (1975) from the

University of New Brunswick The University of New Brunswick (UNB) is a public university with two primary campuses in Fredericton and Saint John, New Brunswick. It is the oldest English language, English-language university in Canada, and among the oldest public universiti ...

.CV
/ref>

Career

Duffie has been on the

finance Finance refers to monetary resources and to the study and Academic discipline, discipline of money, currency, assets and Liability (financial accounting), liabilities. As a subject of study, is a field of Business administration, Business Admin ...

faculty at Stanford since 1984. He is a Fellow and member of the Council of the

Econometric Society The Econometric Society is an international society of academic economists interested in applying statistical tools in the practice of econometrics. It is an independent organization with no connections to societies of professional mathematicians o ...

, a Research Associate of the

National Bureau of Economic Research The National Bureau of Economic Research (NBER) is an American private nonprofit research organization "committed to undertaking and disseminating unbiased economic research among public policymakers, business professionals, and the academic co ...

, a member of the Financial Advisory Roundtable of the

Federal Reserve Bank of New York The Federal Reserve Bank of New York is one of the 12 Federal Reserve Banks of the United States. It is responsible for the Second District of the Federal Reserve System, which encompasses the New York (state), State of New York, the 12 norther ...

, and a Fellow of The

American Academy of Arts and Sciences The American Academy of Arts and Sciences (The Academy) is one of the oldest learned societies in the United States. It was founded in 1780 during the American Revolution by John Adams, John Hancock, James Bowdoin, Andrew Oliver, and other ...

. He was the President of The

American Finance Association The American Finance Association (AFA) is an academic organization whose focus is the study and promotion of knowledge of financial economics. It was formed in 1939. Its main publication, the ''Journal of Finance'', was first published in 1946. ...

for 2009. He has served on the editorial board of many journals, including ''

Econometrica ''Econometrica'' is a peer-reviewed academic journal of economics, publishing articles in many areas of economics, especially econometrics. It is published by Wiley-Blackwell on behalf of the Econometric Society. The current editor-in-chief is ...

''. In 2003, Duffie was awarded the SunGard/IAFE Financial Engineer of the Year Award from the

International Association of Financial Engineers The International Association for Quantitative Finance (IAQF), formerly the International Association of Financial Engineers (IAFE), is a non-profit professional society concerned with the fields of quantitative finance and financial engineering. ...

. In 2014, Duffie chaired the Market Participants Group, charged by the Financial Stability Board with recommending reforms to Libor, Euribor, and other interest rate benchmarks. He is a co-author of the proposal for Across-the-Curve Credit Spread Index ("AXI") and its extension Financial Conditions Credit Spread Index ("FXI") but has no related compensation and has no affiliation with their operationalization. AXI and FXI are forward looking benchmark credit spreads that can be used in conjunction with the Secured Overnight Financing Rate (“SOFR”) to form a credit sensitive interest rate benchmark. The spreads were launched in 2022 and are published and administered by Invesco Indexing LLC, an independent index provider owned by global asset manager Invesco Ltd.

References

External links

Stanford GSB Faculty ProfilePersonal Homepage
*
Invesco USD-AXI and USD-FXI Homepage
{{DEFAULTSORT:Duffie, Darrell Living people American financial economists 21st-century American economists Canadian economists Stanford University alumni Stanford University Graduate School of Business faculty Fellows of the Econometric Society 1954 births University of New England (Australia) alumni Fellows of the American Academy of Arts and Sciences Hoover Institution people Presidents of the American Finance Association