Gregory R. Duffee

Johns Hopkins University -- Economics Department
Professor of Economics
463 Mergenthaler Hall
3400 N. Charles St.
Baltimore, Md. 21218
USA

• Harvard University, Ph. D. (Economics) (1989)
• Extensive experience as an economist for the Federal Reserve System.
• Credit risk (theoretical and empirical), the term structure of interest rates (especially affine models), derivative instruments

External links for Gregory R. Duffee and his works	Official Page	"Personal" Page
	SSRN MS.Academic WorldCat VIAF.org LinkedIn DBLP Amazon RePEc BIS arXiv NBER Wikipedia Google Scholar

Publications: that are posted on DefaultRisk.com

Credit Pricing

Estimating the price of default risk
by Gregory R. Duffee of the Federal Reserve Board of Governors
(284K PDF) -- 30 pages -- Spring 1999

Treasury yields and corporate bond yield spreads: An empirical analysis
by Gregory R. Duffee of the Federal Reserve Board of Governors
(519K PDF) -- 35 pages -- May 1996

Duffee, Gregory R., " The Relation Between Treasury Yields and Corporate Bond Yield Spreads", Journal of Finance, Vol. 53, No. 6, (December 1998), pp. 2225-2241.

Credit Modeling

Duffee Gregory R., " On Measuring Credit Risks of Derivative Instruments", Journal of Banking & Finance, Vol. 20, No. 5, (June 1996), pp. 805-833.

Credit Derivatives

Credit Derivatives in Banking: Useful Tools for Loan Risk Management?
by Gregory R. Duffee of the University of California, Berkeley, and
 Chunsheng Zhou of the University of California at Riverside
(227K PDF) -- 30 pages -- August 2001

[Home]  [Credit Researchers]  [Top Ten Most Prolific]

[