Gregory R. Duffee

10^th Most Prolific Credit Author in DefaultRisk.com

University of California -- Department of Finance
Assistant Professor
Haas School of Business
545 Student Services Building #1900
Berkeley, CA.  94720-1900
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

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
(701K PDF) -- 43 pages -- July 1996

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. [Abstract]

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. [Abstract]

Credit Derivatives

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

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