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Repos and Systemic Risk 2014


Speaker(s): Darrell Duffie, David Arthur Skeel
Recorded on: Jun. 24, 2014
PLI Program #: 57898

Darrell Duffie
Dean Witter Distinguished Professor of Finance
Senior Fellow (by courtesy)
Stanford Institute for Economic Policy Research
Professor of Economics (by courtesy), School of Humanities and Sciences

Darrell Duffie is the Dean Witter Distinguished Professor of Finance at Stanford University's Graduate School of Business. He is a member of the Financial Advisory Roundtable of the Federal Reserve Bank of New York, a Fellow and member of the Council of the Econometric Society, a Research Fellow of the National Bureau of Economic Research, a Fellow of the American Academy of Arts and Sciences, and a member of the board of directors of Moodys Corporation since 2008. Duffie was the 2009 president of the American Finance Association. He currently chairs 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).

Academic Degrees

PhD, Stanford Univ., 1984; MEc, Univ. of New England, 1980; BScE, Univ. of New Brunswick, 1975.

Professional Experience

  • At Stanford since 1984. Engineer, Systems Control Technology Inc., 1981-83; Lecturer, Univ. of New Brunswick, 1978-79; Engineer, Bell Canada, 1975-77.

Selected Publications

  • Asset-Pricing Dynamics with Slow Moving Capital (Presidential Address): Journal of Finance, 2010
  • Over-The-Counter Markets (with Nicolae Garleanu and Lasse Pedersen): Econometrica, Vol. 73, 2005
  • Transform Analysis and Asset Pricing for Affine Jump-Diffusions (with Jun Pan and Ken Singleton): Econometrica, Vol. 68, 2000
  • A Liquidity-Based Model of Security Design (with Peter DeMarzo): Econometrica, Vol. 67, 1999
  • A Yield-Factor Model of Interest Rates with Rui Kan: Mathematical Finance, Vol. 6, 1996

Working Papers

  • Policy Perspectives on OTC Derivatives Market Infrastructure
  • The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation
  • Stochastic Differential Utility and Asset Pricing
  • Stationary Markov Equilibria
  • The Theory of Value in Security Markets

Selected Cases

  • Structured Credit Index Products and Default Correlation
  • Risk at Freddie Mac
  • Emergence of Default Swap Index Products

Awards and Honors

  • Clarendon Lecturer in Finance, 2004, Oxford University
  • Elected Fellow, 2007, American Academic of Arts and Sciences
  • Financial Engineer of the Year, 2003, International Association of Financial Engineering
  • Distinguished Teacher Award, Doctoral Program, 2003, Graduate School of Business, Stanford University
  • NYSE Prize for equity research, 2002, Western Finance Association

Courses Taught

  • FINANCE 320: Debt Markets
  • FINANCE 622: Dynamic Asset Pricing Theory

Affiliations

  • Fellow and Member of Council: Econometric Society (1997 - present)
  • Research Associate: National Bureau of Economic Research (1997 - present)


David Arthur Skeel
S. Samuel Arsht Professor of Corporate Law

Education

JD - University of Virginia - '87
BA - University of North Carolina - '83

David Skeel is the author of The New Financial Deal: Understanding the Dodd-Frank Act and Its (Unintended) Consequences (Wiley, 2011), Icarus in the Boardroom (Oxford, 2005) and Debt’s Dominion: A History of Bankruptcy Law in America (Princeton, 2001), as well as numerous articles and other publications. He has been interviewed on The News Hour, Nightline, Chris Matthews’ Hardball (MSNBC), National Public Radio, and Marketplace, among others, and has been quoted in the New York Times, Wall Street Journal, Washington Post and other newspapers and magazines. Skeel has received the Harvey Levin award three times for outstanding teaching, as selected by a vote of the graduating class, the Robert A. Gorman award for excellence in upper level course teaching, and the University’s Lindback Award for distinguished teaching. In addition to bankruptcy and corporate law, Skeel also writes on sovereign debt, Christianity and law, and poetry and the law, and is an elder at Tenth Presbyterian Church in Philadelphia.

Expertise

Corporations
Bankruptcy
Religion and the Law

Research Areas

  • Christianity and the Law
  • Corporate Law
  • Bankruptcy
  • Debt Relief and Sovereign Bankruptcy
  • Law and Religion
  • Law and Poetry

Positions

  • Penn Law - S. Samuel Arsht Professor of Corporate Law (2004- ); Professor of Law (1999-2003)
  • Member, European Corporate Governance Institute (2007- ); American College of Bankruptcy (2009- )
  • Visiting Professor - Georgetown, University of Virginia, University of Wisconsin
  • Temple - Associate Professor of Law (1993-98); Assistant Professor (1990-93)

Professional Activities

  • Executive Board of American Association of Law Schools Committee on Business Associations (2007-2010)
  • Research Associate, European Corporate Governance Institute (since 2006)
  • Member, American College of Bankruptcy (since 2009)
  • Board of Trustees, Consumer Bankruptcy Assistance Project, Philadelphia, PA (2000-2006)