Alpha Exchange

Over a distinguished 40-year career as an academician in finance, Darrell Duffie has made important contributions to our collective understanding of how markets work. Earning a PhD from Stanford in 1984, Darrell has taught finance there ever since and now serves as the Adams Distinguished Professor of Management and Professor of Finance at the Graduate School of Business. Along the way he has written several books, authored countless papers and provided guidance to policymakers who have sought his counsel in addressing complex regulatory questions.We review some of Darrell’s research over the past 4 decades, starting with equilibrium models of asset pricing in the 80’s, termstructure models in the 90’s and work on default correlation post the GFC. We spend most of our time on his recent research on the US Treasury market, that risk-free asset class that recently appears anything but. Darrell shares some conclusions from analysis of the melt-down of the bond market in March of 2020 and the policy implications