Faculty and Executive Leadership Directory

Gregory Duffee

Associate Professor
Haas Finance Group
1-510-642-1435
Email: click on the envelope icon below for full email address
Academic Status: On leave
Office Hours:
Personal Homepage: http://faculty.haas.berkeley.edu/duffee
Academic Group Homepage: http://www.haas.berkeley.edu/finance/
Curriculum Vitae (in PDF format, Acrobat Reader required)

Education

BA, economics and mathematics, Macalester College
MA, economics, Harvard University
Ph.D., economics, Harvard University

Positions Held

At Haas since 1998
2005 - present Associate Professor, Haas School of Business
1999 - 2005 Assistant Professor, Haas School of Business
1998 - 1999 Visiting Lecturer, Haas School of Business
1994 - 1999 Senior Economist, Federal Reserve Board
1989 - 1994 Economist, Federal Reserve Board

Current Research and Interests

Term structure of interest rates
Stock return dynamics
Credit risk (theoretical and empirical)

Selected Papers and Publications

"Term structure estimation without using latent factors," Journal of Financial Economics 79, 2006, 507-536.
"Time-variation in the covariance between stock returns and consumption growth," Journal of Finance 60, 2005, 1673-1712.
"Term premia and interest rate forecasts in affine models," Journal of Finance 57, 2002, 405-443.
"Credit Derivatives in Banking: Useful Tools for Managing Risk?" Journal of Monetary Economics 48, 2001, 25-54.
"Estimating the Price of Default Risk," Review of Financial Studies 12, 1999, 197-226.
"The Relation Between Treasury Yields and Corporate Bond Yield Spreads," Journal of Finance 53, 1998, 2225-2241.

Teaching

MBA 203B, Introduction to Finance (Fall 2006)

Problems? Contact wwwhaas.berkeley.edu
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