Details about David Murphy

Access statistics for papers by David Murphy.

Last updated 2025-04-07. Update your information in the RePEc Author Service.

Short-id: pmu590

Working Papers

2025

1. Extra-territorial regulatory action in the financial markets: does the EU third country central counterparty regime go too far?
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library
   See also Journal Article Extra-Territorial Regulatory Action in the Financial Markets: Does the EU Third-Country Central Counterparty Regime Go Too Far?, Capital Markets Law Journal, Oxford University Press (2025) (2025)

2023

2. Optimal Bidder Selection in Clearing House Default Auctions
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
3. What can we expect from a good margin model? Observations from whole-distribution tests of risk-based initial margin models
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library
   See also Journal Article What can we expect from a good margin model? Observations from whole-distribution tests of risk-based initial margin models, Journal of Risk Model Validation, Journal of Risk Model Validation

2021

4. A CBA of APC: analysing approaches to procyclicality reduction in CCP initial margin models
   Bank of England working papers, Bank of England View citations (3)

2017

5. Borderline: judging the adequacy of return distribution estimation techniques in initial margin models
   Bank of England working papers, Bank of England

2016

6. A comparative analysis of tools to limit the procyclicality of initial margin requirements
   Bank of England working papers, Bank of England View citations (19)
7. Got to be certain: The legal framework for CCP default management processes
   Bank of England Financial Stability Papers, Bank of England View citations (3)

2015

8. Filtered historical simulation Value-at-Risk models and their competitors
   Bank of England working papers, Bank of England View citations (16)

2014

9. Design Choices in Central Clearing: Issues Facing Small Advanced Economies
   Reserve Bank of New Zealand Analytical Notes series, Reserve Bank of New Zealand View citations (1)
10. Financial Stability Paper 30: Dear Prudence, won’t you come out to play? Approaches to the analysis of CCP default fund adequacy
    Bank of England Financial Stability Papers, Bank of England View citations (10)
11. Financial Stability Paper No 29: An investigation into the procyclicality of risk-based initial margin models
    Bank of England Financial Stability Papers, Bank of England View citations (31)

2012

12. Maintaining Confidence
    FMG Special Papers, Financial Markets Group View citations (1)

Journal Articles

2025

1. Extra-Territorial Regulatory Action in the Financial Markets: Does the EU Third-Country Central Counterparty Regime Go Too Far?
   Capital Markets Law Journal, 2025, 20, (1), 2
   See also Working Paper Extra-territorial regulatory action in the financial markets: does the EU third country central counterparty regime go too far?, LSE Research Online Documents on Economics (2025) (2025)

2024

2. Dislocations in derivatives markets: The causes and consequences of disorderly futures markets in the light of recent episodes in nickel and crude oil
   Capital Markets Law Journal, 2024, 19, (4), 315-329

2019

3. Improving resolvability: partial property transfers and central counterparties
   Capital Markets Law Journal, 2019, 14, (4), 431-450

2012

4. The systemic risks of OTC derivatives central clearing
   Journal of Risk Management in Financial Institutions, 2012, 5, (3), 319-334

2009

5. The causes of the credit crunch: a backwards look?
   Quantitative Finance, 2009, 9, (7), 775-790 View citations (1)

2008

6. A preliminary enquiry into the causes of the Credit Crunch
   Quantitative Finance, 2008, 8, (5), 435-451 View citations (3)

Undated

7. A cost–benefit analysis of anti-procyclicality: analyzing approaches to procyclicality reduction in central counterparty initial margin models
   Journal of Financial Market Infrastructures
8. Central counterparties in crisis: International Commodities Clearing House, New Zealand Futures and Options Exchange and the Stephen Francis Affair
   Journal of Financial Market Infrastructures
9. FMIC 2 special issue introduction: a policy view on developments in the field of financial market infrastructures
   Journal of Financial Market Infrastructures
10. I want security: stylized facts about central counterparty collateral and its systemic context
    Journal of Financial Market Infrastructures
11. Identifying historical episodes for central counterparty stress testing
    Journal of Financial Market Infrastructures
12. Initial margin model sensitivity analysis and volatility estimation
    Journal of Financial Market Infrastructures
13. I’ve got you under my skin: large central counterparty financial resources and the incentives they create
    Journal of Financial Market Infrastructures
14. Too much, too young: improving the client clearing mandate
    Journal of Financial Market Infrastructures
15. What can we expect from a good margin model? Observations from whole-distribution tests of risk-based initial margin models
    Journal of Risk Model Validation
    See also Working Paper What can we expect from a good margin model? Observations from whole-distribution tests of risk-based initial margin models, LSE Research Online Documents on Economics (2023) (2023)
16. Who pays? Who gains? Central counterparty resource provision in the post-Pittsburgh world
    Journal of Financial Market Infrastructures