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Details about David Murphy

Workplace:Bank of England, (more information at EDIRC)

Access statistics for papers by David Murphy.

Last updated 2023-07-08. Update your information in the RePEc Author Service.

Short-id: pmu590


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Working Papers

2023

  1. Optimal Bidder Selection in Clearing House Default Auctions
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads

2021

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

2017

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

2016

  1. A comparative analysis of tools to limit the procyclicality of initial margin requirements
    Bank of England working papers, Bank of England Downloads View citations (17)
  2. Got to be certain: The legal framework for CCP default management processes
    Bank of England Financial Stability Papers, Bank of England Downloads View citations (3)

2015

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

2014

  1. Design Choices in Central Clearing: Issues Facing Small Advanced Economies
    Reserve Bank of New Zealand Analytical Notes series, Reserve Bank of New Zealand Downloads View citations (1)
  2. 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 Downloads View citations (10)
  3. 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 Downloads View citations (31)

2012

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

Journal Articles

2019

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

2012

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

2009

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

2008

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