Details about David Murphy
Access statistics for papers by David Murphy.
Last updated 2020-01-15. Update your information in the RePEc Author Service.
Short-id: pmu590
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Journal Articles
Working Papers
2017
- Borderline: judging the adequacy of return distribution estimation techniques in initial margin models
Bank of England working papers, Bank of England
2016
- A comparative analysis of tools to limit the procyclicality of initial margin requirements
Bank of England working papers, Bank of England
View citations (9)
- Got to be certain: The legal framework for CCP default management processes
Bank of England Financial Stability Papers, Bank of England
View citations (2)
2015
- Filtered historical simulation Value-at-Risk models and their competitors
Bank of England working papers, Bank of England
View citations (5)
2014
- 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)
- 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
- 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 (16)
2012
- Maintaining Confidence
FMG Special Papers, Financial Markets Group
View citations (3)
Journal Articles
2009
- The causes of the credit crunch: a backwards look?
Quantitative Finance, 2009, 9, (7), 775-790
View citations (1)
2008
- A preliminary enquiry into the causes of the Credit Crunch
Quantitative Finance, 2008, 8, (5), 435-451
View citations (3)