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

Working Papers

2017

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

2016

2. A comparative analysis of tools to limit the procyclicality of initial margin requirements
   Bank of England working papers, Bank of England View citations (8)
3. Got to be certain: The legal framework for CCP default management processes
   Bank of England Financial Stability Papers, Bank of England View citations (1)

2015

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

2014

5. 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)
6. 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
7. 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

8. Maintaining Confidence
   FMG Special Papers, Financial Markets Group View citations (3)

Journal Articles

2009

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

2008

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