4
H index
3
i10 index
84
Citations
David Murphy : Citation Profile
Bank of England | RESEARCH PRODUCTION: 16 Articles 12 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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17 years (2008 - 2025). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with David Murphy. | Is cited by:
| Cites to:
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Main data
Where David Murphy has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Financial Market Infrastructures | 9 |
| Capital Markets Law Journal | 3 |
| Quantitative Finance | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Bank of England working papers / Bank of England | 4 |
| Bank of England Financial Stability Papers / Bank of England | 3 |
Recent works citing David Murphy (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2024 | Procyclical variation margins in central clearing. (2024). Suh, Sangwon ; Jin, Yangkyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001626. Full description at Econpapers || Download paper |
| 2024 | Worst-case higher moment risk measure: Addressing distributional shifts and procyclicality. (2024). Quiceno, Nancy ; Gomez, Fabio ; Castro-Iragorri, Carlos. In: Finance Research Letters. RePEc:eee:finlet:v:65:y:2024:i:c:s154461232400610x. Full description at Econpapers || Download paper |
| 2024 | Dynamic margin optimization. (2024). Dömötör, Barbara ; Berlinger, Edina ; Dmtr, Barbara ; Bihary, Zsolt. In: Finance Research Letters. RePEc:eee:finlet:v:68:y:2024:i:c:s1544612324010298. Full description at Econpapers || Download paper |
| 2025 | The Impact of CCP Liquidity Demands on Clearing Members Under Stress. (2025). Heilbron, John ; Tompaidis, Stathis. In: Working Papers. RePEc:ofr:wpaper:25-03. Full description at Econpapers || Download paper |
Works by David Murphy:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2012 | The systemic risks of OTC derivatives central clearing In: Journal of Risk Management in Financial Institutions. [Full Text][Citation analysis] | article | 0 |
| 2015 | Filtered historical simulation Value-at-Risk models and their competitors In: Bank of England working papers. [Full Text][Citation analysis] | paper | 15 |
| 2016 | A comparative analysis of tools to limit the procyclicality of initial margin requirements In: Bank of England working papers. [Citation analysis] | paper | 18 |
| 2017 | Borderline: judging the adequacy of return distribution estimation techniques in initial margin models In: Bank of England working papers. [Citation analysis] | paper | 0 |
| 2021 | A CBA of APC: analysing approaches to procyclicality reduction in CCP initial margin models In: Bank of England working papers. [Full Text][Citation analysis] | paper | 3 |
| 2014 | Financial Stability Paper No 29: An investigation into the procyclicality of risk-based initial margin models In: Bank of England Financial Stability Papers. [Full Text][Citation analysis] | paper | 29 |
| 2014 | Financial Stability Paper 30: Dear Prudence, won’t you come out to play? Approaches to the analysis of CCP default fund adequacy In: Bank of England Financial Stability Papers. [Full Text][Citation analysis] | paper | 9 |
| 2016 | Got to be certain: The legal framework for CCP default management processes In: Bank of England Financial Stability Papers. [Full Text][Citation analysis] | paper | 3 |
| 2023 | What can we expect from a good margin model? Observations from whole-distribution tests of risk-based initial margin models In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 0 |
| What can we expect from a good margin model? Observations from whole-distribution tests of risk-based initial margin models.() In: Journal of Risk Model Validation. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | ||
| 2025 | Extra-territorial regulatory action in the financial markets: does the EU third country central counterparty regime go too far? In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 0 |
| 2025 | Extra-Territorial Regulatory Action in the Financial Markets: Does the EU Third-Country Central Counterparty Regime Go Too Far?.(2025) In: Capital Markets Law Journal. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2024 | Optimal Bidder Selection in Clearing House Default Auctions In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 0 |
| In: . [Full Text][Citation analysis] | paper | 2 | |
| 2014 | Design Choices in Central Clearing: Issues Facing Small Advanced Economies In: Reserve Bank of New Zealand Analytical Notes series. [Full Text][Citation analysis] | paper | 1 |
| 2019 | Improving resolvability: partial property transfers and central counterparties In: Capital Markets Law Journal. [Full Text][Citation analysis] | article | 0 |
| 2024 | Dislocations in derivatives markets: The causes and consequences of disorderly futures markets in the light of recent episodes in nickel and crude oil In: Capital Markets Law Journal. [Full Text][Citation analysis] | article | 0 |
| Identifying historical episodes for central counterparty stress testing In: Journal of Financial Market Infrastructures. [Full Text][Citation analysis] | article | 0 | |
| Central counterparties in crisis: International Commodities Clearing House, New Zealand Futures and Options Exchange and the Stephen Francis Affair In: Journal of Financial Market Infrastructures. [Full Text][Citation analysis] | article | 0 | |
| I want security: stylized facts about central counterparty collateral and its systemic context In: Journal of Financial Market Infrastructures. [Full Text][Citation analysis] | article | 0 | |
| I€™ve got you under my skin: large central counterparty financial resources and the incentives they create In: Journal of Financial Market Infrastructures. [Full Text][Citation analysis] | article | 0 | |
| Initial margin model sensitivity analysis and volatility estimation In: Journal of Financial Market Infrastructures. [Full Text][Citation analysis] | article | 0 | |
| FMIC 2 special issue introduction: a policy view on developments in the field of financial market infrastructures In: Journal of Financial Market Infrastructures. [Full Text][Citation analysis] | article | 0 | |
| Who pays? Who gains? Central counterparty resource provision in the post-Pittsburgh world In: Journal of Financial Market Infrastructures. [Full Text][Citation analysis] | article | 0 | |
| Too much, too young: improving the client clearing mandate In: Journal of Financial Market Infrastructures. [Full Text][Citation analysis] | article | 0 | |
| A cost€“benefit analysis of anti-procyclicality: analyzing approaches to procyclicality reduction in central counterparty initial margin models In: Journal of Financial Market Infrastructures. [Full Text][Citation analysis] | article | 0 | |
| 2008 | A preliminary enquiry into the causes of the Credit Crunch In: Quantitative Finance. [Full Text][Citation analysis] | article | 3 |
| 2009 | The causes of the credit crunch: a backwards look? In: Quantitative Finance. [Full Text][Citation analysis] | article | 1 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 20 2025. Contact: CitEc Team