David Murphy : Citation Profile


Are you David Murphy?

Bank of England

3

H index

1

i10 index

29

Citations

RESEARCH PRODUCTION:

2

Articles

8

Papers

RESEARCH ACTIVITY:

   9 years (2008 - 2017). See details.
   Cites by year: 3
   Journals where David Murphy has often published
   Relations with other researchers
   Recent citing documents: 11.    Total self citations: 2 (6.45 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pmu590
   Updated: 2019-11-16    RAS profile: 2018-11-29    
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Relations with other researchers


Works with:

Vasios, Michalis (2)

Vause, Nicholas (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with David Murphy.

Is cited by:

McEvoy, David (3)

Alexander, Carol (2)

Garratt, Rodney (2)

Cherry, Todd (2)

McKee, Michael (1)

Webber, Lewis (1)

Alves, Paulo (1)

Gambacorta, Leonardo (1)

Zimmerman, Peter (1)

Karimalis, Emmanouil (1)

Jones, Michael (1)

Cites to:

Vause, Nicholas (3)

Brunnermeier, Markus (3)

Ashcraft, Adam (2)

Christoffersen, Peter (2)

Duffie, Darrell (2)

Schuermann, Til (2)

Vasios, Michalis (2)

Mayhew, Stewart (2)

Pedersen, Lasse (2)

Shastri, Kuldeep (2)

Sarin, Atulya (2)

Main data


Where David Murphy has published?


Journals with more than one article published# docs
Quantitative Finance2

Recent works citing David Murphy (2018 and 2017)


YearTitle of citing document
2019Simulation-based Value-at-Risk for Nonlinear Portfolios. (2019). Wong, Hoi Ying ; Sit, Tony ; Chen, Junyao. In: Papers. RePEc:arx:papers:1904.09088.

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2017Who Pays? CCP Resource Provision in the Post-Pittsburgh World. (2017). Cruz Lopez, Jorge ; Manning, Mark. In: Discussion Papers. RePEc:bca:bocadp:17-17.

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2018Analysis of Asymmetric GARCH Volatility Models with Applications to Margin Measurement. (2018). SHEN, XIANGJIN ; Goldman, Elena. In: Staff Working Papers. RePEc:bca:bocawp:18-21.

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2017Multi yield curve stress-testing framework incorporating temporal and cross tenor structural dependencies. (2017). Karimalis, Emmanouil ; Peters, Gareth ; Kosmidis, Ioannis . In: Bank of England working papers. RePEc:boe:boeewp:0655.

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2017On collateral: implications for financial stability and monetary policy. (2017). Hoerova, Marie ; Heider, Florian ; Corradin, Stefano. In: Working Paper Series. RePEc:ecb:ecbwps:20172107.

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2019A parsimonious parametric model for generating margin requirements for futures. (2019). Alexander, Carol ; Sumawong, Anannit ; Kaeck, Andreas. In: European Journal of Operational Research. RePEc:eee:ejores:v:273:y:2019:i:1:p:31-43.

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2019Margin requirements and systemic liquidity risk. (2019). Bakoush, Mohamed ; Wolfe, Simon ; Gerding, Enrico H. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:78-95.

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2018Elszámolóházak alapbiztosítéki követelményeinek számítási módszertana. (2018). Varadi, Kata ; Ladoniczki, Sara Kata. In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences). RePEc:ksa:szemle:1787.

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2017Persistence and Procyclicality in Margin Requirements. (2017). Wu, QI ; Glasserman, Paul. In: Working Papers. RePEc:ofr:wpaper:17-01.

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2018Cash holdings are increasing and financial crisis strenghts it.. (2018). Alves, Paulo ; Morais, Francisco. In: MPRA Paper. RePEc:pra:mprapa:83799.

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2018Does a central clearing counterparty reduce liquidity needs?. (2018). Hayakawa, Hitoshi. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:13:y:2018:i:1:d:10.1007_s11403-017-0208-1.

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Works by David Murphy:


YearTitleTypeCited
2015Filtered historical simulation Value-at-Risk models and their competitors In: Bank of England working papers.
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paper1
2016A comparative analysis of tools to limit the procyclicality of initial margin requirements In: Bank of England working papers.
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paper6
2017Borderline: judging the adequacy of return distribution estimation techniques in initial margin models In: Bank of England working papers.
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paper0
2014Financial Stability Paper No 29: An investigation into the procyclicality of risk-based initial margin models In: Bank of England Financial Stability Papers.
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paper12
2014Financial 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]
paper0
2016Got to be certain: The legal framework for CCP default management processes In: Bank of England Financial Stability Papers.
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paper1
2012Maintaining Confidence In: FMG Special Papers.
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paper4
2014Design Choices in Central Clearing: Issues Facing Small Advanced Economies In: Reserve Bank of New Zealand Analytical Notes series.
[Full Text][Citation analysis]
paper1
2008A preliminary enquiry into the causes of the Credit Crunch In: Quantitative Finance.
[Full Text][Citation analysis]
article3
2009The causes of the credit crunch: a backwards look? In: Quantitative Finance.
[Full Text][Citation analysis]
article1

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