David Murphy : Citation Profile

Are you David Murphy?

Bank of England

4

H index

3

i10 index

80

Citations

RESEARCH PRODUCTION:

4

Articles

9

Papers

RESEARCH ACTIVITY:

   15 years (2008 - 2023). See details.
   Cites by year: 5
   Journals where David Murphy has often published
   Relations with other researchers
   Recent citing documents: 8.    Total self citations: 4 (4.76 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pmu590
   Updated: 2024-12-03    RAS profile: 2023-07-08    
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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:

Garratt, Rodney (3)

Heider, Florian (3)

Hoerova, Marie (3)

Cenedese, Gino (3)

Vasios, Michalis (3)

Ranaldo, Angelo (3)

Albanese, Claudio (2)

Prono, Todd (2)

Nesmith, Travis (2)

Hallin, Marc (2)

Dömötör, Barbara (2)

Cites to:

Vause, Nicholas (5)

Vasios, Michalis (4)

Pedersen, Lasse (2)

Danielsson, Jon (2)

Brunnermeier, Markus (2)

Kupiec, Paul (2)

Schuermann, Til (2)

Zhu, Haoxiang (2)

Ashcraft, Adam (2)

Mayhew, Stewart (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 (2024 and 2023)

YearTitle of citing document
2023A closed form model-free approximation for the Initial Margin of option portfolios. (2023). Mingone, Arianna ; Martini, Claude. In: Papers. RePEc:arx:papers:2306.16346.

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2023Counter-cyclical Margins for Option Portfolios. (2023). Li, Duan ; Wu, QI ; Chen, Yuanyuan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002755.

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2024Procyclical 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.

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2023Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach. (2023). Trucíos, Carlos ; Hallin, Marc ; Trucios, Carlos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:1-15.

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2023Collateral competition: Evidence from central counterparties. (2023). Tompaidis, Stathis ; Pancost, Aaron N ; Grothe, Magdalena. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:3:p:536-556.

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2023.

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2023Forecasting negative yield?curve distributions. (2021). Rakotondratsimba, Yves ; Lebreton, Victor ; Jun, Jaeyun. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:3:p:367-386.

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Works by David Murphy:

YearTitleTypeCited
In: .
[Full Text][Citation analysis]		article0
2015Filtered historical simulation Value-at-Risk models and their competitors In: Bank of England working papers.
[Full Text][Citation analysis]		paper15
2016A comparative analysis of tools to limit the procyclicality of initial margin requirements In: Bank of England working papers.
[Full Text][Citation analysis]		paper17
2017Borderline: judging the adequacy of return distribution estimation techniques in initial margin models In: Bank of England working papers.
[Full Text][Citation analysis]		paper0
2021A CBA of APC: analysing approaches to procyclicality reduction in CCP initial margin models In: Bank of England working papers.
[Full Text][Citation analysis]		paper3
2014Financial 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]		paper28
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]		paper9
2016Got to be certain: The legal framework for CCP default management processes In: Bank of England Financial Stability Papers.
[Full Text][Citation analysis]		paper3
2023Optimal Bidder Selection in Clearing House Default Auctions In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper0
2014Design Choices in Central Clearing: Issues Facing Small Advanced Economies In: Reserve Bank of New Zealand Analytical Notes series.
[Full Text][Citation analysis]		paper1
2019Improving resolvability: partial property transfers and central counterparties In: Capital Markets Law Journal.
[Full Text][Citation analysis]		article0
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

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team