4
H index
3
i10 index
79
Citations
David Murphy : Citation Profile
Bank of England | RESEARCH PRODUCTION: 4 Articles 9 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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15 years (2008 - 2023). 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 |
|---|---|
| Quantitative Finance | 2 |
Recent works citing David Murphy (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | A closed form model-free approximation for the Initial Margin of option portfolios. (2023). Mingone, Arianna ; Martini, Claude. In: Papers. RePEc:arx:papers:2306.16346. Full description at Econpapers || Download paper |
| 2023 | Counter-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. Full description at Econpapers || Download paper |
| 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 |
| 2023 | Forecasting 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. Full description at Econpapers || Download paper |
| 2023 | Collateral 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. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
Works by David Murphy:
| Year | Title | Type | Cited |
|---|---|---|---|
| In: . [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. [Full Text][Citation analysis] | paper | 16 |
| 2017 | Borderline: judging the adequacy of return distribution estimation techniques in initial margin models In: Bank of England working papers. [Full Text][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 | 28 |
| 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 | Optimal Bidder Selection in Clearing House Default Auctions In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 0 |
| 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 |
| 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, 3 2024. Contact: CitEc Team