David Murphy

London School of Economics - Law School

Houghton Street

London WC2A 2AE, WC2A 2AE

United Kingdom

Bank of England

Threadneedle Street

London, EC2R 8AH

United Kingdom

SCHOLARLY PAPERS

16

DOWNLOADS

1,908

SSRN CITATIONS

13

CROSSREF CITATIONS

25

Ideas:
“  My latest book, Derivatives Regulation: Rules and Reasoning from Lehman to Covid, will appear from OUP in 2022.  ”

Scholarly Papers (16)

1.

Filtered Historical Simulation Value-at-Risk Models and Their Competitors

Bank of England Working Paper No. 525
Number of pages: 33 Posted: 08 Mar 2015
Pedro Gurrola-Perez and David Murphy
World Federation of Exchanges and London School of Economics - Law School
Downloads 492 (83,339)
Citation 6

Abstract:

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Value-at-Risk, filtered historical simulation, conditional volatility, volatility scaling, risk model backtesting

2.

Our Lessons have Returned: Insights into Post-Crisis Financial Regulation from Mandatory OTC Derivatives Clearing Policy

LSE Legal Studies Working Paper No. 6/2020
Number of pages: 21 Posted: 23 Apr 2020
David Murphy
London School of Economics - Law School
Downloads 294 (148,041)
Citation 1

Abstract:

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Financial Regulation, Mandatory Clearing, OTC derivatives, Regulatory Review, Regulatory Theory

3.

An Investigation into the Procyclicality of Risk-Based Initial Margin Models

Bank of England Financial Stability Paper No. 29
Number of pages: 19 Posted: 17 May 2014
David Murphy, Michalis Vasios and Nicholas Vause
London School of Economics - Law School, European Securities and Markets Authority and Bank of England
Downloads 284 (153,364)
Citation 28

Abstract:

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4.

What Kind of Thing is a Central Counterparty? The Role of Clearing Houses as a Source of Policy Controversy

Forthcoming in Zebregs, B., de Serière, V., Pearson, P., and Stegeman, R. (eds), Clearing OTC Derivatives in Europe (Oxford University Press), LSE Legal Studies Working Paper No. 08/2022
Number of pages: 35 Posted: 08 Apr 2022 Last Revised: 09 Apr 2022
Rebecca Lewis and David Murphy
Yale University - Law School and London School of Economics - Law School
Downloads 275 (158,409)

Abstract:

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CCP, CCP Goverance, CCP Loss Allocation, Central Clearing, Skin in the game, Stakeholder governance

5.

Take On Me: OTC Derivatives Client Clearing in the European Union

LSE Legal Studies Working Paper No. 07/2020
Number of pages: 21 Posted: 24 Jul 2020
Joanne P. Braithwaite and David Murphy
London School of Economics - Law School and London School of Economics - Law School
Downloads 181 (234,591)
Citation 1

Abstract:

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CCP, central clearing, clearing mandate, client clearing, FRANDT, OTC derivatives

6.

A Comparative Analysis of Tools to Limit the Procyclicality of Initial Margin Requirements

Bank of England Working Paper No. 597
Number of pages: 24 Posted: 30 Apr 2016 Last Revised: 13 May 2020
David Murphy, Michalis Vasios and Nicholas Vause
London School of Economics - Law School, European Securities and Markets Authority and Bank of England
Downloads 175 (241,440)
Citation 15

Abstract:

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Central counterparty, central clearing, initial margin, margin models, OTC derivatives, procyclicality

7.

Borderline: Judging the Adequacy of Return Distribution Estimation Techniques in Initial Margin Models

Bank of England Working Paper No. 673
Number of pages: 23 Posted: 06 Sep 2017
Melanie Houllier and David Murphy
The London Institute for Banking and Finance and London School of Economics - Law School
Downloads 58 (499,087)
Citation 1

Abstract:

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Conditional volatility, filtered volatility, GARCH(1,1), initial margin model, model backtesting, volatility estimation

A CBA of APC: Analysing Approaches to Procyclicality Reduction in CCP Initial Margin Models

Bank of England Working Paper No. 950
Number of pages: 23 Posted: 14 Dec 2021
David Murphy and Nicholas Vause
London School of Economics - Law School and Bank of England
Downloads 53 (533,471)

Abstract:

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Central counterparty, cost-benefit analysis, derivatives clearing, initial margin models, mandatory clearing, procyclicality

A CBA of APC: Analysing Approaches to Procyclicality Reduction in CCP Initial Margin Models

Bank of England Staff Working Paper No. 950, 2021 and to appear, Journal of Financial Market Infrastructures, 2022
Posted: 03 Feb 2022
David Murphy and Nicholas Vause
London School of Economics - Law School and Bank of England

Abstract:

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Central counterparty, cost-benefit analysis, derivatives clearing, initial margin models, mandatory clearing, procyclicality

9.

Saying How Versus Saying What – The Choice of Regulatory Style in Margin Policy

Butterworths Journal of International Banking and Financial Law 2022
Number of pages: 4 Posted: 16 Jun 2022
David Murphy
London School of Economics - Law School
Downloads 49 (537,771)

Abstract:

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Central clearing, margin procyclicality, anti-procyclicality tools, initial margin, regulatory style, derivatives regulation

10.

Maintaining Confidence

Number of pages: 17 Posted: 08 Jun 2020
David Murphy
London School of Economics - Law School
Downloads 16 (748,837)

Abstract:

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Liquidity risk, bank failure, capital regulation, solvency risk

11.

Design Choices in Central Clearing: Issues Facing Small Advanced Economies

Reserve Bank of New Zealand Analytical Note Series, 2014
Number of pages: 47 Posted: 08 Jun 2020
David Murphy and Edwin Budding
London School of Economics - Law School and affiliation not provided to SSRN
Downloads 15 (757,878)

Abstract:

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Central clearing, CCPs, clearing mandate

12.

A Note on the Impossibility of Correctly Calibrating the Current Exposure Method for Large OTC Derivatives Portfolios

Number of pages: 9 Posted: 08 Jun 2020
David Murphy
London School of Economics - Law School
Downloads 14 (767,271)

Abstract:

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Current exposure method, poitential future exposure, counterparty credit risk

13.

A Cost–Benefit Analysis of Anti-Procyclicality: Analyzing Approaches to Procyclicality Reduction in Central Counterparty Initial Margin Models

Journal of Financial Market Infrastructures, Vol. 9, No. 4, 2021
Number of pages: 24 Posted: 21 Jan 2022
David Murphy and Nicholas Vause
London School of Economics - Law School and Bank of England
Downloads 1 (913,180)
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Abstract:

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central counterparty (CCP), cost–benefit analysis (CBA), derivatives clearing, initial margin models, mandatory clearing, procyclicality

14.

Too Much, Too Young: Improving the Client Clearing Mandate

Journal of Financial Market Infrastructures, Vol. 8, No. 3, 2020
Number of pages: 22 Posted: 19 Jan 2021
David Murphy
London School of Economics - Law School
Downloads 1 (913,180)
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Abstract:

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central counterparty (CCP), central clearing, clearing mandate, client clearing, over the-counter (OTC) derivatives clearing, porting

15.

Dear Prudence, Won’t You Come Out to Play? Approaches to the Analysis of Central Counter Party Default Fund Adequacy

Bank of England Financial Stability Paper No. 30, 2014
Posted: 14 Nov 2020
David Murphy and Paul Nahai-Williamson
London School of Economics - Law School and Bank of England

Abstract:

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CCP, CCP Risk, Central Clearing, Central Counter Party, Cover 2

16.

Got to Be Certain: The Legal Framework for CCP Default Management Processes

Bank of England Financial Stability Paper No. 37, Jo Braithwaite and David Murphy, 2016
Posted: 14 Nov 2020
David Murphy and Joanne P. Braithwaite
London School of Economics - Law School and London School of Economics - Law School

Abstract:

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CCP, Central Counter Party, Central Clearing, Default Management, OTC Derivatives Clearing