David Murphy

London School of Economics - Law Department

Houghton Street

London WC2A 2AE, WC2A 2AE

United Kingdom

Bank of England

Threadneedle Street

London, EC2R 8AH

United Kingdom

SCHOLARLY PAPERS

11

DOWNLOADS

987

SSRN CITATIONS

6

CROSSREF CITATIONS

24

Scholarly Papers (11)

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 Department
Downloads 313 (109,470)
Citation 5

Abstract:

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

2.

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 Department, Norges Bank Investment Management (NBIM) and Bank of England
Downloads 213 (161,457)
Citation 25

Abstract:

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3.

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 Department
Downloads 193 (177,115)

Abstract:

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

4.

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 Department, Norges Bank Investment Management (NBIM) and Bank of England
Downloads 135 (239,629)
Citation 14

Abstract:

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

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 Department and London School of Economics - Law Department
Downloads 72 (363,292)

Abstract:

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

6.

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 Department
Downloads 41 (470,564)

Abstract:

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

7.

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 Department
Downloads 8 (667,037)

Abstract:

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Current exposure method, poitential future exposure, counterparty credit risk

8.

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 Department and affiliation not provided to SSRN
Downloads 7 (674,319)

Abstract:

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Central clearing, CCPs, clearing mandate

9.

Maintaining Confidence

Number of pages: 17 Posted: 08 Jun 2020
David Murphy
London School of Economics - Law Department
Downloads 5 (689,086)

Abstract:

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Liquidity risk, bank failure, capital regulation, solvency risk

10.

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 Department and Bank of England

Abstract:

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

11.

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 Department and London School of Economics - Law Department

Abstract:

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