Joseph Noss

Bank of England

Threadneedle Street

London, EC2R 8AH

United Kingdom

SCHOLARLY PAPERS

16

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SSRN CITATIONS
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12

CROSSREF CITATIONS

28

Scholarly Papers (16)

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1.

The Fractal Market Hypothesis and its Implications for the Stability of Financial Markets

Bank of England Financial Stability Paper No. 23
Number of pages: 22 Posted: 11 Oct 2013
Nicola Anderson and Joseph Noss
Bank of England and Bank of England
Downloads 380 (80,447)

Abstract:

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2.

Estimating Probability Distributions of Future Asset Prices: Empirical Transformations from Option-Implied Risk-Neutral to Real-World Density Functions

Bank of England Working Paper No. 455
Number of pages: 39 Posted: 26 Jun 2012
Rupert de Vincent-Humphreys and Joseph Noss
Bank of England and Bank of England
Downloads 331 (93,997)
Citation 11

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Asset prices, derivatives, expectations, options, option-implied density, risk premia, probability density forecasting, probability measure

3.

The Implicit Subsidy of Banks

Bank of England Financial Stability Paper No. 15
Number of pages: 15 Posted: 03 Jun 2012
Joseph Noss and Rhiannon Sowerbutts
Bank of England and Bank of England
Downloads 328 (94,916)
Citation 6

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4.

The Impact of Solvency II Regulations on Life Insurers' Investment Behaviour

Bank of England Working Paper No. 664
Number of pages: 30 Posted: 11 Jul 2017
Graeme Douglas, Joseph Noss and Nicholas Vause
Bank of England, Bank of England and Bank of England
Downloads 125 (234,353)
Citation 2

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Insurance, Procyclicality, Regulation, solvency II, Liquidity

5.

Estimating the Impact of Changes in Aggregate Bank Capital Requirements During an Upswing

Bank of England Working Paper No. 494
Number of pages: 42 Posted: 05 Apr 2014
Joseph Noss and Priscilla Toffano
Bank of England and International Monetary Fund (IMF)
Downloads 97 (280,299)
Citation 11

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Bank capital, bank lending, regulatory capital requirements, capital buffer, macroprudential policy

6.

The October 2016 Sterling Flash Episode: When Liquidity Disappeared from One of the World's Most Liquid Markets

Bank of England Working Paper No. 687
Number of pages: 30 Posted: 09 Nov 2017
Joseph Noss, Lucas Pedace, Ondrej Tobek, Oliver B. Linton and Liam Crowley-Reidy
Bank of England, Bank of England, University of Cambridge - Faculty of Economics, University of Cambridge and Bank of England
Downloads 81 (313,810)
Citation 2

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Flash Crash, Foreign Exchange Market, Liquidity, Price Impact

7.

Assessing the Adequacy of CCPs’ Default Resources

Bank of England Financial Stability Paper No. 26
Number of pages: 15 Posted: 05 Dec 2013
Fergus Cumming and Joseph Noss
Bank of England and Bank of England
Downloads 64 (357,642)
Citation 1

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8.

The Role of Collateral in Supporting Liquidity

Bank of England Working Paper No. 609
Number of pages: 21 Posted: 23 Aug 2016
Zijun Liu, Joseph Noss and Yuliya Baranova
Bank of England, Bank of England and Bank of England
Downloads 57 (378,881)

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Collateral, securities financing transactions, derivatives, regulation, liquidity

9.

Simulating Stress Across the Financial System: The Resilience of Corporate Bond Markets and the Role of Investment Funds

Bank of England Financial Stability Paper No. 42
Number of pages: 27 Posted: 06 Mar 2018
Yuliya Baranova, Jamie Coen, Joseph Noss and Pippa Lowe
Bank of England, Bank of England, Bank of England and Bank of England
Downloads 40 (439,678)
Citation 2

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stress simulation, corporate bonds, investment funds, dealers, market liquidity, systemic stress, amplification

10.

The Deeds of Speed: An Agent-Based Model of Market Liquidity and Flash Episodes

Bank of England Working Paper No. 743
Number of pages: 26 Posted: 31 Jul 2018
Geir-Are Karvik, Joseph Noss, Jack Worlidge and Daniel Beale
Bank of England, Bank of England, Bank of England and Bank of England
Downloads 37 (452,189)

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Agent-based modelling, high-frequency trading, financial stability, market liquidity, flash episodes, principal trading firms (PTFs)

11.

Extracting Information from Structured Credit Markets

Bank of England Working Paper No. 407
Number of pages: 38 Posted: 05 Dec 2010
Joseph Noss
Bank of England
Downloads 34 (465,229)

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Structured credit instruments, systemic risk, asset prices

12.

A Heterogeneous Agent Model for Assessing the Effects of Capital Regulation on the Interbank Money Market Under a Corridor System

Bank of England Working Paper No. 548
Number of pages: 30 Posted: 15 Sep 2015
Christopher Jackson and Joseph Noss
Bank of England and Bank of England
Downloads 32 (474,463)
Citation 2

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Monetary policy implementation, money markets, bank regulation, central bank

13.

Estimating Market Expectations of Changes in Bank Rate

Bank of England Quarterly Bulletin 2015 Q3
Number of pages: 10 Posted: 01 Oct 2015
David Elliott and Joseph Noss
Bank of England and Bank of England
Downloads 24 (516,733)

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14.

The Cross-Sectional Spillovers of Single Stock Circuit Breakers

Bank of England Working Paper No. 759
Number of pages: 35 Posted: 11 Dec 2018
James Brugler, Oliver B. Linton, Joseph Noss and Lucas Pedace
University of Melbourne - Department of Finance, University of Cambridge, Bank of England and Bank of England
Downloads 19 (546,708)
Citation 3

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Circuit breakers, market microstructure, market quality

15.

Decomposing Changes in the Functioning of the Sterling Repo Market

Bank of England Working Paper No. 797 (2019)
Number of pages: 26 Posted: 06 May 2019
Joseph Noss and Rupal Patel
Bank of England and Bank of England
Downloads 12 (590,681)

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repo market, capital regulation, leverage ratio, non-bank financial institutions

16.

The Resilience of Financial Market Liquidity

Bank of England Financial Stability Paper No. 34
Posted: 21 Jul 2018
Nicola Anderson, Lewis Webber, Joseph Noss and Liam Crowley-Reidy
Bank of England, Bank of England, Bank of England and Bank of England

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financial stability, market liquidity, market structure, market making, electronic trading, high-frequency trading