Joseph Noss

Bank of England

Threadneedle Street

London, EC2R 8AH

United Kingdom

SCHOLARLY PAPERS

16

DOWNLOADS
Rank 28,167

SSRN RANKINGS

Top 28,167

in Total Papers Downloads

1,988

SSRN CITATIONS
Rank 19,360

SSRN RANKINGS

Top 19,360

in Total Papers Citations

23

CROSSREF CITATIONS

29

Scholarly Papers (16)

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 451 (74,497)

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 373 (93,340)
Citation 13

Abstract:

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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 354 (98,831)
Citation 7

Abstract:

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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 162 (213,064)
Citation 4

Abstract:

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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 107 (293,345)
Citation 15

Abstract:

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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
Bank of England, Bank of England, University of Cambridge - Faculty of Economics, University of Cambridge and Bank of England
Downloads 98 (310,982)
Citation 3

Abstract:

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Flash Crash, Foreign Exchange Market, Liquidity, Price Impact

7.

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
Bank of England, Bank of England, Bank of England and Bank of England
Downloads 78 (357,973)
Citation 4

Abstract:

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

8.

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 67 (389,396)
Citation 1

Abstract:

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9.

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 60 (411,747)

Abstract:

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Collateral, securities financing transactions, derivatives, regulation, liquidity

10.

The Cross-Sectional Spillovers of Single Stock Circuit Breakers

Bank of England Working Paper No. 759
Number of pages: 35 Posted: 11 Dec 2018
University of Melbourne - Department of Finance, University of Cambridge, Bank of England and Bank of England
Downloads 53 (436,599)
Citation 5

Abstract:

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Circuit breakers, market microstructure, market quality

11.

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 44 (472,026)
Citation 2

Abstract:

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

12.

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
Bank of England, Bank of England, Bank of England and Bank of England
Downloads 42 (480,699)

Abstract:

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

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 35 (512,941)

Abstract:

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14.

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 35 (512,941)

Abstract:

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Structured credit instruments, systemic risk, asset prices

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 29 (544,328)

Abstract:

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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
Bank of England, Bank of England, Bank of England and Bank of England

Abstract:

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