Bank of England
David Murphy is the senior advisor in the Prudential Policy Directorate at the Bank of England where he focusses on derivatives, clearing and quantitative risk management issues. He is the author of numerous articles on risk management, OTC derivatives and market infrastructure. His most recent book, OTC Derivatives: Bilateral Trading and Central Clearing appeared from Palgrave Macmillan in 2013, and the FSB Derivatives Assessment Team, which he co-chaired, reported in late 2018.
His prior roles include Global Head of Risk at ISDA, where he was responsible for all of ISDA’s activities relating to capital, risk management and accounting standards as well as leading ISDA’s research effort.
Before that, Dr. Murphy was the Chief Operating Officer at Merrill Lynch’s Reinsurance Group, and he has had held a number of other senior risk management roles in leading financial institutions.
We present new evidence of the distribution of risk in client portfolios and use this to motivate clearing policy improvements.
In this paper, the authors develop a conceptual framework to examine whether the regulatory changes since the Pittsburgh Summit could be a catalyst for reconsidering the structure of clearing houses.
FMIC 2 special issue introduction: a policy view on developments in the field of financial market infrastructures
This introductory article positions these papers and speeches within the context of the wider conference proceedings of the Financial Market Infrastructure Conference II: New Thinking in a New Era, including insights from the panel sessions and…
This paper presents a new approach to parameter selection based on the statistical properties of the worst loss over a margin period of risk estimated by the margin model under scrutiny.
In this paper, the authors introduce the principal policy issues affecting CCPs and collateral and then use these disclosures to contextualize some stylized facts that may aid in understanding and addressing the policy issues.
Central counterparties in crisis: International Commodities Clearing House, New Zealand Futures and Options Exchange and the Stephen Francis Affair
This paper highlights the vulnerability of CCPs to large concentrated positions that may be difficult or impossible to close out.