London School of Economics and Political Science
David Murphy is a Visiting Professor in Practice in the Law School at the London School of Economics and Political Science. He specialises in derivatives, financial regulation, financial market infrastructure, and risk management and has published extensively on these topics. His latest book, Derivatives Regulation: Rules and Reasoning from Lehman to Covid appeared from Oxford University Press in 2022.
His prior roles include Senior Advisor in both the Prudential Policy and Financial Market Infrastructure Divisions at the Bank of England, Global Head of Risk at ISDA, and Chief Operating Officer at Merrill Lynch’s Reinsurance Group.
A cost–benefit analysis of anti-procyclicality: analyzing approaches to procyclicality reduction in central counterparty initial margin models
In this paper, the authors suggest how margin setters and policy makers might measure procyclicality and target particular levels of it by recalibrating parameters in a margin model to reduce its procyclicality or by applying an anti-procyclicality tool.
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.