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A CBA of APC : analysing approaches to procyclicality reduction in CCP initial margin models

Murphy, David; Vause, Nicholas - 2021

Persistent link: https://www.econbiz.de/10012795359

A cost-benefit analysis of anti-procyclicality : analyzing approaches to procyclicality reduction in central counterparty initial margin models

Murphy, David; Vause, Nicholas - In: The journal of financial market infrastructures 9 (2021) 4, pp. 27-50

Persistent link: https://www.econbiz.de/10013269989

I've got you under my skin : large central counterparty financial resources and the incentives they create

Murphy, David - In: The journal of financial market infrastructures 5 (2017) 3, pp. 57-74

Persistent link: https://www.econbiz.de/10011673772

Too much, too young : improving the client clearing mandate

Murphy, David - In: The journal of financial market infrastructures 8 (2020) 3, pp. 29-50

Persistent link: https://www.econbiz.de/10012662423

What can we expect from a good margin model? : observations from whole-distribution tests of risk-based initial margin models

Murphy, David - In: The journal of risk model validation 17 (2023) 2, pp. 59-81

Persistent link: https://www.econbiz.de/10014485769

Sell-side analysts’ career concerns during banking stresses

Nolte, Ingmar; Nolte, Sandra; Vasios, Michalis - In: Journal of Banking & Finance 49 (2014) C, pp. 424-441

We propose a new approach to examine sell-side analysts’ career concerns by relating their forecast boldness to their employers’ news flows. Specifically, we use banking sector news to proxy for the severity of career concerns. Analysts follow more closely the consensus forecast when the...

Persistent link: https://www.econbiz.de/10011118099

Centralized trading, transparency, and interest rate swap market liquidity : evidence from the implementation of the Dodd-Frank Act

Benos, Evangelos; Payne, Richard; Vasios, Michalis - In: Journal of financial and quantitative analysis : JFQA 55 (2020) 1, pp. 159-192

Persistent link: https://www.econbiz.de/10012195554

OTC premia

Cenedese, Gino; Ranaldo, Angelo; Vasios, Michalis - In: Journal of financial economics 136 (2020) 1, pp. 86-105

Persistent link: https://www.econbiz.de/10012545370

Weighted least squares realized covariation estimation

Li, Yifan; Nolte, Ingmar; Vasios, Michalis; Voev, Valeri; … - In: Journal of banking & finance 137 (2022), pp. 1-21

Persistent link: https://www.econbiz.de/10013460187

OTC Microstructure in a period of stress : a Multi-layered network approach

Joseph, Andreas; Vasios, Michalis - In: Journal of banking & finance 138 (2022), pp. 1-16

Persistent link: https://www.econbiz.de/10013461904