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Nicholas Vause

Personal Details

First Name:Nicholas
Middle Name:Simon
Last Name:Vause
Suffix:
RePEc Short-ID:pva728
[This author has chosen not to make the email address public]
Terminal Degree:1997 (from RePEc Genealogy)

Affiliation

Bank of England

London, United Kingdom
http://www.bankofengland.co.uk/
RePEc:edi:boegvuk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Simon Jurkatis & Andreas Schrimpf & Karamfil Todorov & Nicholas Vause, 2023. "Relationship discounts incorporate bond trading," BIS Working Papers 1140, Bank for International Settlements.
  2. Kalsi, Harkeerit & Vause, Nicholas & Wegner, Nora, 2023. "Self-fulfilling fire sales and market backstops," Bank of England working papers 1020, Bank of England.
  3. Baranova, Yuliya & Holbrook, Eleanor & MacDonald, David & Rawstorne, William & Vause, Nicholas & Waddington, Georgia, 2023. "The potential impact of broader central clearing on dealer balance sheet capacity: a case study of UK gilt and gilt repo markets," Bank of England working papers 1026, Bank of England.
  4. Giovanni di Iasio & Spyridon Alogoskoufis & Simon Kordel & Dominika Kryczka & Giulio Nicoletti & Nicholas Vause, 2022. "A model of system-wide stress simulation: market-based finance and the Covid-19 event," Questioni di Economia e Finanza (Occasional Papers) 687, Bank of Italy, Economic Research and International Relations Area.
  5. Murphy, David & Vause, Nicholas, 2021. "A CBA of APC: analysing approaches to procyclicality reduction in CCP initial margin models," Bank of England working papers 950, Bank of England.
  6. Bardoscia, Marco & Ferrara, Gerardo & Vause, Nicholas & Yoganayagam, Michael, 2019. "Simulating liquidity stress in the derivatives market," Bank of England working papers 838, Bank of England.
  7. O'Neill, Cian & Vause, Nicholas, 2018. "Macroprudential margins: a new countercyclical tool?," Bank of England working papers 765, Bank of England.
  8. Breedon, Francis & Chen, Louisa & Ranaldo, Angelo & Vause, Nicholas, 2018. "Judgement Day: algorithmic trading around the Swiss franc cap removal," Bank of England working papers 711, Bank of England.
  9. Douglas, Graeme & Noss, Joseph & Vause, Nicholas, 2017. "The impact of Solvency II regulations on life insurers’ investment behaviour," Bank of England working papers 664, Bank of England.
  10. Ali, Robleh & Vause, Nicholas & Zikes, Filip, 2016. "Systemic risk in derivatives markets: a pilot study using CDS data," Bank of England Financial Stability Papers 38, Bank of England.
  11. Murphy, David & Vasios, Michalis & Vause, Nicholas, 2016. "A comparative analysis of tools to limit the procyclicality of initial margin requirements," Bank of England working papers 597, Bank of England.
  12. Murphy, David & Vasios, Michalis & Vause, Nick, 2014. "Financial Stability Paper No 29: An investigation into the procyclicality of risk-based initial margin models," Bank of England Financial Stability Papers 29, Bank of England.
  13. Daniel Heller & Nicholas Vause, 2012. "Collateral requirements for mandatory central clearing of over-the-counter derivatives," BIS Working Papers 373, Bank for International Settlements.
  14. Prasanna Gai & Peter Kondor & Nicholas Vause, 2006. "Procyclicality, collateral values and financial stability," Bank of England working papers 304, Bank of England.
  15. Prasanna Gai & Nicholas Vause, 2005. "Measuring investors' risk appetite," Bank of England working papers 283, Bank of England.
  16. Prasanna Gai & Nicholas Vause, 2003. "Sovereign debt workouts with the IMF as delegated monitor - a common agency approach," Bank of England working papers 187, Bank of England.

Articles

  1. Breedon, Francis & Chen, Louisa & Ranaldo, Angelo & Vause, Nicholas, 2023. "Judgment day: Algorithmic trading around the Swiss franc cap removal," Journal of International Economics, Elsevier, vol. 140(C).
  2. Bardoscia, Marco & Ferrara, Gerardo & Vause, Nicholas & Yoganayagam, Michael, 2021. "Simulating liquidity stress in the derivatives market," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
  3. Nicholas Vause, 2011. "Enhanced BIS statistics on credit risk transfer," BIS Quarterly Review, Bank for International Settlements, December.
  4. Daniel Heller & Nicholas Vause, 2011. "Expansion of central clearing," BIS Quarterly Review, Bank for International Settlements, June.
  5. Nicholas Vause, 2010. "Counterparty risk and contract volumes in the credit default swap market," BIS Quarterly Review, Bank for International Settlements, December.
  6. Prasanna Gai & Nicholas Vause, 2006. "Measuring Investors' Risk Appetite," International Journal of Central Banking, International Journal of Central Banking, vol. 2(1), March.

Chapters

  1. Nigel Jenkinson & Adrian Penalver & Nicholas Vause, 2008. "Financial Innovation: What Have We Learnt?," RBA Annual Conference Volume (Discontinued), in: Paul Bloxham & Christopher Kent (ed.),Lessons from the Financial Turmoil of 2007 and 2008, Reserve Bank of Australia.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 19 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (10) 2003-06-25 2006-09-30 2006-11-25 2012-06-25 2016-03-06 2016-05-08 2017-07-16 2021-12-20 2022-05-30 2022-07-25. Author is listed
  2. NEP-BAN: Banking (8) 2012-06-25 2016-03-06 2016-05-08 2018-12-03 2022-05-30 2022-07-25 2023-07-24 2023-07-24. Author is listed
  3. NEP-MST: Market Microstructure (6) 2018-02-26 2018-05-21 2019-12-02 2023-07-24 2023-12-11 2024-02-19. Author is listed
  4. NEP-FMK: Financial Markets (4) 2006-09-30 2006-09-30 2022-07-25 2024-02-19
  5. NEP-CBA: Central Banking (3) 2022-07-25 2023-07-24 2023-07-24
  6. NEP-CMP: Computational Economics (2) 2016-05-08 2021-12-20
  7. NEP-EEC: European Economics (2) 2022-05-30 2022-07-25
  8. NEP-EUR: Microeconomic European Issues (2) 2017-07-16 2018-05-21
  9. NEP-MAC: Macroeconomics (2) 2003-06-25 2006-09-30
  10. NEP-UPT: Utility Models and Prospect Theory (2) 2006-09-30 2006-11-25
  11. NEP-ACC: Accounting and Auditing (1) 2023-07-24
  12. NEP-DGE: Dynamic General Equilibrium (1) 2006-09-30
  13. NEP-ENT: Entrepreneurship (1) 2006-09-30
  14. NEP-LAM: Central and South America (1) 2003-06-25
  15. NEP-ORE: Operations Research (1) 2021-12-20
  16. NEP-PKE: Post Keynesian Economics (1) 2016-05-08

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