Michalis Vasios

European Securities and Markets Authority

103 Rue de Grenelle

Paris, 75007

France

SCHOLARLY PAPERS

12

DOWNLOADS

3,076

SSRN CITATIONS

56

CROSSREF CITATIONS

61

Scholarly Papers (12)

1.
Downloads 800 ( 39,411)
Citation 8

OTC Premia

Bank of England Working Paper No. 751
Number of pages: 50 Posted: 28 Aug 2018
Gino Cenedese, Angelo Ranaldo and Michalis Vasios
Fulcrum Asset Management, University of St. Gallen and European Securities and Markets Authority
Downloads 687 (47,732)

Abstract:

Loading...

Interest rate swaps, financial regulation, central clearing, over-the-counter market, valuation adjustments

OTC Premia

University of St.Gallen, School of Finance Research Paper No. 2018/18, Journal of Financial Economics
Number of pages: 57 Posted: 28 Aug 2018 Last Revised: 14 Jun 2019
Gino Cenedese, Angelo Ranaldo and Michalis Vasios
Fulcrum Asset Management, University of St. Gallen and European Securities and Markets Authority
Downloads 113 (308,286)
Citation 7

Abstract:

Loading...

interest rate swaps, financial regulation, central clearing, over-the-counter market, valuation adjustments

2.
Downloads 431 ( 86,534)
Citation 5

The Cost of Clearing Fragmentation

Number of pages: 40 Posted: 01 Jun 2019 Last Revised: 22 Apr 2021
Bank of England, Bank for International Settlements, Vrije Universiteit Amsterdam and European Securities and Markets Authority
Downloads 234 (166,260)
Citation 5

Abstract:

Loading...

central clearing, CCP basis, collateral, fragmentation

The Cost of Clearing Fragmentation

BIS Working Paper No. 826
Number of pages: 47 Posted: 13 Dec 2019
Bank of England, Bank for International Settlements, Vrije Universiteit Amsterdam and European Securities and Markets Authority
Downloads 197 (195,795)

Abstract:

Loading...

central clearing, CCP basis, collateral, fragmentation

3.

Centralized Trading, Transparency and Interest Rate Swap Market Liquidity: Evidence from the Implementation of the Dodd-Frank Act

Bank of England Working Paper No. 580
Number of pages: 49 Posted: 15 Jan 2016 Last Revised: 17 Jul 2017
Evangelos Benos, Richard Payne and Michalis Vasios
Bank of England, City University London - Sir John Cass Business School and European Securities and Markets Authority
Downloads 271 (144,291)
Citation 28

Abstract:

Loading...

Swap Execution Facilities, transparency, market liquidity

4.

An Investigation into the Procyclicality of Risk-Based Initial Margin Models

Bank of England Financial Stability Paper No. 29
Number of pages: 19 Posted: 17 May 2014
David Murphy, Michalis Vasios and Nicholas Vause
London School of Economics - Law Department, European Securities and Markets Authority and Bank of England
Downloads 246 (158,894)
Citation 28

Abstract:

Loading...

5.
Downloads 229 (170,223)
Citation 4

Identifying Contagion in a Banking Network

Bank of England Working Paper No. 642
Number of pages: 33 Posted: 24 Jan 2017
University of Oxford - Said Business School, European Securities and Markets Authority, University of Oxford - Said Business School and Board of Governors of the Federal Reserve System
Downloads 94 (349,207)
Citation 2

Abstract:

Loading...

contagion, counterparty risk, credit default swaps, networks

Identifying Contagion in a Banking Network

Number of pages: 37 Posted: 07 Sep 2017
University of Oxford - Said Business School, European Securities and Markets Authority, University of Oxford - Said Business School and Board of Governors of the Federal Reserve System
Downloads 75 (401,177)

Abstract:

Loading...

Contagion, Counterparty risk, Credit default swaps, Networks

Identifying Contagion in a Banking Network

Saïd Business School WP 2016-37
Number of pages: 37 Posted: 16 Jun 2017
University of Oxford - Said Business School, European Securities and Markets Authority, University of Oxford - Said Business School and Board of Governors of the Federal Reserve System
Downloads 60 (452,496)
Citation 3

Abstract:

Loading...

Contagion, Counterparty Risk, Credit Default Swaps, Networks

6.

Profiting from Mimicking Strategies in Non-Anonymous Markets

Number of pages: 44 Posted: 24 Apr 2011 Last Revised: 24 May 2013
Ingmar Nolte, Richard Payne and Michalis Vasios
Lancaster University - Department of Accounting and Finance, City University London - Sir John Cass Business School and European Securities and Markets Authority
Downloads 225 (173,159)

Abstract:

Loading...

Market Transparency, Asset Allocation, Broker Heterogeneity, Customer Order Flow

7.

A Least Squares Regression Realized Covariation Estimation

Number of pages: 87 Posted: 23 Jan 2013 Last Revised: 03 Oct 2019
Ingmar Nolte, Michalis Vasios, Valeri Voev and Qi Xu
Lancaster University - Department of Accounting and Finance, European Securities and Markets Authority, Aarhus University - CREATES and Zhejiang University - School of Economics and Academy of Financial Research
Downloads 197 (195,900)

Abstract:

Loading...

Market Microstructure Noise, Realized Volatility, Realized Covariation, High Frequency Data, Subsampling, Market Microstructure, Asset Allocation

8.

Regulatory Effects on Short-Term Interest Rates

Journal of Financial Economics (JFE), Vol. 141, No. 2, 2021, Bank of England Working Paper No. 801 (2019)
Number of pages: 45 Posted: 01 Jun 2019 Last Revised: 06 Jul 2021
Angelo Ranaldo, Patrick Schaffner and Michalis Vasios
University of St. Gallen, University of St. Gallen - School of Finance and European Securities and Markets Authority
Downloads 172 (220,778)
Citation 7

Abstract:

Loading...

Interest rates, repo, central clearing, financial infrastructure, leverage ratio, EMIR, regulatory effects, safe assets, collateral

9.

A Comparative Analysis of Tools to Limit the Procyclicality of Initial Margin Requirements

Bank of England Working Paper No. 597
Number of pages: 24 Posted: 30 Apr 2016 Last Revised: 13 May 2020
David Murphy, Michalis Vasios and Nicholas Vause
London School of Economics - Law Department, European Securities and Markets Authority and Bank of England
Downloads 155 (240,923)
Citation 15

Abstract:

Loading...

Central counterparty, central clearing, initial margin, margin models, OTC derivatives, procyclicality

10.

OTC Microstructure in a Period of Stress: A Multi‑Layered Network Approach

Bank of England Working Paper No. 832, October 2019
Number of pages: 42 Posted: 12 Oct 2019
Bank of England, European Securities and Markets Authority, Bank of England, Bank of England and Bank of England
Downloads 136 (267,705)

Abstract:

Loading...

OTC derivatives markets, FX markets, market microstructure, networks, financial stability, market regulation

11.

Gauging Market Dynamics Using Trade Repository Data: The Case of the Swiss Franc De-Pegging

Bank of England Financial Stability Paper No. 41
Number of pages: 40 Posted: 10 Jan 2017
Bank of England, Bank of England, Bank of England, Bank of England and European Securities and Markets Authority
Downloads 109 (314,470)
Citation 13

Abstract:

Loading...

Market Microstructure, FX Derivatives, Swiss Franc, EMIR, Trade Reporting

12.

Sell-Side Analysts' Career Concerns During Banking Stresses

Journal of Banking and Finance, Volume 49, December 2014, Pages 424–441
Number of pages: 64 Posted: 08 Mar 2014 Last Revised: 10 Jan 2015
Ingmar Nolte, Sandra Nolte (Lechner) and Michalis Vasios
Lancaster University - Department of Accounting and Finance, Lancaster University Management School and European Securities and Markets Authority
Downloads 105 (322,587)

Abstract:

Loading...

Sell-side Analysts, News Flows, Career Concerns, Financial Crisis