Michalis Vasios

European Securities and Markets Authority

103 Rue de Grenelle

Paris, 75007

France

SCHOLARLY PAPERS

14

DOWNLOADS

3,475

SSRN CITATIONS

54

CROSSREF CITATIONS

58

Scholarly Papers (14)

1.
Downloads 819 ( 44,469)
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 691 (54,989)

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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 128 (320,664)
Citation 7

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

2.

The Cost of Clearing Fragmentation

Number of pages: 50 Posted: 13 May 2022
University of Nottingham, Bank for International Settlements, Vrije Universiteit Amsterdam and European Securities and Markets Authority
Downloads 328 (135,911)

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central clearing, CCP basis, collateral, fragmentation

3.

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 School, European Securities and Markets Authority and Bank of England
Downloads 298 (150,194)
Citation 28

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4.

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 - The Business School and European Securities and Markets Authority
Downloads 283 (158,263)
Citation 28

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Swap Execution Facilities, transparency, market liquidity

5.
Downloads 247 (181,388)
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 98 (387,190)
Citation 2

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contagion, counterparty risk, credit default swaps, networks

Identifying Contagion in a Banking Network

FEDS Working Paper No. 2017-082
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 85 (423,977)

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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 64 (497,499)
Citation 3

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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 - The Business School and European Securities and Markets Authority
Downloads 238 (188,078)

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

7.

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 237 (188,881)

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central clearing, CCP basis, collateral, fragmentation

8.

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 215 (207,082)

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

9.

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 186 (235,775)
Citation 7

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

10.

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 School, European Securities and Markets Authority and Bank of England
Downloads 181 (241,449)
Citation 15

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

11.

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 144 (291,844)

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

12.

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 132 (312,257)
Citation 13

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

13.

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 118 (338,849)

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

14.

Weighted Least Squares Realized Covariation Estimation

Number of pages: 79 Posted: 20 Jan 2022
Yifan Li, Yifan Li, Ingmar Nolte, Michalis Vasios, Valeri Voev and Qi Xu
Lancaster University - Department of Accounting and FinanceUniversity of Manchester - Alliance Manchester Business School, Lancaster University - Department of Accounting and Finance, European Securities and Markets Authority, affiliation not provided to SSRN and Zhejiang University - School of Economics and Academy of Financial Research
Downloads 49 (554,457)

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Market Microstructure Noise, Realized Volatility, Realized Covariation,Weighted Least Squares, Volatility Forecasting, Asset Allocation