Michalis Vasios

Norges Bank Investment Management (NBIM)

Queensberry House

3 Old Burlington Street

London, W1S 3AE

United Kingdom

SCHOLARLY PAPERS

12

DOWNLOADS

2,604

SSRN CITATIONS

36

CROSSREF CITATIONS

57

Scholarly Papers (12)

1.
Downloads 787 ( 34,598)
Citation 9

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 Norges Bank Investment Management (NBIM)
Downloads 683 (41,349)

Abstract:

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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 Norges Bank Investment Management (NBIM)
Downloads 104 (289,146)
Citation 9

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

2.

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 Norges Bank Investment Management (NBIM)
Downloads 260 (131,921)
Citation 26

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Swap Execution Facilities, transparency, market liquidity

3.

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 Norges Bank Investment Management (NBIM)
Downloads 221 (154,623)

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

4.
Downloads 220 (155,261)
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, Norges Bank Investment Management (NBIM), University of Oxford - Said Business School and Board of Governors of the Federal Reserve System
Downloads 92 (313,736)
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, Norges Bank Investment Management (NBIM), University of Oxford - Said Business School and Board of Governors of the Federal Reserve System
Downloads 74 (358,620)

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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, Norges Bank Investment Management (NBIM), University of Oxford - Said Business School and Board of Governors of the Federal Reserve System
Downloads 54 (422,922)
Citation 3

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Contagion, Counterparty Risk, Credit Default Swaps, Networks

5.

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, Norges Bank Investment Management (NBIM) and Bank of England
Downloads 206 (165,066)
Citation 25

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6.

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, Norges Bank Investment Management (NBIM), Aarhus University - CREATES and Zhejiang University - School of Economics and Academy of Financial Research
Downloads 180 (186,734)

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

7.
Downloads 162 (204,494)
Citation 2

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, VU Amsterdam and Norges Bank Investment Management (NBIM)
Downloads 124 (254,410)

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central clearing, CCP basis, collateral, fragmentation

The Cost of Clearing Fragmentation

Bank of England Working Paper No. 800, May 2019
Number of pages: 40 Posted: 01 Jun 2019 Last Revised: 24 Nov 2019
Bank of England, Bank for International Settlements, VU Amsterdam and Norges Bank Investment Management (NBIM)
Downloads 38 (490,092)
Citation 2

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central clearing, CCP basis, collateral, fragmentation

8.

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, Norges Bank Investment Management (NBIM) and Bank of England
Downloads 130 (245,907)
Citation 14

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

9.

Regulatory Effects on Short-Term Interest Rates

Bank of England Working Paper No. 801 (2019) Journal of Financial Economics (JFE), Forthcoming
Number of pages: 51 Posted: 01 Jun 2019 Last Revised: 28 Aug 2020
Angelo Ranaldo, Patrick Schaffner and Michalis Vasios
University of St. Gallen, University of St. Gallen - School of Finance and Norges Bank Investment Management (NBIM)
Downloads 122 (256,566)
Citation 4

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

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, Norges Bank Investment Management (NBIM), Bank of England, Bank of England and Bank of England
Downloads 116 (266,114)

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

11.

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 Norges Bank Investment Management (NBIM)
Downloads 102 (291,193)

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

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 Norges Bank Investment Management (NBIM)
Downloads 98 (298,862)
Citation 8

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