Michalis Vasios

Norges Bank Investment Management (NBIM)

Queensberry House

3 Old Burlington Street

London, W1S 3AE

United Kingdom

SCHOLARLY PAPERS

12

DOWNLOADS

2,424

SSRN CITATIONS

22

CROSSREF CITATIONS

55

Scholarly Papers (12)

1.
Downloads 777 ( 32,768)
Citation 7

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 677 (39,008)

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 Norges Bank Investment Management (NBIM)
Downloads 100 (280,287)
Citation 7

Abstract:

Loading...

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 249 (129,370)
Citation 24

Abstract:

Loading...

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 219 (146,661)

Abstract:

Loading...

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

4.
Downloads 216 (148,528)
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 91 (298,121)
Citation 2

Abstract:

Loading...

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 (338,540)

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, Norges Bank Investment Management (NBIM), University of Oxford - Said Business School and Board of Governors of the Federal Reserve System
Downloads 51 (410,487)
Citation 3

Abstract:

Loading...

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
Bank of England, Norges Bank Investment Management (NBIM) and Bank of England
Downloads 196 (162,727)
Citation 22

Abstract:

Loading...

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 174 (181,111)

Abstract:

Loading...

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

7.
Downloads 124 (238,833)

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 91 (298,121)

Abstract:

Loading...

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 33 (487,287)

Abstract:

Loading...

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
David Murphy, Michalis Vasios and Nicholas Vause
Bank of England, Norges Bank Investment Management (NBIM) and Bank of England
Downloads 116 (250,946)
Citation 12

Abstract:

Loading...

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

9.

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 108 (263,893)

Abstract:

Loading...

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

10.

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 101 (276,463)
Citation 1

Abstract:

Loading...

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

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 Norges Bank Investment Management (NBIM)
Downloads 91 (295,808)
Citation 8

Abstract:

Loading...

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

12.

Regulatory Effects on Short-Term Interest Rates

Bank of England Working Paper No. 801 (2019)
Number of pages: 39 Posted: 01 Jun 2019
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 53 (396,793)
Citation 3

Abstract:

Loading...

repo, central clearing, financial infrastructure, leverage ratio, EMIR, regulatory effects