Nicholas Vause

Bank of England

Threadneedle Street

London, EC2R 8AH

United Kingdom

SCHOLARLY PAPERS

8

DOWNLOADS

967

SSRN CITATIONS
Rank 19,714

SSRN RANKINGS

Top 19,714

in Total Papers Citations

18

CROSSREF CITATIONS

32

Ideas:
“  I'm currently working on financial system stress simulations.  ”

Scholarly Papers (8)

1.

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 218 (161,272)
Citation 27

Abstract:

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2.

Judgement Day: Algorithmic Trading Around the Swiss Franc Cap Removal

Bank of England Working Paper No. 711
Number of pages: 30 Posted: 21 Feb 2018
University of London, Queen Mary - School of Economics and Finance, University of Sussex, University of St. Gallen and Bank of England
Downloads 202 (173,365)
Citation 7

Abstract:

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Swiss franc, algorithmic trading, liquidity, volatility, price discovery, arbitrage opportunities

3.

The Impact of Solvency II Regulations on Life Insurers' Investment Behaviour

Bank of England Working Paper No. 664
Number of pages: 30 Posted: 11 Jul 2017
Graeme Douglas, Joseph Noss and Nicholas Vause
Bank of England, Bank of England and Bank of England
Downloads 152 (221,992)
Citation 4

Abstract:

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Insurance, Procyclicality, Regulation, solvency II, Liquidity

4.

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 137 (241,499)
Citation 14

Abstract:

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

5.

Systemic Risk in Derivatives Markets: A Pilot Study Using CDS Data

Bank of England Financial Stability Paper No. 38
Number of pages: 22 Posted: 15 Jul 2016
Robleh Ali, Nicholas Vause and Filip Zikes
Bank of England, Bank of England and Board of Governors of the Federal Reserve System
Downloads 130 (251,602)
Citation 9

Abstract:

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systemic risk, derivatives, CDS data

6.

Full Payment Algorithm

Number of pages: 19 Posted: 22 Mar 2019
Bank of England, Bank of England, Bank of England and Bank of England
Downloads 74 (364,514)
Citation 1

Abstract:

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Financial Networks, Systemic Risk, Clearing Algorithm

7.

Simulating Liquidity Stress in the Derivatives Market

Bank of England Working Paper No. 838, December 2019
Number of pages: 31 Posted: 24 Dec 2019
Bank of England, Bank of England, Bank of England and Bank of England
Downloads 33 (516,787)

Abstract:

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financial networks, systemic risk, derivatives, central counterparties

8.

Macroprudential Margins: A New Countercyclical Tool?

Bank of England Working Paper No. 765
Number of pages: 30 Posted: 16 Nov 2018
Cian O'Neill and Nicholas Vause
Bank of England and Bank of England
Downloads 21 (587,444)
Citation 1

Abstract:

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Collateral, derivatives, externality, fire sales, macroprudential policy