Nicholas Vause

Bank of England

Threadneedle Street

London, EC2R 8AH

United Kingdom

SCHOLARLY PAPERS

14

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55

CROSSREF CITATIONS

34

Scholarly Papers (14)

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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 School, European Securities and Markets Authority and Bank of England
Downloads 383 (151,281)
Citation 28

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2.

Relationship Discounts in Corporate Bond Trading

Downloads 269 (156,761)

Relationship Discounts in Corporate Bond Trading

Number of pages: 46 Posted: 23 Dec 2022 Last Revised: 09 Oct 2023
Simon Jurkatis, Andreas Schrimpf, Karamfil Todorov and Nicholas Vause
Bank of England, Bank for International Settlements (BIS) - Monetary and Economic Department, Bank for International Settlements and Bank of England
Downloads 269 (219,016)

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Corporate bonds, COVID-19, Dealers, Over-the-counter markets, Trading relationships

3.

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
Francis Breedon, Louisa Chen, Angelo Ranaldo and Nicholas Vause
University of London, Queen Mary - School of Economics and Finance, University of Sussex, University of Basel - Faculty of Business and Economics and Bank of England
Downloads 357 (163,546)
Citation 7

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

4.

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 336 (174,563)
Citation 4

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Insurance, Procyclicality, Regulation, solvency II, Liquidity

5.

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 259 (228,769)
Citation 15

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

6.

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 229 (258,024)
Citation 9

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systemic risk, derivatives, CDS data

7.

Full Payment Algorithm

Number of pages: 19 Posted: 22 Mar 2019
Marco Bardoscia, Gerardo Ferrara, Nicholas Vause and Michael Yoganayagam
Bank of England, Bank of England, Bank of England and Bank of England
Downloads 201 (291,336)
Citation 1

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Financial Networks, Systemic Risk, Clearing Algorithm

8.

A CBA of APC: Analysing Approaches to Procyclicality Reduction in CCP Initial Margin Models

Downloads 135 (408,842)

A CBA of APC: Analysing Approaches to Procyclicality Reduction in CCP Initial Margin Models

Bank of England Working Paper No. 950
Number of pages: 23 Posted: 14 Dec 2021
David Murphy and Nicholas Vause
London School of Economics - Law School and Bank of England
Downloads 135 (409,823)
Citation 5

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Central counterparty, cost-benefit analysis, derivatives clearing, initial margin models, mandatory clearing, procyclicality

A CBA of APC: Analysing Approaches to Procyclicality Reduction in CCP Initial Margin Models

Bank of England Staff Working Paper No. 950, 2021 and to appear, Journal of Financial Market Infrastructures, 2022
Posted: 03 Feb 2022
David Murphy and Nicholas Vause
London School of Economics - Law School and Bank of England

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Central counterparty, cost-benefit analysis, derivatives clearing, initial margin models, mandatory clearing, procyclicality

9.

Simulating Liquidity Stress in the Derivatives Market

Bank of England Working Paper No. 838, December 2019
Number of pages: 31 Posted: 24 Dec 2019
Marco Bardoscia, Gerardo Ferrara, Nicholas Vause and Michael Yoganayagam
Bank of England, Bank of England, Bank of England and Bank of England
Downloads 120 (447,405)
Citation 11

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financial networks, systemic risk, derivatives, central counterparties

10.

A model of system-wide stress simulation: market-based finance and the Covid-19 event

Downloads 69 (468,145)

A model of system-wide stress simulation: market-based finance and the Covid-19 event

Bank of Italy Occasional Paper No. 687
Number of pages: 36 Posted: 16 May 2022
Giovanni di Iasio, Spyros Alogoskoufis, Simon Kordel, Dominika Kryczka, Giulio Nicoletti and Nicholas Vause
Bank of Italy, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) and Bank of England
Downloads 69 (647,232)

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systemic risk, market-based finance, stress testing, covid-19

11.

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 66 (651,590)
Citation 1

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Collateral, derivatives, externality, fire sales, macroprudential policy

12.

The Potential Impact of Broader Central Clearing on Dealer Balance Sheet Capacity: A Case Study of UK Gilt and Gilt Repo Markets

Bank of England Working Paper No. 1026
Number of pages: 37 Posted: 22 Jun 2023
Yuliya Baranova, Eleanor Holbrook, David Macdonald, William Rawstorne, Nicholas Vause and georgia waddington
Bank of England, Bank of England, Bank of England, Bank of England, Bank of England and Bank of England
Downloads 61 (677,413)
Citation 1

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Central clearing, dealers, gilts, market structure, repo

13.

Judgment Day: Algorithmic Trading Around the Swiss Franc Cap Removal

Number of pages: 60 Posted: 18 May 2022
Francis Breedon, Louisa Chen, Angelo Ranaldo and Nicholas Vause
University of London, Queen Mary - School of Economics and Finance, University of Sussex, University of Basel - Faculty of Business and Economics and Bank of England
Downloads 54 (716,378)

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Algorithmic trading, Swiss franc, market liquidity, price efficiency, central bank intervention.

14.

Self-Fulfilling Fire Sales and Market Backstops

Bank of England Working Paper No. 1020
Posted: 18 Oct 2023
Harkeerit Kalsi, Nicholas Vause and Nora Wegner
Independent, Bank of England and Bank of England

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Market backstops, fire sales, bond purchases