Details about Michalis Vasios

Access statistics for papers by Michalis Vasios.

Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: pva697

Working Papers

2019

1. OTC Premia
   Working Papers on Finance, University of St. Gallen, School of Finance View citations (1)
   Also in Bank of England working papers, Bank of England (2018)
   See also Journal Article OTC premia, Journal of Financial Economics, Elsevier (2020) (2020)
2. OTC microstructure in a period of stress: a multi‑layered network approach
   Bank of England working papers, Bank of England
3. Regulatory effects on short-term interest rates
   Bank of England working papers, Bank of England View citations (7)
4. The cost of clearing fragmentation
   Bank of England working papers, Bank of England View citations (4)
   Also in BIS Working Papers, Bank for International Settlements (2019) View citations (4)

2017

5. Gauging market dynamics using trade repository data: the case of the Swiss franc de-pegging
   Bank of England Financial Stability Papers, Bank of England View citations (22)
   See also Chapter Gauging market dynamics using trade repository data: The case of the Swiss franc de-pegging, IFC Bulletins chapters, Bank for International Settlements (2017) View citations (21) (2017)
6. Identifying Contagion in a Banking Network
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (9)
   Also in Bank of England working papers, Bank of England (2017) View citations (11)

2016

7. A comparative analysis of tools to limit the procyclicality of initial margin requirements
   Bank of England working papers, Bank of England View citations (19)
8. Centralized trading, transparency and interest rate swap market liquidity: evidence from the implementation of the Dodd-Frank Act
   Bank of England working papers, Bank of England View citations (28)
   See also Journal Article Centralized Trading, Transparency, and Interest Rate Swap Market Liquidity: Evidence from the Implementation of the Dodd–Frank Act, Journal of Financial and Quantitative Analysis, Cambridge University Press (2020) View citations (14) (2020)

2015

9. Profiting from Mimicking Strategies in Non-Anonymous Markets
   MPRA Paper, University Library of Munich, Germany View citations (1)

2014

10. Financial Stability Paper No 29: An investigation into the procyclicality of risk-based initial margin models
    Bank of England Financial Stability Papers, Bank of England View citations (31)

Journal Articles

2020

1. Centralized Trading, Transparency, and Interest Rate Swap Market Liquidity: Evidence from the Implementation of the Dodd–Frank Act
   Journal of Financial and Quantitative Analysis, 2020, 55, (1), 159-192 View citations (14)
   See also Working Paper Centralized trading, transparency and interest rate swap market liquidity: evidence from the implementation of the Dodd-Frank Act, Bank of England working papers (2016) View citations (28) (2016)
2. OTC premia
   Journal of Financial Economics, 2020, 136, (1), 86-105
   See also Working Paper OTC Premia, Working Papers on Finance (2019) View citations (1) (2019)

2014

3. Sell-side analysts’ career concerns during banking stresses
   Journal of Banking & Finance, 2014, 49, (C), 424-441 View citations (6)

Chapters

2017

1. Gauging market dynamics using trade repository data: The case of the Swiss franc de-pegging
   A chapter in Statistical implications of the new financial landscape, 2017, vol. 43 View citations (21)
   See also Working Paper Gauging market dynamics using trade repository data: the case of the Swiss franc de-pegging, Bank of England (2017) View citations (22) (2017)