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Details about Michalis Vasios

Workplace:European Securities and Markets Authority (ESMA), European Union, (more information at EDIRC)

Access statistics for papers by Michalis Vasios.

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

Short-id: pva697


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Working Papers

2019

  1. OTC Premia
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads View citations (1)
    Also in Bank of England working papers, Bank of England (2018) Downloads

    See also Journal Article OTC premia, Journal of Financial Economics, Elsevier (2020) Downloads (2020)
  2. OTC microstructure in a period of stress: a multi‑layered network approach
    Bank of England working papers, Bank of England Downloads
  3. Regulatory effects on short-term interest rates
    Bank of England working papers, Bank of England Downloads View citations (6)
  4. The cost of clearing fragmentation
    BIS Working Papers, Bank for International Settlements Downloads View citations (4)
    Also in Bank of England working papers, Bank of England (2019) Downloads View citations (4)

2017

  1. Gauging market dynamics using trade repository data: the case of the Swiss franc de-pegging
    Bank of England Financial Stability Papers, Bank of England Downloads 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) Downloads View citations (21) (2017)
  2. Identifying Contagion in a Banking Network
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (9)
    Also in Bank of England working papers, Bank of England (2017) Downloads View citations (11)

2016

  1. A comparative analysis of tools to limit the procyclicality of initial margin requirements
    Bank of England working papers, Bank of England Downloads View citations (16)
  2. 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 Downloads View citations (28)

2015

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

2014

  1. 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 Downloads 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 Downloads View citations (11)
  2. OTC premia
    Journal of Financial Economics, 2020, 136, (1), 86-105 Downloads
    See also Working Paper OTC Premia, Working Papers on Finance (2019) Downloads View citations (1) (2019)

2014

  1. Sell-side analysts’ career concerns during banking stresses
    Journal of Banking & Finance, 2014, 49, (C), 424-441 Downloads View citations (5)

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 Downloads 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) Downloads View citations (22) (2017)
 
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