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Details about Nicholas Vause

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Workplace:Bank of England, (more information at EDIRC)

Access statistics for papers by Nicholas Vause.

Last updated 2020-11-09. Update your information in the RePEc Author Service.

Short-id: pva728


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Working Papers

2019

  1. Judgment Day: Algorithmic Trading Around The Swiss Franc Cap Removal
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads View citations (2)
    Also in Working Papers on Finance, University of St. Gallen, School of Finance (2018) Downloads View citations (6)
    Bank of England working papers, Bank of England (2018) Downloads View citations (7)
  2. Simulating liquidity stress in the derivatives market
    Bank of England working papers, Bank of England Downloads View citations (2)

2018

  1. Macroprudential margins: a new countercyclical tool?
    Bank of England working papers, Bank of England Downloads

2017

  1. The impact of Solvency II regulations on life insurers’ investment behaviour
    Bank of England working papers, Bank of England Downloads View citations (10)

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 (12)
  2. Systemic risk in derivatives markets: a pilot study using CDS data
    Bank of England Financial Stability Papers, Bank of England Downloads View citations (16)

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 (26)

2012

  1. Collateral requirements for mandatory central clearing of over-the-counter derivatives
    BIS Working Papers, Bank for International Settlements Downloads View citations (62)

2006

  1. Procyclicality, collateral values and financial stability
    Bank of England working papers, Bank of England Downloads View citations (8)

2005

  1. Measuring Investors' Risk Appetite
    MPRA Paper, University Library of Munich, Germany Downloads View citations (24)
    Also in Bank of England working papers, Bank of England (2005) Downloads View citations (5)

    See also Journal Article in International Journal of Central Banking (2006)

2003

  1. Sovereign debt workouts with the IMF as delegated monitor - a common agency approach
    Bank of England working papers, Bank of England Downloads View citations (8)

Journal Articles

2011

  1. Enhanced BIS statistics on credit risk transfer
    BIS Quarterly Review, 2011 Downloads View citations (11)
  2. Expansion of central clearing
    BIS Quarterly Review, 2011 Downloads View citations (7)

2010

  1. Counterparty risk and contract volumes in the credit default swap market
    BIS Quarterly Review, 2010 Downloads View citations (15)

2006

  1. Measuring Investors' Risk Appetite
    International Journal of Central Banking, 2006, 2, (1) Downloads View citations (21)
    See also Working Paper (2005)

Chapters

2008

  1. Financial Innovation: What Have We Learnt?
    A chapter in Lessons from the Financial Turmoil of 2007 and 2008, 2008 Downloads View citations (12)
 
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