Details about Nicholas Vause

Access statistics for papers by Nicholas Vause.

Last updated 2025-01-07. Update your information in the RePEc Author Service.

Short-id: pva728

Working Papers

2024

1. Relationship Discounts in Corporate Bond Trading
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in BIS Working Papers, Bank for International Settlements (2023)
   Bank of England working papers, Bank of England (2023)

2023

2. Self-fulfilling fire sales and market backstops
   Bank of England working papers, Bank of England
3. 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 papers, Bank of England View citations (1)

2022

4. A model of system-wide stress simulation: market-based finance and the Covid-19 event
   Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area View citations (1)
   Also in Working Paper Series, European Central Bank (2022)

2021

5. A CBA of APC: analysing approaches to procyclicality reduction in CCP initial margin models
   Bank of England working papers, Bank of England View citations (3)

2019

6. Judgment Day: Algorithmic Trading Around The Swiss Franc Cap Removal
   Working Papers on Finance, University of St. Gallen, School of Finance View citations (2)
   Also in Bank of England working papers, Bank of England (2018) View citations (10)
   Working Papers on Finance, University of St. Gallen, School of Finance (2018) View citations (9)
   See also Journal Article Judgment day: Algorithmic trading around the Swiss franc cap removal, Journal of International Economics, Elsevier (2023) (2023)
7. Simulating liquidity stress in the derivatives market
   Bank of England working papers, Bank of England View citations (3)
   See also Journal Article Simulating liquidity stress in the derivatives market, Journal of Economic Dynamics and Control, Elsevier (2021) View citations (9) (2021)

2018

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

2017

9. The impact of Solvency II regulations on life insurers’ investment behaviour
   Bank of England working papers, Bank of England View citations (11)

2016

10. A comparative analysis of tools to limit the procyclicality of initial margin requirements
    Bank of England working papers, Bank of England View citations (19)
11. Systemic risk in derivatives markets: a pilot study using CDS data
    Bank of England Financial Stability Papers, Bank of England View citations (17)

2014

12. 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)

2012

13. Collateral requirements for mandatory central clearing of over-the-counter derivatives
    BIS Working Papers, Bank for International Settlements View citations (70)

2006

14. Procyclicality, collateral values and financial stability
    Bank of England working papers, Bank of England View citations (9)

2005

15. Measuring Investors' Risk Appetite
    MPRA Paper, University Library of Munich, Germany View citations (22)
    Also in Bank of England working papers, Bank of England (2005) View citations (5)
    See also Journal Article Measuring Investors' Risk Appetite, International Journal of Central Banking, International Journal of Central Banking (2006) View citations (26) (2006)

2003

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

Journal Articles

2023

1. Judgment day: Algorithmic trading around the Swiss franc cap removal
   Journal of International Economics, 2023, 140, (C)
   See also Working Paper Judgment Day: Algorithmic Trading Around The Swiss Franc Cap Removal, Working Papers on Finance (2019) View citations (2) (2019)

2021

2. Simulating liquidity stress in the derivatives market
   Journal of Economic Dynamics and Control, 2021, 133, (C) View citations (9)
   See also Working Paper Simulating liquidity stress in the derivatives market, Bank of England working papers (2019) View citations (3) (2019)

2011

3. Enhanced BIS statistics on credit risk transfer
   BIS Quarterly Review, 2011 View citations (12)
4. Expansion of central clearing
   BIS Quarterly Review, 2011 View citations (7)

2010

5. Counterparty risk and contract volumes in the credit default swap market
   BIS Quarterly Review, 2010 View citations (16)

2006

6. Measuring Investors' Risk Appetite
   International Journal of Central Banking, 2006, 2, (1) View citations (26)
   See also Working Paper Measuring Investors' Risk Appetite, MPRA Paper (2005) View citations (22) (2005)

Chapters

2008

1. Financial Innovation: What Have We Learnt?
   A chapter in Lessons from the Financial Turmoil of 2007 and 2008, 2008 View citations (15)