Nicholas Vause

Bank of England

Threadneedle Street

London, EC2R 8AH

United Kingdom

SCHOLARLY PAPERS

8

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1,139

SSRN CITATIONS
Rank 18,751

SSRN RANKINGS

Top 18,751

in Total Papers Citations

24

CROSSREF CITATIONS

33

Ideas:
“  I'm currently working on financial system stress simulations.  ”

Scholarly Papers (8)

1.

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
University of London, Queen Mary - School of Economics and Finance, University of Sussex, University of St. Gallen and Bank of England
Downloads 245 (155,723)
Citation 7

Abstract:

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

2.

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 Department, European Securities and Markets Authority and Bank of England
Downloads 241 (158,215)
Citation 28

Abstract:

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3.

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 184 (203,415)
Citation 4

Abstract:

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Insurance, Procyclicality, Regulation, solvency II, Liquidity

4.

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 Department, European Securities and Markets Authority and Bank of England
Downloads 154 (236,790)
Citation 15

Abstract:

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

5.

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 144 (250,125)
Citation 9

Abstract:

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systemic risk, derivatives, CDS data

6.

Full Payment Algorithm

Number of pages: 19 Posted: 22 Mar 2019
Bank of England, Bank of England, Bank of England and Bank of England
Downloads 91 (345,946)
Citation 1

Abstract:

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Financial Networks, Systemic Risk, Clearing Algorithm

7.

Simulating Liquidity Stress in the Derivatives Market

Bank of England Working Paper No. 838, December 2019
Number of pages: 31 Posted: 24 Dec 2019
Bank of England, Bank of England, Bank of England and Bank of England
Downloads 54 (458,439)
Citation 3

Abstract:

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financial networks, systemic risk, derivatives, central counterparties

8.

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 26 (595,040)
Citation 1

Abstract:

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Collateral, derivatives, externality, fire sales, macroprudential policy