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Nicholas Vause

Personal Details

First Name:Nicholas
Middle Name:Simon
Last Name:Vause
Suffix:
RePEc Short-ID:pva728

Affiliation

Bank of England

London, United Kingdom
http://www.bankofengland.co.uk/
RePEc:edi:boegvuk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Bardoscia, Marco & Ferrara, Gerardo & Vause, Nicholas & Yoganayagam, Michael, 2019. "Simulating liquidity stress in the derivatives market," Bank of England working papers 838, Bank of England.
  2. Francis Breedon & Louisa Chen & Angelo Ranaldo & Nicholas Vause, 2019. "Judgment Day: Algorithmic Trading Around The Swiss Franc Cap Removal," Working Papers on Finance 1912, University of St. Gallen, School of Finance.
  3. O'Neill, Cian & Vause, Nicholas, 2018. "Macroprudential margins: a new countercyclical tool?," Bank of England working papers 765, Bank of England.
  4. Douglas, Graeme & Noss, Joseph & Vause, Nicholas, 2017. "The impact of Solvency II regulations on life insurers’ investment behaviour," Bank of England working papers 664, Bank of England.
  5. Ali, Robleh & Vause, Nicholas & Zikes, Filip, 2016. "Systemic risk in derivatives markets: a pilot study using CDS data," Bank of England Financial Stability Papers 38, Bank of England.
  6. Murphy, David & Vasios, Michalis & Vause, Nicholas, 2016. "A comparative analysis of tools to limit the procyclicality of initial margin requirements," Bank of England working papers 597, Bank of England.
  7. Murphy, David & Vasios, Michalis & Vause, Nick, 2014. "Financial Stability Paper No 29: An investigation into the procyclicality of risk-based initial margin models," Bank of England Financial Stability Papers 29, Bank of England.
  8. Daniel Heller & Nicholas Vause, 2012. "Collateral requirements for mandatory central clearing of over-the-counter derivatives," BIS Working Papers 373, Bank for International Settlements.
  9. Prasanna Gai & Peter Kondor & Nicholas Vause, 2006. "Procyclicality, collateral values and financial stability," Bank of England working papers 304, Bank of England.
  10. Gai, Prasanna & Vause, Nicholas, 2005. "Measuring Investors' Risk Appetite," MPRA Paper 818, University Library of Munich, Germany.
  11. Prasanna Gai & Nicholas Vause, 2003. "Sovereign debt workouts with the IMF as delegated monitor - a common agency approach," Bank of England working papers 187, Bank of England.

Articles

  1. Nicholas Vause, 2011. "Enhanced BIS statistics on credit risk transfer," BIS Quarterly Review, Bank for International Settlements, December.
  2. Daniel Heller & Nicholas Vause, 2011. "Expansion of central clearing," BIS Quarterly Review, Bank for International Settlements, June.
  3. Nicholas Vause, 2010. "Counterparty risk and contract volumes in the credit default swap market," BIS Quarterly Review, Bank for International Settlements, December.
  4. Prasanna Gai & Nicholas Vause, 2006. "Measuring Investors' Risk Appetite," International Journal of Central Banking, International Journal of Central Banking, vol. 2(1), March.

Chapters

  1. Nigel Jenkinson & Adrian Penalver & Nicholas Vause, 2008. "Financial Innovation: What Have We Learnt?," RBA Annual Conference Volume (Discontinued), in: Paul Bloxham & Christopher Kent (ed.),Lessons from the Financial Turmoil of 2007 and 2008, Reserve Bank of Australia.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 12 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (7) 2003-06-25 2006-09-30 2006-11-25 2012-06-25 2016-03-06 2016-05-08 2017-07-16. Author is listed
  2. NEP-BAN: Banking (4) 2012-06-25 2016-03-06 2016-05-08 2018-12-03
  3. NEP-MST: Market Microstructure (3) 2018-02-26 2018-05-21 2019-12-02
  4. NEP-EUR: Microeconomic European Issues (2) 2017-07-16 2018-05-21
  5. NEP-FMK: Financial Markets (2) 2006-09-30 2006-09-30
  6. NEP-MAC: Macroeconomics (2) 2003-06-25 2006-09-30
  7. NEP-UPT: Utility Models and Prospect Theory (2) 2006-09-30 2006-11-25
  8. NEP-CMP: Computational Economics (1) 2016-05-08
  9. NEP-DGE: Dynamic General Equilibrium (1) 2006-09-30
  10. NEP-ENT: Entrepreneurship (1) 2006-09-30
  11. NEP-LAM: Central and South America (1) 2003-06-25
  12. NEP-PKE: Post Keynesian Economics (1) 2016-05-08

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