Nicholas Vause : Citation Profile


Are you Nicholas Vause?

Bank of England

7

H index

4

i10 index

156

Citations

RESEARCH PRODUCTION:

4

Articles

9

Papers

1

Chapters

RESEARCH ACTIVITY:

   14 years (2003 - 2017). See details.
   Cites by year: 11
   Journals where Nicholas Vause has often published
   Relations with other researchers
   Recent citing documents: 28.    Total self citations: 2 (1.27 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pva728
   Updated: 2019-11-10    RAS profile: 2017-10-02    
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Relations with other researchers


Works with:

Vasios, Michalis (2)

Murphy, David (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Nicholas Vause.

Is cited by:

Delatte, Anne-Laure (5)

Hoerova, Marie (5)

Vuillemey, Guillaume (5)

Fouquau, Julien (4)

Portes, Richard (4)

Garratt, Rodney (4)

Eichengreen, Barry (4)

Chaitip, Prasert (4)

Xiao, Tim (4)

Duffie, Darrell (4)

Lelyveld, Iman (4)

Cites to:

Campbell, John (3)

Shiller, Robert (3)

Fafchamps, Marcel (2)

Sherlund, Shane (2)

Pedersen, Lasse (2)

Stulz, René (2)

Vayanos, Dimitri (2)

Brunnermeier, Markus (2)

Sarin, Atulya (2)

Shastri, Kuldeep (2)

Shin, Hyun Song (2)

Main data


Where Nicholas Vause has published?


Journals with more than one article published# docs
BIS Quarterly Review3

Recent works citing Nicholas Vause (2018 and 2017)


YearTitle of citing document
2019Compressing Over-the-Counter Markets. (2019). Roukny, Tarik ; D'Errico, Marco. In: Papers. RePEc:arx:papers:1705.07155.

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2018Analysis of Asymmetric GARCH Volatility Models with Applications to Margin Measurement. (2018). SHEN, XIANGJIN ; Goldman, Elena. In: Staff Working Papers. RePEc:bca:bocawp:18-21.

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2018Always look on the bright side? Central counterparties and interbank markets during the financial crisis. (2018). Affinito, Massimiliano ; Piazza, Matteo . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1181_18.

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2017Identifying contagion in a banking network. (2017). Vasios, Michalis ; Zikes, Filip ; Wilson, Mungo ; Morrison, Alan. In: Bank of England working papers. RePEc:boe:boeewp:0642.

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2019Credit default swaps and corporate bond trading. (2019). Czech, Robert. In: Bank of England working papers. RePEc:boe:boeewp:0810.

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2018CDS market structure and risk flows: the Dutch case. (2018). Lelyveld, Iman ; Kroon, Sinziana ; van Lelyveld, Iman ; Petrescu, Sinziana Kroon ; de Sousa, Rene ; Levels, Anouk. In: DNB Working Papers. RePEc:dnb:dnbwpp:592.

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2018Counterparty credit risk and the effectiveness of banking regulation. (2018). Lelyveld, Iman ; Kroon, Sinziana ; van Lelyveld, Iman. In: DNB Working Papers. RePEc:dnb:dnbwpp:599.

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2017Point sur la fourniture de liquidié publique. (2017). RIEU-FOUCAULT, Anne-Marie. In: EconomiX Working Papers. RePEc:drm:wpaper:2017-27.

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2017On collateral: implications for financial stability and monetary policy. (2017). Hoerova, Marie ; Heider, Florian ; Corradin, Stefano. In: Working Paper Series. RePEc:ecb:ecbwps:20172107.

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2019A parsimonious parametric model for generating margin requirements for futures. (2019). Alexander, Carol ; Sumawong, Anannit ; Kaeck, Andreas. In: European Journal of Operational Research. RePEc:eee:ejores:v:273:y:2019:i:1:p:31-43.

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2018The missing links: A global study on uncovering financial network structures from partial data. (2018). Silva, Thiago ; Silvestri, Laura ; Salakhova, Dilyara ; Lelyveld, Iman ; Halaj, Grzegorz ; Garratt, Rodney ; Hansen, IB ; Fique, Jose ; Stancato, Sergio Rubens ; Haaj, Grzegorz ; Friedrich, Soeren ; Banai, Adam ; Rajan, Sriram ; van Lelyveld, Iman ; Nobili, Stefano ; Anand, Kartik ; Molina-Borboa, Jose Luis ; Lee, Hwayun ; Jaramillo, Serafin Martinez. In: Journal of Financial Stability. RePEc:eee:finsta:v:35:y:2018:i:c:p:107-119.

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Margin requirements and systemic liquidity risk. (2019). Bakoush, Mohamed ; Wolfe, Simon ; Gerding, Enrico H. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:78-95.

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2017Does OTC derivatives reform incentivize central clearing?. (2017). Ghamami, Samim ; Glasserman, Paul. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:32:y:2017:i:c:p:76-87.

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2018The impact of lotteries on cooperation in the public goods game. (2018). Yang, Ran ; Chen, Qiao . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:512:y:2018:i:c:p:925-934.

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2019An Economic Examination of Collateralization in Different Financial Markets. (2019). Xiao, Tim. In: Working Papers. RePEc:hal:wpaper:hal-02024144.

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2017Counterparty risk, central counterparty clearing and aggregate risk. (2017). 邓, 彬斌 ; Deng, Binbin . In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:4:d:10.1007_s10436-017-0308-x.

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2018Liquidity and Pricing of Credit Default Swaps in Japan: Evidence from a Benchmark Index for Corporate Debt Claims. (2018). Inaba, Kei-Ichiro. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:54:y:2018:i:1:d:10.1007_s10693-016-0241-6.

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2018Elszámolóházak alapbiztosítéki követelményeinek számítási módszertana. (2018). Varadi, Kata ; Ladoniczki, Sara Kata. In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences). RePEc:ksa:szemle:1787.

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2017The Emergence of Market Structure. (2017). Shimer, Robert ; Jarosch, Gregor ; Farboodi, Maryam. In: NBER Working Papers. RePEc:nbr:nberwo:23234.

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2017Persistence and Procyclicality in Margin Requirements. (2017). Wu, QI ; Glasserman, Paul. In: Working Papers. RePEc:ofr:wpaper:17-01.

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2017Contagion in the CDS Market. (2017). Paddrik, Mark ; Young, Peyton H. In: Economics Series Working Papers. RePEc:oxf:wpaper:821.

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2018Memantau Risiko Makro Finansial di dalam Perekonomian Indonesia. (2018). Mansur, Alfan. In: MPRA Paper. RePEc:pra:mprapa:93752.

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2018Technology, Financial Innovations and Bank Behavior in a Low Income Country. (2018). le Roux, Pierre ; Leroux, Pierre ; Bara, Alex . In: Journal of Economics and Behavioral Studies. RePEc:rnd:arjebs:v:10:y:2018:i:4:p:221-234.

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2018Does a central clearing counterparty reduce liquidity needs?. (2018). Hayakawa, Hitoshi. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:13:y:2018:i:1:d:10.1007_s11403-017-0208-1.

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2017Compressing over-the-counter markets. (2017). Roukny, Tarik ; Derrico, Marco. In: ESRB Working Paper Series. RePEc:srk:srkwps:201744.

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2017The missing links: A global study on uncovering financial network structures from partial data. (2017). Silva, Thiago ; Silvestri, Laura ; Salakhova, Dilyara ; Nobili, Stefano ; Lelyveld, Iman ; Halaj, Grzegorz ; Garratt, Rodney ; Fique, José ; Banai, Adam ; Anand, Kartik ; Rajan, Sriram ; Molina-Borboa, Jose Luis ; Lee, Hwayun ; Jaramillo, Serafin Martinez ; Hansen, IB ; Jose, Grzegorz Haajauthor-Name ; Stancato, Sergio Rubens ; Friedrich, Soeren ; van Lelyveldauthor-Name, Iman. In: ESRB Working Paper Series. RePEc:srk:srkwps:201751.

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Networks of counterparties in the centrally cleared EU-wide interest rate derivatives market. (2017). Fiedor, Paweł ; Orszaghova, Lucia ; Lapschies, Sarah. In: Working and Discussion Papers. RePEc:svk:wpaper:1048.

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2019An Economic Examination of Collateralization in Different Financial Markets. (2019). Xiao, Tim. In: EconStor Preprints. RePEc:zbw:esprep:200503.

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Works by Nicholas Vause:


YearTitleTypeCited
2010Counterparty risk and contract volumes in the credit default swap market In: BIS Quarterly Review.
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article12
2011Expansion of central clearing In: BIS Quarterly Review.
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article5
2011Enhanced BIS statistics on credit risk transfer In: BIS Quarterly Review.
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article9
2012Collateral requirements for mandatory central clearing of over-the-counter derivatives In: BIS Working Papers.
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paper48
2016A comparative analysis of tools to limit the procyclicality of initial margin requirements In: Bank of England working papers.
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paper6
2017The impact of Solvency II regulations on life insurers’ investment behaviour In: Bank of England working papers.
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paper0
2003Sovereign debt workouts with the IMF as delegated monitor - a common agency approach In: Bank of England working papers.
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paper6
2005Measuring investors risk appetite In: Bank of England working papers.
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paper34
2006Measuring Investors Risk Appetite.(2006) In: International Journal of Central Banking.
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This paper has another version. Agregated cites: 34
article
2005Measuring Investors Risk Appetite.(2005) In: MPRA Paper.
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This paper has another version. Agregated cites: 34
paper
2006Procyclicality, collateral values and financial stability In: Bank of England working papers.
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paper7
2014Financial Stability Paper No 29: An investigation into the procyclicality of risk-based initial margin models In: Bank of England Financial Stability Papers.
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paper13
2016Systemic risk in derivatives markets: a pilot study using CDS data In: Bank of England Financial Stability Papers.
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paper9
2008Financial Innovation: What Have We Learnt? In: RBA Annual Conference Volume (Discontinued).
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chapter7

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