10
H index
11
i10 index
275
Citations
Nicholas Vause : Citation Profile
Bank of England | RESEARCH PRODUCTION: 4 Articles 14 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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16 years (2003 - 2019). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Nicholas Vause. | Is cited by:
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Main data
Where Nicholas Vause has published?
| Journals with more than one article published | # docs |
|---|---|
| BIS Quarterly Review | 3 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Working Papers on Finance / University of St. Gallen, School of Finance | 2 |
Recent works citing Nicholas Vause (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Time-Varying Risk Aversion and International Stock Returns. (2023). Guidolin, Massimo ; Cabrera, Gabriel ; Hansen, Erwin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp23203. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Dash for Dollars. (2023). Czech, Robert ; Eguren-Martin, Fernando ; Cesa-Bianchi, Ambrogio. In: Discussion Papers. RePEc:cfm:wpaper:2314. Full description at Econpapers || Download paper |
| 2023 | Derivative margin calls: a new driver of MMF flows. (2023). Rousová, Linda ; Bauer, German Villegas ; Salakhova, Dilyara ; Rousova, Linda ; Ghio, Maddalena. In: Working Paper Series. RePEc:ecb:ecbwps:20232800. Full description at Econpapers || Download paper |
| 2023 | Do algorithmic traders exploit volatility?. (2023). Marathe, Rahul R ; Prasanna, Krishna P ; Arumugam, Devika. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:37:y:2023:i:c:s2214635022001009. Full description at Econpapers || Download paper |
| 2023 | A literature review on extreme price movements with reversal. (2023). Steffen, Viktoria. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:38:y:2023:i:c:s2214635023000205. Full description at Econpapers || Download paper |
| 2023 | Counter-cyclical Margins for Option Portfolios. (2023). Li, Duan ; Wu, QI ; Chen, Yuanyuan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002755. Full description at Econpapers || Download paper |
| 2024 | Procyclical variation margins in central clearing. (2024). Suh, Sangwon ; Jin, Yangkyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001626. Full description at Econpapers || Download paper |
| 2023 | Predictability of risk appetite in Turkey: Local versus global factors. (2023). Bouri, Elie ; Gok, Remzi ; Gemici, Eray. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000237. Full description at Econpapers || Download paper |
| 2024 | Modelling fire sale contagion across banks and non-banks. (2024). Ramadiah, Amanah ; Ferrara, Gerardo ; Caccioli, Fabio. In: Journal of Financial Stability. RePEc:eee:finsta:v:71:y:2024:i:c:s1572308924000160. Full description at Econpapers || Download paper |
| 2023 | Collateral competition: Evidence from central counterparties. (2023). Tompaidis, Stathis ; Pancost, Aaron N ; Grothe, Magdalena. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:3:p:536-556. Full description at Econpapers || Download paper |
| 2023 | Central Clearing and Systemic Liquidity Risk. (2023). Prono, Todd ; Paulson, Anna ; Nesmith, Travis D ; King, Thomas B. In: International Journal of Central Banking. RePEc:ijc:ijcjou:y:2023:q:4:a:3. Full description at Econpapers || Download paper |
| 2024 | The Relationship Between Financial Knowledge, Investment Strategy and Satisfaction From Pension Schemes: Evidence From India. (2024). Parayitam, Satyanarayana ; Sharma, Tejinder ; Saini, Shallu. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:31:y:2024:i:1:d:10.1007_s10690-023-09408-9. Full description at Econpapers || Download paper |
| 2023 | The impacts of innovative and competitive abilities of SMEs on their different financial risk concerns: System approach. (2023). Fialova, Vendula ; Krajeik, Vladimir ; Civelek, Mehmet. In: Oeconomia Copernicana. RePEc:pes:ieroec:v:14:y:2023:i:1:p:327-354. Full description at Econpapers || Download paper |
| 2023 | Uncovering the network structure of non-centrally cleared derivative markets: evidence from large regulatory data. (2023). Zema, Sebastiano Michele. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:4:d:10.1007_s00181-023-02396-9. Full description at Econpapers || Download paper |
| 2023 | Intermediation in US and EU bond and swap markets: stylised facts, trends and impact of the coronavirus (COVID-19) crisis in March 2020. (2023). Scheicher, Martin. In: ESRB Occasional Paper Series. RePEc:srk:srkops:202324. Full description at Econpapers || Download paper |
Works by Nicholas Vause:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2010 | Counterparty risk and contract volumes in the credit default swap market In: BIS Quarterly Review. [Full Text][Citation analysis] | article | 15 |
| 2011 | Expansion of central clearing In: BIS Quarterly Review. [Full Text][Citation analysis] | article | 7 |
| 2011 | Enhanced BIS statistics on credit risk transfer In: BIS Quarterly Review. [Full Text][Citation analysis] | article | 12 |
| 2012 | Collateral requirements for mandatory central clearing of over-the-counter derivatives In: BIS Working Papers. [Full Text][Citation analysis] | paper | 66 |
| 2016 | A comparative analysis of tools to limit the procyclicality of initial margin requirements In: Bank of England working papers. [Full Text][Citation analysis] | paper | 17 |
| 2017 | The impact of Solvency II regulations on life insurers’ investment behaviour In: Bank of England working papers. [Full Text][Citation analysis] | paper | 11 |
| 2018 | Judgement Day: algorithmic trading around the Swiss franc cap removal In: Bank of England working papers. [Full Text][Citation analysis] | paper | 12 |
| 2018 | Judgement Day: Algorithmic Trading Around the Swiss Franc Cap Removal.(2018) In: Working Papers on Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2019 | Judgment Day: Algorithmic Trading Around The Swiss Franc Cap Removal.(2019) In: Working Papers on Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2018 | Macroprudential margins: a new countercyclical tool? In: Bank of England working papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Simulating liquidity stress in the derivatives market In: Bank of England working papers. [Full Text][Citation analysis] | paper | 10 |
| 2003 | Sovereign debt workouts with the IMF as delegated monitor - a common agency approach In: Bank of England working papers. [Full Text][Citation analysis] | paper | 8 |
| 2005 | Measuring investors risk appetite In: Bank of England working papers. [Full Text][Citation analysis] | paper | 46 |
| 2006 | Measuring Investors Risk Appetite.(2006) In: International Journal of Central Banking. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 46 | article | |
| 2005 | Measuring Investors Risk Appetite.(2005) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 46 | paper | |
| 2006 | Procyclicality, collateral values and financial stability In: Bank of England working papers. [Full Text][Citation analysis] | paper | 9 |
| 2014 | Financial Stability Paper No 29: An investigation into the procyclicality of risk-based initial margin models In: Bank of England Financial Stability Papers. [Full Text][Citation analysis] | paper | 30 |
| 2016 | Systemic risk in derivatives markets: a pilot study using CDS data In: Bank of England Financial Stability Papers. [Full Text][Citation analysis] | paper | 17 |
| 2008 | Financial Innovation: What Have We Learnt? In: RBA Annual Conference Volume (Discontinued). [Full Text][Citation analysis] | chapter | 15 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team