10
H index
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i10 index
281
Citations
Nicholas Vause : Citation Profile
Bank of England | RESEARCH PRODUCTION: 6 Articles 21 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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20 years (2003 - 2023). 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:
| Cites to:
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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 |
|---|---|
| BIS Working Papers / Bank for International Settlements | 2 |
| Working Papers on Finance / University of St. Gallen, School of Finance | 2 |
Recent works citing Nicholas Vause (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2024 | Shifting the yield curve for fixed-income and derivatives portfolios. (2024). Segura, Anatoli ; Ruzzi, Dario ; Bianchi, Michele Leonardo. In: Papers. RePEc:arx:papers:2412.15986. 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 |
| 2024 | Dynamic margin optimization. (2024). Berlinger, Edina ; Dmtr, Barbara ; Bihary, Zsolt. In: Finance Research Letters. RePEc:eee:finlet:v:68:y:2024:i:c:s1544612324010298. Full description at Econpapers || Download paper |
| 2024 | How does the repo market behave under stress? Evidence from the COVID-19 crisis. (2024). Maria, Luitgard Anna ; Lepore, Caterina ; Huser, Anne-Caroline. In: Journal of Financial Stability. RePEc:eee:finsta:v:70:y:2024:i:c:s1572308923000931. 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 |
| 2024 | How does standardization affect OTC markets in the long term? Evidence from the small bang reform in the CDS market. (2024). Banti, Chiara ; Kellard, Neil ; Manac, Radu-Dragomir. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:96:y:2024:i:c:s1042443124001094. 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 |
Works by Nicholas Vause:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2022 | A model of system-wide stress simulation: market-based finance and the Covid-19 event In: Questioni di Economia e Finanza (Occasional Papers). [Full Text][Citation analysis] | paper | 1 |
| 2022 | A model of system-wide stress simulation: market-based finance and the Covid-19 event.(2022) In: Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2010 | Counterparty risk and contract volumes in the credit default swap market In: BIS Quarterly Review. [Full Text][Citation analysis] | article | 16 |
| 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 |
| 2023 | Relationship discounts incorporate bond trading In: BIS Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Relationship discounts in corporate bond trading.(2023) In: Bank of England working papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2012 | Collateral requirements for mandatory central clearing of over-the-counter derivatives In: BIS Working Papers. [Full Text][Citation analysis] | paper | 69 |
| 2016 | A comparative analysis of tools to limit the procyclicality of initial margin requirements In: Bank of England working papers. [Citation analysis] | paper | 18 |
| 2017 | The impact of Solvency II regulations on life insurers’ investment behaviour In: Bank of England working papers. [Full Text][Citation analysis] | paper | 9 |
| 2018 | Judgement Day: algorithmic trading around the Swiss franc cap removal In: Bank of England working papers. [Full Text][Citation analysis] | paper | 12 |
| 2023 | Judgment day: Algorithmic trading around the Swiss franc cap removal.(2023) In: Journal of International Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | article | |
| 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 | 11 |
| 2021 | Simulating liquidity stress in the derivatives market.(2021) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | article | |
| 2021 | A CBA of APC: analysing approaches to procyclicality reduction in CCP initial margin models In: Bank of England working papers. [Full Text][Citation analysis] | paper | 3 |
| 2023 | Self-fulfilling fire sales and market backstops In: Bank of England working papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | The potential impact of broader central clearing on dealer balance sheet capacity: a case study of UK gilt and gilt repo markets In: Bank of England working papers. [Full Text][Citation analysis] | paper | 1 |
| 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 | 44 |
| 2006 | Measuring Investors Risk Appetite.(2006) In: International Journal of Central Banking. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 44 | article | |
| 2005 | Measuring Investors Risk Appetite.(2005) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 44 | 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 | 29 |
| 2016 | Systemic risk in derivatives markets: a pilot study using CDS data In: Bank of England Financial Stability Papers. [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 February, 4 2025. Contact: CitEc Team