10
H index
10
i10 index
288
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 |
|---|---|
| Bank of England working papers / Bank of England | 12 |
| BIS Working Papers / Bank for International Settlements | 2 |
| Bank of England Financial Stability Papers / Bank of England | 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 | An Integral Equation Approach for the Valuation of Finite-maturity margin-call Stock Loans. (2024). Luu, Duc Thi ; Le, Nhat-Tan ; Nguyen, Minh-Quan ; Nguyen-An, Khuong. In: Papers. RePEc:arx:papers:2407.14728. Full description at Econpapers || Download paper |
| 2024 | Shifting the yield curve for fixed-income and derivatives portfolios. (2024). Ruzzi, Dario ; Segura, Anatoli ; Bianchi, Michele Leonardo. In: Papers. RePEc:arx:papers:2412.15986. Full description at Econpapers || Download paper |
| 2025 | EMIR data for financial stability analysis and research. (2025). Bianchi, Michele Leonardo ; Ruzzi, Dario ; Sorvillo, Bianca ; Apicella, Federico ; del Vecchio, Leonardo ; Abate, Luigi. In: IFC Bulletins chapters. RePEc:bis:bisifc:64-12. Full description at Econpapers || Download paper |
| 2025 | When margins call: liquidity preparedness of non-bank financial institutions. (2025). Cappiello, Lorenzo ; Macchiati, Valentina ; Ianiro, Annalaura ; Giuzio, Margherita ; Lillo, Fabrizio. In: Working Paper Series. RePEc:ecb:ecbwps:20253074. Full description at Econpapers || Download paper |
| 2025 | Macroprudential policy, monetary policy and non-bank financial intermediation. (2025). Weistroffer, Christian ; Kaufmann, Christoph ; Storz, Manuela ; Giuzio, Margherita ; Kapadia, Sujit. In: Working Paper Series. RePEc:ecb:ecbwps:20253130. 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 |
| 2025 | Time-varying risk aversion and international stock returns. (2025). Hansen, Erwin ; Guidolin, Massimo ; Cabrera, Gabriel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824001967. Full description at Econpapers || Download paper |
| 2024 | Worst-case higher moment risk measure: Addressing distributional shifts and procyclicality. (2024). Quiceno, Nancy ; Gomez, Fabio ; Castro-Iragorri, Carlos. In: Finance Research Letters. RePEc:eee:finlet:v:65:y:2024:i:c:s154461232400610x. Full description at Econpapers || Download paper |
| 2024 | Dynamic margin optimization. (2024). Dömötör, Barbara ; 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). Ferrara, Gerardo ; Caccioli, Fabio ; Ramadiah, Amanah. In: Journal of Financial Stability. RePEc:eee:finsta:v:71:y:2024:i:c:s1572308924000160. Full description at Econpapers || Download paper |
| 2025 | Stress testing OTC derivatives: Clearing reforms and market frictions. (2025). Casu, Barbara ; Katsoulis, Petros ; Kalotychou, Elena. In: Journal of Financial Stability. RePEc:eee:finsta:v:77:y:2025:i:c:s1572308925000178. 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 | Financial Stability and Innovation: The Role of Non-Performing Loans. (2024). Magazzino, Cosimo ; LEOGRANDE, ANGELO ; COSTANTIELLO, ALBERTO ; Hussain, Syed Kafait ; Arnone, Massimo. In: FinTech. RePEc:gam:jfinte:v:3:y:2024:i:4:p:27-536:d:1498226. Full description at Econpapers || Download paper |
| 2024 | MODELING AND ANALYSIS OF YIELD CURVE AND EXCHANGE RATE FORMATION IN PRO-MARKET MONETARY OPERATIONS. (2024). Mustika, Kusfisiami Wima ; Fista, Geyana Ledy ; Harun, Cicilia Anggadewi ; Sasongko, Aryo ; Safitri, Dila ; Kurniati, Puput ; Larasati, Karanissa ; Dinianyadharani, Aninditha Kemala. In: Working Papers. RePEc:idn:wpaper:wp092024. Full description at Econpapers || Download paper |
| 2024 | The Relationship Between Financial Knowledge, Investment Strategy and Satisfaction From Pension Schemes: Evidence From India. (2024). Sharma, Tejinder ; Saini, Shallu ; Parayitam, Satyanarayana. 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 |
| 2025 | The Impact of CCP Liquidity Demands on Clearing Members Under Stress. (2025). Heilbron, John ; Tompaidis, Stathis. In: Working Papers. RePEc:ofr:wpaper:25-03. 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 | 2 |
| 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: 2 | 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 | 14 |
| 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: 14 | 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 | 45 |
| 2006 | Measuring Investors Risk Appetite.(2006) In: International Journal of Central Banking. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 45 | article | |
| 2005 | Measuring Investors Risk Appetite.(2005) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 45 | 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. [Citation analysis] | paper | 18 |
| 2008 | Financial Innovation: What Have We Learnt? In: RBA Annual Conference Volume (Discontinued). [Full Text][Citation analysis] | chapter | 15 |
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