Nicholas Vause

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	All	Since 2019
Citations	863	335
h-index	13	11
i10-index	16	12

2005200620072008200920102011201220132014201520162017201820192020202120222023202410 13 9 26 30 26 35 44 58 54 40 56 49 57 64 52 70 53 70 26

Co-authors

David MurphyLondon School of Economics and Political ScienceVerified email at rivast.com
Michalis VasiosEuropean Securities and Markets AuthorityVerified email at esma.europa.eu
Adrian PenalverBanque de FranceVerified email at banque-france.fr
Gerardo FerraraBank of EnglandVerified email at bankofengland.co.uk
Marco BardosciaBank of England, University College LondonVerified email at bankofengland.co.uk
Stefan AvdjievBank for International SettlementsVerified email at bis.org
Christian UpperBank for International SettlementVerified email at bis.org
Goetz von PeterResearch Economist, Bank for International SettlementsVerified email at bis.org
Angelo RanaldoProfessor of Finance and SFI Senior ChairVerified email at unisg.ch
Francis BreedonProfessor of Economics & Finance, Queen Mary University LondonVerified email at qmul.ac.uk
Robleh AliGeneral Manager, WadagsoVerified email at wadagso.com
Filip ZikesEconomist, Federal Reserve BoardVerified email at frb.gov
Peter KondorLondon School of Economics and CEPRVerified email at lse.ac.uk
Andreas SchrimpfBank for International SettlementsVerified email at bis.org
Cian O'NeillBank of EnglandVerified email at bankofengland.co.uk
Karamfil TodorovPhD, London School of Economics; Economist, Bank for International SettlementsVerified email at lse.ac.uk

Nicholas Vause

Bank of England

Verified email at bankofengland.co.uk

Finance


Title Sort by citations Sort by year Sort by title	Cited by Cited by	Year
Measuring Investors' RIsk Appetite P Gai, N Vause International Journal of Central Banking 2 (1), 167-188, 2006	194	2006
Collateral requirements for mandatory central clearing of over-the-counter derivatives D Heller, N Vause BIS working paper, 2012	120	2012
An investigation into the procyclicality of risk-based initial margin models D Murphy, M Vasios, N Vause Bank of England Financial Stability Paper, 2014	98	2014
Financial innovation: what have we learnt? N Jenkinson, A Penalver, N Vause Bank of England Quarterly Bulletin, Q3, 2008	84	2008
Counterparty risk and contract volumes in the credit default swap market N Vause BIS Quarterly Review, December, 2010	60	2010
A comparative analysis of tools to limit the procyclicality of initial margin requirements D Murphy, M Vasios, N Vause Bank of England working paper, 2016	58	2016
Risk appetite: concept and measurement P Gai, N Vause Financial Stability Review 17, 127-136, 2004	45	2004
Judgment day: Algorithmic trading around the Swiss franc cap removal F Breedon, L Chen, A Ranaldo, N Vause Journal of International Economics 140, 103713, 2023	28	2023
Systemic risk in derivatives markets: a pilot study using CDS data R Ali, N Vause, F Zikes Bank of England Financial Stability Paper, 2016	26	2016
Expansion of central clearing D Heller, N Vause BIS Quarterly Review, June, 2011	19	2011
The Impact of Solvency II Regulations on Life Insurers' Investment Behaviour G Douglas, J Noss, N Vause Bank of England Working Paper, 2017	14	2017
Euro area sovereign crisis drives global financial markets N Vause, G von Peter BIS Quarterly Review, December, 1-14, 2011	14	2011
Procyclicality, collateral values and financial stability P Gai, P Kondor, N Vause Bank of England working paper, 2006	13	2006
Simulating liquidity stress in the derivatives market M Bardoscia, G Ferrara, N Vause, M Yoganayagam Journal of Economic Dynamics and Control 133, 104215, 2021	12	2021
A cost–benefit analysis of anti-procyclicality: analyzing approaches to procyclicality reduction in central counterparty initial margin models D Murphy, N Vause Journal of Financial Market Infrastructures 9 (4), 2021	11*	2021
Highlights of the BIS international statistics S Avdjiev, C Upper, N Vause BIS Quarterly Review 11, 2011	11	2011
Credit correlation: interpretation and risks T Belsham, N Vause, S Wells Bank of England Financial Stability Review 19, 103-15, 2005	9	2005
Macroprudential margins: a new countercyclical tool? C O'Neill, N Vause Bank of England Working Paper, 2018	8	2018
Sovereign debt workouts with the IMF as delegated monitor-a common agency approach P Gai, N Vause Bank of England Working Paper, 2003	7	2003
Full payment algorithm M Bardoscia, G Ferrara, N Vause, M Yoganayagam Available at SSRN 3344580, 2019	5	2019

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