Nicholas Vause

Senior Advisor - ​ ​Capital Markets Division

Biography

Nick’s research interests focus on assessing and mitigating risks in the financial system. His recent work has concentrated on systemic risks associated with derivatives and collateral, while past work has related to sovereign and corporate credit risk.
Nicholas Vause

 

Nicholas' Bank publications

Publication // Working Paper

Relationship discounts in corporate bond...

Relationship discounts in corporate bond trading
Publication // Working Paper

The potential impact of broader central clearing...

The potential impact of broader central clearing on dealer balance sheet capacity: a case study of UK...
Publication // Working Paper

Self-fulfilling fire sales and market backstops

Self-fulfilling fire sales and market backstops
Publication // Working Paper

A CBA of APC: analysing approaches to procyclicality...

A CBA of APC: analysing approaches to procyclicality reduction in CCP initial margin models
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Nicholas' Bank Underground blog posts

A simple model of the effects of entity and activity constraints on alternative investment funds - September 2024
Central clearing and the functioning of government bond markets - September 2023
Risk perceptions and economic activity in the United Kingdom - August 2023
Strengthening the resilience of market-based finance - November 2022
Bitesize: The pricing of credit risk - November 2022
The costs and benefits of reducing the cyclicality of margin models - January 2022
Procyclicality mechanisms in the financial system: what we know and some open questions - June 2021
Hubble? Bubble? Valuation trouble? - October 2020
Margin call! Cash shortfall? - January 2020
A balancing act: the case for macroprudential margin requirements - January 2019
Bitesize: Premium Delirium II - September 2018
Bitesize: Premium Delirium - September 2018
Algos all go? - May 2018
Insurance companies: amplifiers or the white knights of financial markets? - September 2017
Has corporate bond market liquidity fallen? - August 2015

Nicholas' selected academic publications

Collateral requirements for mandatory central clearing of over-the-counter derivatives, with Daniel Heller, Bank for International Settlements working paper (2012)
Counterparty risk and contract volumes in the credit default swap market, Bank for International Settlements Quarterly Review (2010)
Financial Innovation: What Have We Learnt?, with Nigel Jenkinson and Adrian Penalver, in: Paul Bloxham & Christopher Kent (ed.), ‘Lessons from the Financial Turmoil of 2007 and 2008’, Reserve Bank of Australia
Measuring investors’ risk appetite, with Prasanna Gai, International Journal of Central Banking (2006)

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