Nicholas Vause

Senior Advisor - ​ ​Capital Markets Division


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' 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)