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

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

A CBA of APC: analysing approaches to procyclicality reduction in CCP initial margin models
Publication // Working Paper

Simulating liquidity stress in the derivatives...

Simulating liquidity stress in the derivatives market
Publication // Working Paper

Macroprudential margins: a new countercyclical...

Macroprudential margins: a new countercyclical tool?
Publication // Working Paper

Judgement Day: algorithmic trading around...

Judgement Day: algorithmic trading around the Swiss franc cap removal
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Nicholas' Bank Underground blog posts

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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