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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

 

Email Nicholas

Nicholas at RePEc


Nicholas' Bank publications

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

Macroprudential margins: a new countercyclical...

Macroprudential margins: a new countercyclical tool?
// Publication // Working Paper
Judgement Day: algorithmic trading around the Swiss franc cap removal

Judgement Day: algorithmic trading around...

Judgement Day: algorithmic trading around the Swiss franc cap removal
// Publication // Working Paper
The impact of Solvency II regulations on life insurers’ investment behaviour

The impact of Solvency II regulations on...

The impact of Solvency II regulations on life insurers’ investment behaviour
// Publication // Financial Stability Paper
Systemic risk in derivatives markets: a pilot study using CDS data

Systemic risk in derivatives markets: a pilot...

Systemic risk in derivatives markets: a pilot study using CDS data

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Nicholas' Bank Underground blog posts

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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