Nicholas Vause Email & Phone Number

London, United Kingdom

- Directing the division’s research into systemic risks posed by non-bank financial institutions.- Leading projects to develop a representative agent model for simulating the propagation and amplification of stress in the financial system- Leading project to quantify the scope for liquidity strains in derivative markets due to margin calls.- Research on Macroprudential Margins, Algorithmic Trading and Insurers’ Investment Behaviour.- Led work for the Financial Policy Committee’s assessment of post-crisis reforms to derivatives markets.- Led teams that prepared Executive Director speeches on Hidden Risks and Non-Bank Risk Simulations.Member of Bank Underground Editorial Board

London, United Kingdom

- Led team collecting and analysing data from derivative trade repositories.- Used data to assess suitability of different types of derivative for mandatory clearing.- Worked with international central banks on aggregating data from multiple national trade repositories.- Researched how to measure and mitigate the procyclicality of CCP margin models- Researched what can be learned about systemic risk in derivative markets from trade repository data.

Basel Area, Switzerland

Research and reporting on developments in derivatives markets.

London, United Kingdom

- Led team of four analysts assessing risks to UK financial stability from global financial markets, with a strong focus on securitisation and derivative markets during the financial crisis.- Gave regular briefings to Governors and Directors and wrote chapters of the Financial Stability Report.- Helped assess the need for and design aspects of some of the exceptional support measures deployed during the financial crisis, including bank capital injections and the corporate bond asset purchase facility.- Contributed to several speeches by the Executive Director for Financial Stability.

London, United Kingdom

- Developed toolkits to infer measures of market, credit and liquidity risk from asset price data. - Published research on Measuring Risk Appetite in International Journal of Central Banking.- Modelled and highlighted some of the risks of Collateralised Debt Obligations.

London, United Kingdom

- Conducted debt sustainability analyses of government and banking sectors in Central and Eastern Europe.- Assessed draft IMF support programmes for Turkey, presenting analysis to Governors

London, United Kingdom

- Maintained and developed macroeconomic models of the UK and euro-area economies.- Contributed analysis to PwC's UK Economic Outlook and PwC European Economic Outlook publications.

Master Of Arts (Ma), Economics, Ii.I

Activities and Societies: Economics Society, Squash, Football Focused on quantitative optional modules, including maths, econometrics.

Master Of Science (Msc), Economics, Distinction

Activities and Societies: Squash, football Optional courses in finance.