Michalis Vasios

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Evangelos BenosVerified email at bankofengland.co.uk
Angelo RanaldoProfessor of Finance and SFI Senior ChairVerified email at unisg.ch
David MurphyLondon School of Economics and Political ScienceVerified email at rivast.com
Prof. Dr. Ingmar NolteProfessor of Finance and Econometrics, Lancaster University Management School, Lancaster UniversityVerified email at lancaster.ac.uk
Nicholas VauseBank of EnglandVerified email at bankofengland.co.uk
Andreas JosephResearch Economist, Bank of EnglandVerified email at bankofengland.co.uk
Albert J. MenkveldVrije Universiteit AmsterdamVerified email at vu.nl
Wenqian HuangBank for International SettlementsVerified email at bis.org
Gino CenedeseFulcrum Asset ManagementVerified email at fulcrumasset.com
Filip ZikesEconomist, Federal Reserve BoardVerified email at frb.gov
Yifan LILecturer in Finance, University of ManchesterVerified email at manchester.ac.uk
Sandra Nolte (Lechner)Professor of Finance and Econometrics, Lancaster University Management SchoolVerified email at lancaster.ac.uk

Michalis Vasios

European Securities and Markets Authority

Verified email at esma.europa.eu - Homepage

Central counterparties EMIR Dodd-Frank Act Market Microstructure Credit Rating Agencies


Title Sort by citations Sort by year Sort by title	Cited by Cited by	Year
An investigation into the procyclicality of risk-based initial margin models D Murphy, M Vasios, N Vause Bank of England Financial Stability Paper, 2014	105	2014
Centralized Trading, Transparency, and Interest Rate Swap Market Liquidity: Evidence from the Implementation of the Dodd–Frank Act E Benos, R Payne, M Vasios Journal of Financial and Quantitative Analysis 55 (1), 159-192, 2020	78	2020
A comparative analysis of tools to limit the procyclicality of initial margin requirements D Murphy, M Vasios, N Vause Bank of England Working Paper, 2016	61	2016
Regulatory effects on short-term interest rates A Ranaldo, P Schaffner, M Vasios Journal of Financial Economics 141 (2), 750-770, 2021	56	2021
OTC premia G Cenedese, A Ranaldo, M Vasios Journal of Financial Economics 136 (1), 86-105, 2020	55	2020
Gauging market dynamics using trade repository data: The case of the Swiss franc de-pegging O Cielinska, A Joseph, U Shreyas, J Tanner, M Vasios Bank of England Financial Stability Paper, 2017	39	2017
The cost of clearing fragmentation E Benos, W Huang, AJ Menkveld, M Vasios Bank of England Working Paper, 2019	25*	2019
Identifying contagion in a banking network AD Morrison, M Vasios, MI Wilson, F Zikes Saïd Business School WP 37, 2016	20	2016
Sell-side analysts’ career concerns during banking stresses I Nolte, S Nolte, M Vasios Journal of Banking & Finance 49, 424-441, 2014	17	2014
Weighted Least Squares Realized Covariation Estimation Y Li, I Nolte, M Vasios, V Voev, Q Xu Journal of Banking & Finance 137, 106420, 2022	4*	2022
Profiting from Mimicking Strategies in Non-Anonymous Markets I Nolte, R Payne, M Vasios Available at SSRN 1820324, 2013	3*	2013
OTC Microstructure in a Period of Stress: A Multi-layered Network Approach A Joseph, M Vasios Journal of Banking & Finance, 106400, 2022	1	2022
Text mining ESG disclosures in rating agency press releases A Amzallag, M Levi, M Vasios European Securities and Markets Authority TRV Risk Analysis, 2022		2022
JFQA 2020 Symposium on the Microstructure of Fixed Income Markets A Survey of the Microstructure of Fixed-Income Markets Hendrik Bessembinder, Chester Spatt, and Kumar … K Back, R Liu, A Teguia, T Hendershott, R Kozhan, V Raman, UST Market, ...		2020

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