Michalis Vasios

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I am a Senior Economist in the Financial Markets Infrastructure Directorate of the Bank of England.

My role involves research and policy analysis on the design of financial markets, in particular derivatives markets. My recent work addresses issues related to valuation adjustments (XVA), clearing houses and the exchange of collateral, trading of derivatives on centralized electronic platforms, trade reporting requirements, and contagion mechanisms in banking networks. 

I have published academic and policy papers and have been a speaker at conferences, seminars and policy institutions, including the American Finance Association annual meetings, the Commodity Futures Trading Commission, Federal Reserve Board, US Treasury, and the European Systemic Risk Board. I also teach courses on the microstructure of OTC derivatives and the post-crisis G20 reforms.

My work has been cited in numerous international policy publications,  for example by the
European Systemic Risk Board (ESRB), Bank for International Settlements (BIS), International Monetary Fund (IMF), OICV-IOSCO, New York FED, National Bank of Belgium, Norges Bank, and Bank of England among others.

Here is some media coverage of my work in Financial Times (2017, 2016a, 2016b, 2015, 2014a, 2014b), Financial News,  The Trade, and Markets Media.

Prior to joining the Bank of England I worked in investment banking as a Equity Trader. I did my studies at University of Warwick (PhD, MPhil), London School of Economics (MSc) and Athens University of Economics and Business (BSc).

Some recent news
  • My new paper on XVA pricing practice will be presented in this year's WFA.
  • Two papers were accepted to the 2018 AFA (Philadelphia) and 2017 EFA (Mannheim).
  • FT’s Alphaville did a whole blog post on my new paper on the microstructure of FX OTCD markets and market dynamics around the Swiss franc de-pegging event (15 Jan 2015)!! Read here.
  • My SEF paper is accepted to the 2017 AFA meeting.
  • May 2016: I was invited at ESRB (Frankfurt) to present some recent work using US DTCC trade repository data.
  •  March 2016: I presented my SEF paper at the Federal Reserve Board and the US  Commodity Futures Trading Commission.

Recent conferences
  • 2018: AFA (Philadelphia).

  • 2017: AFA (Chicago), EFA (Manheim) Annual 2nd CEPR Symposium (London), Atlanta Fed.

  • 2016: EFA, EEA, US CFTC, FED Board, US OFR, SEC, FCA, ESRB, Cambridge-INET, Lancaster, LSE.

  • 2015: NBB, Bundesbank, IAEE.

The views expressed in this website and in my papers are solely my own, and not necessarily those of the Bank of England.