Simone Varotto

ICMA Centre - Henley Business School, University of Reading

Whiteknights Park

P.O. Box 242

Reading RG6 6BA

United Kingdom

SCHOLARLY PAPERS

15

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CITATIONS
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SSRN RANKINGS

Top 16,850

in Total Papers Citations

20

Scholarly Papers (15)

1.

Liquidity Risk, Credit Risk, Market Risk and Bank Capital

Number of pages: 28 Posted: 26 Jan 2011
Simone Varotto
ICMA Centre - Henley Business School, University of Reading
Downloads 652 (28,028)

Abstract:

Liquidity Risk, Credit Risk, Market Risk, Financial Crisis, Basel III

2.

An Assessment of the Internal Rating Based Approach in Basel II

Journal of Risk Model Validation, Forthcoming
Number of pages: 29 Posted: 05 Aug 2008 Last Revised: 02 Oct 2008
Simone Varotto
ICMA Centre - Henley Business School, University of Reading
Downloads 641 (30,631)

Abstract:

Basel II, Internal Rating Based Approach, Credit Rating, Credit Risk

3.

Ratings-Based Credit Risk Modelling: An Empirical Analysis

International Review of Financial Analysis, Forthcoming
Number of pages: 33 Posted: 16 Oct 2007
Pamela Nickell, William Perraudin and Simone Varotto
Moody's KMV - New York Office, Imperial College London - Accounting, Finance, and Macroeconomics and ICMA Centre - Henley Business School, University of Reading
Downloads 591 (32,034)
Citation 12

Abstract:

Credit risk models, Value-at-Risk

4.

Tests on the Accuracy of Basel II

CREDIT RISK: MODELS, DERIVATIVES AND MANAGEMENT, FINANCIAL MATHEMATICS SERIES, N. Wagner, ed., Chapman & Hall, Forthcoming
Number of pages: 40 Posted: 31 Aug 2007
Simone Varotto
ICMA Centre - Henley Business School, University of Reading
Downloads 413 (55,175)
Citation 1

Abstract:

Basel II, credit rating, credit risk

5.

Stress Testing Credit Risk: The Great Depression Scenario

Number of pages: 61 Posted: 13 Mar 2010 Last Revised: 01 Sep 2011
Simone Varotto
ICMA Centre - Henley Business School, University of Reading
Downloads 399 (58,412)

Abstract:

Credit Risk, Financial Crisis, Stress Testing, Basel 3

6.

Agency Incentives and Reputational Distortions: A Comparison of the Effectiveness of Value-at-Risk and Pre-Commitment in Regulating Market Risk

Bank of England Working Paper No. 69
Number of pages: 36 Posted: 13 Aug 1998
Arupratan Daripa and Simone Varotto
affiliation not provided to SSRN and ICMA Centre - Henley Business School, University of Reading
Downloads 348 (67,055)
Citation 3

Abstract:

7.

Total Return and Credit Spread Diversification in International Bond Portfolios

Number of pages: 40 Posted: 20 Feb 2007 Last Revised: 10 Jan 2008
Simone Varotto
ICMA Centre - Henley Business School, University of Reading
Downloads 288 (80,792)

Abstract:

Diversification, Bonds, Currency risk, Country risk, Industry risk, Maturity, Seniority, Credit Rating, Credit Spreads

8.

Credit and Liquidity Components of Corporate CDS Spreads

Number of pages: 41 Posted: 26 Feb 2012 Last Revised: 09 Jul 2013
Filippo Coro, Alfonso Dufour and Simone Varotto
University of Reading, ICMA Centre, Henley Business School, University of Reading and ICMA Centre - Henley Business School, University of Reading
Downloads 228 (92,390)

Abstract:

CDS, Liquidity, Credit Risk, Financial Crisis, Informed trading, Trade impact

9.

Price Discovery of Credit Spreads in Tranquil and Crisis Periods

Number of pages: 30 Posted: 12 Jul 2011 Last Revised: 29 Oct 2013
Davide Avino, Emese Lazar and Simone Varotto
Swansea University, University of Reading - ICMA Centre and ICMA Centre - Henley Business School, University of Reading
Downloads 153 (139,346)

Abstract:

credit spreads, price discovery, volatility spillovers, credit and equity derivatives, information flow

10.

Systemic Risk and Bank Size

Number of pages: 47 Posted: 06 Sep 2013 Last Revised: 01 Dec 2014
Simone Varotto and Lei Zhao
ICMA Centre - Henley Business School, University of Reading and ESCP Europe
Downloads 96 (178,840)

Abstract:

Systemic Risk, Financial Crisis, Bank Regulation, Contingent Claim Analysis

11.

Time Varying Price Discovery

Number of pages: 9 Posted: 11 Sep 2014
Davide Avino, Emese Lazar and Simone Varotto
Swansea University, University of Reading - ICMA Centre and ICMA Centre - Henley Business School, University of Reading
Downloads 89 (206,844)

Abstract:

credit spreads, price discovery, multivariate GARCH

12.

Value at Risk and Precommitment: Approaches to Market Risk Regulation

Economic Policy Review, Vol. 4, No. 3, October 1998
Number of pages: 7 Posted: 16 Nov 2007
Arupratan Daripa and Simone Varotto
affiliation not provided to SSRN and ICMA Centre - Henley Business School, University of Reading
Downloads 76 (255,825)

Abstract:

capital regulation

13.

The Equity-Like Behaviour of Sovereign Bonds

Number of pages: 48 Posted: 08 Oct 2014 Last Revised: 22 Mar 2016
Alfonso Dufour, Andrei Tudor Stancu and Simone Varotto
ICMA Centre, Henley Business School, University of Reading, University of East Anglia (UEA) - Norwich Business School and ICMA Centre - Henley Business School, University of Reading
Downloads 68 (206,844)

Abstract:

Government Bonds, Stock-Bond Co-movements, Subprime Crisis, Sovereign Debt Crisis, Credit Risk, Liquidity Risk.

14.

Corporate Governance, Bank Mergers and Executive Compensation

Number of pages: 37 Posted: 03 Dec 2014
Yan Liu, Carol Padgett and Simone Varotto
University of Reading - ICMA Centre, ICMA Centre, Henley Business School, Univeristy of Reading and ICMA Centre - Henley Business School, University of Reading
Downloads 44 (259,831)

Abstract:

Corporate Governance, Bank Mergers, Executive Compensation, Bonus

Timeliness of Spread Implied Ratings

European Financial Management, Vol. 14, Issue 3, pp. 503-527, June 2008
Number of pages: 25 Posted: 13 May 2008
Jianming Kou and Simone Varotto
University of Reading - ICMA Centre and ICMA Centre - Henley Business School, University of Reading
Downloads 4 (541,009)
Citation 4
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Abstract:

Timeliness of Spread Implied Ratings

European Financial Management Journal, Forthcoming
Posted: 16 Oct 2007
Jianming Kou and Simone Varotto
University of Reading - ICMA Centre and ICMA Centre - Henley Business School, University of Reading

Abstract:

Credit rating, Spread implied rating, Credit risk