Simone Varotto

ICMA Centre - Henley Business School, University of Reading

Whiteknights Park

P.O. Box 242

Reading RG6 6BA

United Kingdom

  • ICMA Centre - Henley Business School, University of Reading

SCHOLARLY PAPERS

18

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CITATIONS
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36

Scholarly Papers (18)

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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 791 (29,811)
Citation 6

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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 680 (36,662)

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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 670 (37,418)
Citation 2

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Credit risk models, Value-at-Risk

4.

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 441 (63,898)
Citation 5

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Credit Risk, Financial Crisis, Stress Testing, Basel 3

5.

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 420 (67,754)
Citation 1

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Basel II, credit rating, credit risk

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 360 (81,222)
Citation 4

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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 305 (97,798)

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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 294 (101,796)
Citation 5

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

9.

Systemic Risk and Bank Size

Number of pages: 65 Posted: 06 Sep 2013 Last Revised: 26 Aug 2017
Simone Varotto and Lei Zhao
ICMA Centre - Henley Business School, University of Reading and ESCP Europe
Downloads 204 (147,206)
Citation 4

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

10.

Price Discovery of Credit Spreads in Tranquil and Crisis Periods

International Review of Financial Analysis, Vol. 30, pp. 242-253, 2013
Number of pages: 30 Posted: 12 Jul 2011 Last Revised: 07 Mar 2019
Davide E. Avino, Emese Lazar and Simone Varotto
University of Liverpool, University of Reading - ICMA Centre and ICMA Centre - Henley Business School, University of Reading
Downloads 180 (165,171)
Citation 4

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

11.

The Equity-Like Behaviour of Sovereign Bonds

Number of pages: 48 Posted: 08 Oct 2014 Last Revised: 22 Mar 2016
Alfonso Dufour, Andrei 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 125 (223,378)
Citation 1

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

12.

Time Varying Price Discovery

Economics Letters, Vol. 126, pp. 18-21, 2015
Number of pages: 9 Posted: 11 Sep 2014 Last Revised: 07 Mar 2019
Davide E. Avino, Emese Lazar and Simone Varotto
University of Liverpool, University of Reading - ICMA Centre and ICMA Centre - Henley Business School, University of Reading
Downloads 112 (242,162)

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credit spreads, price discovery, multivariate GARCH

13.

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 89 (282,400)
Citation 1

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Corporate Governance, Bank Mergers, Executive Compensation, Bonus

14.

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 78 (306,012)
Citation 1

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capital regulation

15.

Is Small Beautiful? The Resilience of Small Banks During the European Debt Crisis

Number of pages: 54 Posted: 02 Oct 2017
Cai Liu and Simone Varotto
University of Reading - ICMA Centre and ICMA Centre - Henley Business School, University of Reading
Downloads 30 (461,698)

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Bank Lending, Eurozone Crisis, Government Bonds, Sovereign Risk

16.

Liquidity and Shadow Banking

Number of pages: 38 Posted: 29 Sep 2017 Last Revised: 30 Sep 2017
Zary Aftab and Simone Varotto
ICMA Centre - Henley Business School, University of Reading and ICMA Centre - Henley Business School, University of Reading
Downloads 30 (461,698)

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Sovereign Debt Crisis, Shadow Banking, Liquidity, Money Market Funds, Financial Regulation

17.

The Differential Impact of Leverage on the Default Risk of Small and Large Firms

Number of pages: 64 Posted: 17 Aug 2018
Lara Cathcart, Alfonso Dufour, Ludovico Rossi and Simone Varotto
Imperial College Business School, ICMA Centre, Henley Business School, University of Reading, University of Reading - ICMA Centre and ICMA Centre - Henley Business School, University of Reading
Downloads 28 (471,410)

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18.

Timeliness of Spread Implied Ratings

Downloads 4 (613,338)

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 (641,306)
Citation 7
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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

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Credit rating, Spread implied rating, Credit risk