Simone Varotto

ICMA Centre - Henley Business School, University of Reading

Whiteknights Park

P.O. Box 242

Reading RG6 6BA

United Kingdom

SCHOLARLY PAPERS

31

DOWNLOADS
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Top 7,561

in Total Papers Downloads

11,192

SSRN CITATIONS
Rank 19,271

SSRN RANKINGS

Top 19,271

in Total Papers Citations

56

CROSSREF CITATIONS

15

Scholarly Papers (31)

1.

A New World Post COVID-19: Lessons for Business, the Finance Industry and Policy Makers

Venezia Edizioni Ca’ Foscari - Digital Publishing, 2020
Number of pages: 375 Posted: 05 Aug 2020
Monica Billio, Monica Billio and Simone Varotto
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia and ICMA Centre - Henley Business School, University of Reading
Downloads 3,317 (6,969)

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Unemployment, Travel, Debt, Real Estate, Fiscal Policy, COVID-19, Bank Default, Pandemic, Sports Economics, Mergers, Equity Market, Pension Contributions, Gender, Future of Work, Soccer, Tourism, Green Deal, Measurement, Oil Markets, Labour Market

2.

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 972 (45,317)
Citation 5

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

3.

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 813 (57,892)
Citation 1

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

4.

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 785 (60,747)

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Credit risk models, Value-at-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 544 (96,923)
Citation 7

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Credit Risk, Financial Crisis, Stress Testing, Basel 3

6.

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 455 (120,291)

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Basel II, credit rating, credit risk

7.

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 417 (133,147)
Citation 5

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8.

The Time Varying Properties of Credit and Liquidity Components of CDS Spreads

Number of pages: 39 Posted: 26 Feb 2012 Last Revised: 30 May 2024
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 343 (165,572)
Citation 5

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

9.

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 335 (169,745)
Citation 1

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

10.

Climate Adaptation Disclosure: Does it Bring Home the Green?

Number of pages: 68 Posted: 04 Jul 2023 Last Revised: 12 Mar 2024
ICMA Centre, Henley Business School, University of Reading, ICMA Centre, Henley Business School, University of Reading, University of Reading - Department of Meteorology and ICMA Centre - Henley Business School, University of Reading
Downloads 329 (173,065)

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Climate Change, Adaptation, Firm Value, Information Disclosure, Uncertainty

11.

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 Business School
Downloads 290 (197,675)
Citation 7

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

12.

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

Number of pages: 83 Posted: 17 Aug 2018 Last Revised: 04 Nov 2019
Imperial College Business School, ICMA Centre, Henley Business School, University of Reading, CUNEF Universidad and ICMA Centre - Henley Business School, University of Reading
Downloads 241 (237,873)

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13.

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 LiverpoolFinancial Mathematics and Computation Cluster, University of Reading - ICMA Centre and ICMA Centre - Henley Business School, University of Reading
Downloads 216 (264,036)
Citation 1

Abstract:

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

14.

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 197 (287,198)
Citation 1

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

15.

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 184 (305,193)
Citation 7

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Corporate Governance, Bank Mergers, Executive Compensation, Bonus

16.

Complexity and the Default Risk of Mortgage-Backed Securities

Number of pages: 61 Posted: 27 Apr 2021 Last Revised: 31 Aug 2023
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, ICMA Centre, Henley Business School, University of Reading, ICMA Centre, Henley Business School, University of Reading and ICMA Centre - Henley Business School, University of Reading
Downloads 170 (327,315)
Citation 2

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Asset-Backed Securities, STS Securitisation, Residential Mortgage-Backed Securities, Default Risk, COVID-19 pandemic

17.

The Impact of Global Warming on Small and Micro European Firms

Number of pages: 45 Posted: 28 Dec 2022 Last Revised: 06 Jul 2023
Imperial College Business School, ICMA Centre, Henley Business School, University of Reading, ICMA Centre, Henley Business School, University of Reading and ICMA Centre - Henley Business School, University of Reading
Downloads 163 (339,379)

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Temperature shocks, small and micro firms, climate risk, firm performance

Corporate Bankruptcy and Banking Deregulation: the Effect of Financial Leverage

Number of pages: 58 Posted: 17 Apr 2021 Last Revised: 23 Nov 2022
Imperial College Business School, ICMA Centre, Henley Business School, University of Reading, CUNEF Universidad and ICMA Centre - Henley Business School, University of Reading
Downloads 120 (434,364)

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banking deregulation; banking competition; bankruptcy risk; debt maturity; financial constraints; financial leverage

Corporate Bankruptcy and Banking Deregulation: The Effect of Financial Leverage

Number of pages: 59 Posted: 29 Nov 2022
Imperial College Business School, ICMA Centre, Henley Business School, University of Reading, CUNEF Universidad and ICMA Centre - Henley Business School, University of Reading
Downloads 37 (832,785)

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banking deregulation, banking competition, bankruptcy risk, debt maturity, financial constraints, financial leverage

19.

Bond Supply Expectations and the Term Structure of Interest Rates

Number of pages: 62 Posted: 01 Jul 2020
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, European Central Bank (ECB), ICMA Centre, Henley Business School, University of Reading and ICMA Centre - Henley Business School, University of Reading
Downloads 149 (365,656)

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Expected Supply, Quantitative Easing, Term Structure, Interest Rates, Government Bonds

20.

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 LiverpoolFinancial Mathematics and Computation Cluster, University of Reading - ICMA Centre and ICMA Centre - Henley Business School, University of Reading
Downloads 141 (382,136)
Citation 2

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credit spreads, price discovery, multivariate GARCH

21.

Greenium Fluctuations and Climate Awareness in the Corporate Bond Market

Number of pages: 54 Posted: 24 Jul 2023 Last Revised: 26 Feb 2024
Massimo Dragotto, Alfonso Dufour and Simone Varotto
ICMA Centre - Henley Business School, University of Reading, ICMA Centre, Henley Business School, University of Reading and ICMA Centre - Henley Business School, University of Reading
Downloads 137 (390,752)

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Greenium, Green Bonds, Climate Change, Market Sentiment, Natural Disasters

22.

The Value of Being Responsible in a Crisis: An Analysis of the European Market

Number of pages: 39 Posted: 19 Apr 2021
University of Reading - ICMA Centre, University of Reading - ICMA Centre, ICMA Centre, Henley Business School, University of Reading and ICMA Centre - Henley Business School, University of Reading
Downloads 135 (395,406)

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corporate social responsibility, ESG controversies, financial crises, stock returns

23.

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 123 (424,479)
Citation 2

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capital regulation

24.

COVID-19 and Fiscal Policy in the Euro Area

A New World Post COVID-19: Lessons for Business, the Finance Industry and Policy Makers, 2020
Number of pages: 14 Posted: 05 Aug 2020
Filippo Busetto, Alfonso Dufour and Simone Varotto
European Central Bank (ECB), ICMA Centre, Henley Business School, University of Reading and ICMA Centre - Henley Business School, University of Reading
Downloads 122 (427,099)

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Fiscal Policy, Debt, COVID-19, Interest Rates, Sovereign Yields

25.

The Systemic Risk of Leveraged and Covenant-Lite Loan Syndications

Number of pages: 45 Posted: 07 Dec 2022 Last Revised: 29 Mar 2024
University of Reading - Henley Business School,, University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, ICMA Centre, Henley Business School, University of Reading, ICMA Centre - Henley Business School, University of Reading and Imperial College Business School
Downloads 113 (452,329)

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Leveraged loans, covenant-lite loans, loan syndication, systemic risk, financial networks.

26.

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

Number of pages: 46 Posted: 02 Oct 2017 Last Revised: 01 Nov 2019
Cai Liu and Simone Varotto
Southwestern University of Finance and Economics (SWUFE) and ICMA Centre - Henley Business School, University of Reading
Downloads 78 (575,940)
Citation 3

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Bank Lending, Eurozone Crisis, Government Bonds, Sovereign Risk

27.

Leveraged and Covenant-Lite Loans, Syndication Networks and Systemic Risk

Number of pages: 42 Posted: 28 Jul 2022
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, ICMA Centre, Henley Business School, University of Reading, University of Reading - Henley Business School, and ICMA Centre - Henley Business School, University of Reading
Downloads 76 (584,553)

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Leveraged loans, covenant-lite loans, systemic risk, financial networks.

Rain or Shine, Default Risks Align: Exploring the Climate-Default Nexus in Small and Micro Firms

Number of pages: 68 Posted: 24 Jul 2023
Imperial College Business School, ICMA Centre, Henley Business School, University of Reading, ICMA Centre, Henley Business School, University of Reading, CUNEF Universidad and ICMA Centre - Henley Business School, University of Reading
Downloads 65 (646,524)

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climate risk, physical risk, credit risk, SMEs JEL: G30, G33

Rain or Shine, Default Risks Align: Exploring the Climate-Default Nexus in Small and Micro Firms

Number of pages: 69 Posted: 04 Jun 2024
Imperial College Business School, affiliation not provided to SSRN, ICMA Centre, Henley Business School, University of Reading, CUNEF Universidad and ICMA Centre - Henley Business School, University of Reading
Downloads 3 (1,175,292)

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Climate risk, Physical risk, Credit risk, SMEs

29.

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 62 (651,312)
Citation 1

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

30.

Correlation and Residential Mortgage Default

Number of pages: 47 Posted: 21 Nov 2023
Simone Varotto and Chiara Maria Ventura
ICMA Centre - Henley Business School, University of Reading and University of Reading - Department of Real Estate and Planning
Downloads 60 (661,917)

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Residential Mortgages, Default Risk, Portfolio Correlation, Basel Regulation, Great Financial Crisis

31.

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