Details about Simone Varotto

Access statistics for papers by Simone Varotto.

Last updated 2009-05-05. Update your information in the RePEc Author Service.

Short-id: pva329

Working Papers

2005

1. Ex Ante Versus Ex Post Regulation of Bank Capital
   Finance, EconWPA
   Also in ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University (2004)
   Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics (2005)
2. Predicting Agency Rating Migrations with Spread Implied Ratings
   ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University

2001

3. Credit Risk Diversification
   ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University View citations

Undated

4. 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 papers, Bank of England View citations
5. Credit risk diversification: evidence from the eurobond market
   Bank of England working papers, Bank of England View citations
6. Ratings versus equity-based credit risk modelling: an empirical analysis
   Bank of England working papers, Bank of England View citations
7. Stability of ratings transitions
   Bank of England working papers, Bank of England View citations
   See also Journal Article in Journal of Banking & Finance (2000)

Journal Articles

2008

1. Timeliness of Spread Implied Ratings
   European Financial Management, 2008, 14, (3), 503-527

2007

2. Ratings-based credit risk modelling: An empirical analysis
   International Review of Financial Analysis, 2007, 16, (5), 434-451

2000

3. Stability of rating transitions
   Journal of Banking & Finance, 2000, 24, (1-2), 203-227 View citations
   See also Working Paper

1998

4. Value at risk and precommitment: approaches to market risk regulation
   Economic Policy Review, 1998, (Oct), 137-143