Details about Simone Varotto

Access statistics for papers by Simone Varotto.

Last updated 2020-08-18. Update your information in the RePEc Author Service.

Short-id: pva329

Working Papers

2014

1. Corporate Governance, Bank Mergers and Executive Compensation
   ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading
   See also Journal Article Corporate Governance, Bank Mergers and Executive Compensation, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2017) View citations (10) (2017)
2. Systemic Risk and Bank Size
   ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (1)
   See also Journal Article Systemic risk and bank size, Journal of International Money and Finance, Elsevier (2018) View citations (46) (2018)
3. The Equity-like Behaviour of Sovereign Bonds
   ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading
   See also Journal Article The equity-like behaviour of sovereign bonds, Journal of International Financial Markets, Institutions and Money, Elsevier (2017) View citations (7) (2017)

2012

4. Price Discovery of Credit Spreads in Tranquil and Crisis Periods
   MPRA Paper, University Library of Munich, Germany View citations (1)
   See also Journal Article Price discovery of credit spreads in tranquil and crisis periods, International Review of Financial Analysis, Elsevier (2013) View citations (13) (2013)
5. The Time Varying Properties of Credit and Liquidity Components of CDS Spreads
   ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (2)
6. Which market drives credit spreads in tranquil and crisis periods? An analysis of the contribution to price discovery of bonds, CDS, stocks and options
   MPRA Paper, University Library of Munich, Germany View citations (1)
   Also in ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2011) View citations (1)

2011

7. Liquidity Risk, Credit Risk, Market Risk and Bank Capital
   ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (11)
   See also Journal Article Liquidity risk, credit risk, market risk and bank capital, International Journal of Managerial Finance, Emerald Group Publishing Limited (2011) View citations (10) (2011)

2010

8. Stress Testing Credit Risk: The Great Depression Scenario
   ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (1)
   See also Journal Article Stress testing credit risk: The Great Depression scenario, Journal of Banking & Finance, Elsevier (2012) View citations (9) (2012)

2008

9. An Assessment of the Internal Rating Based Approach in Basel II
   ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (2)

2007

10. Admissions of International Graduate Students: Art or Science? A Business School Experience
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading
11. Tests on the Accuracy of Basel II
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading

2005

12. Ex Ante Versus Ex Post Regulation of Bank Capital
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics View citations (4)
    Also in Finance, University Library of Munich, Germany (2005) View citations (4)
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2004) View citations (2)
    See also Chapter EX-ANTE VERSUS EX-POST REGULATION OF BANK CAPITAL, World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd. (2010) (2010)
13. Predicting Agency Rating Migrations with Spread Implied Ratings
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (7)

2003

14. Credit risk diversification: evidence from the eurobond market
    Bank of England working papers, Bank of England View citations (8)

2001

15. Credit Risk Diversification
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (2)
16. Ratings versus equity-based credit risk modelling: an empirical analysis
    Bank of England working papers, Bank of England View citations (26)
17. Stability of ratings transitions
    Bank of England working papers, Bank of England View citations (35)
    See also Journal Article Stability of rating transitions, Journal of Banking & Finance, Elsevier (2000) View citations (261) (2000)

1997

18. 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 (7)

Journal Articles

2020

1. The differential impact of leverage on the default risk of small and large firms
   Journal of Corporate Finance, 2020, 60, (C) View citations (29)

2019

2. Liquidity and shadow banking
   Journal of International Money and Finance, 2019, 99, (C) View citations (2)

2018

3. Systemic risk and bank size
   Journal of International Money and Finance, 2018, 82, (C), 45-70 View citations (46)
   See also Working Paper Systemic Risk and Bank Size, ICMA Centre Discussion Papers in Finance (2014) View citations (1) (2014)

2017

4. Corporate Governance, Bank Mergers and Executive Compensation
   International Journal of Finance & Economics, 2017, 22, (1), 12-29 View citations (10)
   See also Working Paper Corporate Governance, Bank Mergers and Executive Compensation, ICMA Centre Discussion Papers in Finance (2014) (2014)
5. The equity-like behaviour of sovereign bonds
   Journal of International Financial Markets, Institutions and Money, 2017, 48, (C), 25-46 View citations (7)
   See also Working Paper The Equity-like Behaviour of Sovereign Bonds, ICMA Centre Discussion Papers in Finance (2014) (2014)

2015

6. Time varying price discovery
   Economics Letters, 2015, 126, (C), 18-21 View citations (18)

2013

7. Credit and liquidity components of corporate CDS spreads
   Journal of Banking & Finance, 2013, 37, (12), 5511-5525 View citations (39)
8. Price discovery of credit spreads in tranquil and crisis periods
   International Review of Financial Analysis, 2013, 30, (C), 242-253 View citations (13)
   See also Working Paper Price Discovery of Credit Spreads in Tranquil and Crisis Periods, MPRA Paper (2012) View citations (1) (2012)

2012

9. Stress testing credit risk: The Great Depression scenario
   Journal of Banking & Finance, 2012, 36, (12), 3133-3149 View citations (9)
   See also Working Paper Stress Testing Credit Risk: The Great Depression Scenario, ICMA Centre Discussion Papers in Finance (2010) View citations (1) (2010)

2011

10. Liquidity risk, credit risk, market risk and bank capital
    International Journal of Managerial Finance, 2011, 7, (2), 134-152 View citations (10)
    See also Working Paper Liquidity Risk, Credit Risk, Market Risk and Bank Capital, ICMA Centre Discussion Papers in Finance (2011) View citations (11) (2011)

2008

11. Timeliness of Spread Implied Ratings
    European Financial Management, 2008, 14, (3), 503-527 View citations (7)

2007

12. Ratings-based credit risk modelling: An empirical analysis
    International Review of Financial Analysis, 2007, 16, (5), 434-451 View citations (3)

2000

13. Stability of rating transitions
    Journal of Banking & Finance, 2000, 24, (1-2), 203-227 View citations (261)
    See also Working Paper Stability of ratings transitions, Bank of England working papers (2001) View citations (35) (2001)

1998

14. Value at risk and precommitment: approaches to market risk regulation
    Economic Policy Review, 1998, 4, (Oct), 137-143 View citations (2)

Chapters

2010

1. EX-ANTE VERSUS EX-POST REGULATION OF BANK CAPITAL
   Chapter 2 in Banking And Capital Markets New International Perspectives, 2010, pp 29-58
   See also Working Paper Ex Ante Versus Ex Post Regulation of Bank Capital, Birkbeck, Department of Economics, Mathematics & Statistics (2005) View citations (4) (2005)