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Details about Simone Varotto

E-mail:
Homepage:http://www.icmacentre.ac.uk/index.php?id=127
Workplace:ICMA Centre for Financial Markets, Henley Business School, University of Reading, (more information at EDIRC)

Access statistics for papers by Simone Varotto.

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

Short-id: pva329


Jump to Journal Articles

Working Papers

2014

  1. Corporate Governance, Bank Mergers and Executive Compensation
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
    See also Journal Article in International Journal of Finance & Economics (2017)
  2. Systemic Risk and Bank Size
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (1)
    See also Journal Article in Journal of International Money and Finance (2018)
  3. The Equity-like Behaviour of Sovereign Bonds
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2017)

2012

  1. Price Discovery of Credit Spreads in Tranquil and Crisis Periods
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article in International Review of Financial Analysis (2013)
  2. The Time Varying Properties of Credit and Liquidity Components of CDS Spreads
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (1)
  3. 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 Downloads View citations (1)
    Also in ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University (2011) Downloads View citations (1)

2011

  1. Liquidity Risk, Credit Risk, Market Risk and Bank Capital
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (5)
    See also Journal Article in International Journal of Managerial Finance (2011)

2010

  1. Stress Testing Credit Risk: The Great Depression Scenario
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (2)
    See also Journal Article in Journal of Banking & Finance (2012)

2008

  1. An Assessment of the Internal Rating Based Approach in Basel II
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (1)

2007

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

2005

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

2003

  1. Credit risk diversification: evidence from the eurobond market
    Bank of England working papers, Bank of England Downloads View citations (7)

2001

  1. Credit Risk Diversification
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (2)
  2. Ratings versus equity-based credit risk modelling: an empirical analysis
    Bank of England working papers, Bank of England Downloads View citations (26)
  3. Stability of ratings transitions
    Bank of England working papers, Bank of England Downloads View citations (36)
    See also Journal Article in Journal of Banking & Finance (2000)

1997

  1. 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 Downloads View citations (5)

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) Downloads View citations (1)

2019

  1. Liquidity and shadow banking
    Journal of International Money and Finance, 2019, 99, (C) Downloads

2018

  1. Systemic risk and bank size
    Journal of International Money and Finance, 2018, 82, (C), 45-70 Downloads View citations (13)
    See also Working Paper (2014)

2017

  1. Corporate Governance, Bank Mergers and Executive Compensation
    International Journal of Finance & Economics, 2017, 22, (1), 12-29 Downloads View citations (2)
    See also Working Paper (2014)
  2. The equity-like behaviour of sovereign bonds
    Journal of International Financial Markets, Institutions and Money, 2017, 48, (C), 25-46 Downloads View citations (3)
    See also Working Paper (2014)

2015

  1. Time varying price discovery
    Economics Letters, 2015, 126, (C), 18-21 Downloads View citations (11)

2013

  1. Credit and liquidity components of corporate CDS spreads
    Journal of Banking & Finance, 2013, 37, (12), 5511-5525 Downloads View citations (28)
  2. Price discovery of credit spreads in tranquil and crisis periods
    International Review of Financial Analysis, 2013, 30, (C), 242-253 Downloads View citations (12)
    See also Working Paper (2012)

2012

  1. Stress testing credit risk: The Great Depression scenario
    Journal of Banking & Finance, 2012, 36, (12), 3133-3149 Downloads View citations (4)
    See also Working Paper (2010)

2011

  1. Liquidity risk, credit risk, market risk and bank capital
    International Journal of Managerial Finance, 2011, 7, (2), 134-152 Downloads View citations (6)
    See also Working Paper (2011)

2008

  1. Timeliness of Spread Implied Ratings
    European Financial Management, 2008, 14, (3), 503-527 Downloads View citations (6)

2007

  1. Ratings-based credit risk modelling: An empirical analysis
    International Review of Financial Analysis, 2007, 16, (5), 434-451 Downloads View citations (1)

2000

  1. Stability of rating transitions
    Journal of Banking & Finance, 2000, 24, (1-2), 203-227 Downloads View citations (222)
    See also Working Paper (2001)

1998

  1. Value at risk and precommitment: approaches to market risk regulation
    Economic Policy Review, 1998, 4, (Oct), 137-143 Downloads View citations (1)
 
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