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Simone Varotto

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Personal Details

First Name:Simone
Middle Name:
Last Name:Varotto
Suffix:
RePEc Short-ID:pva329
Email:
Homepage:http://www.icmacentre.ac.uk/index.php?id=127
Postal Address:
Phone:
Location: Reading, United Kingdom
Homepage: http://www.icmacentre.rdg.ac.uk/
Email:
Phone: +44 (0)118 378 8239
Fax: +44 (0)118 931 4741
Postal: Whiteknights Park, PO Box 242, Reading, RG6 6BA
Handle: RePEc:edi:isrdguk (more details at EDIRC)
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  1. Simone Varotto, 2010. "Stress Testing Credit Risk: The Great Depression Scenario," ICMA Centre Discussion Papers in Finance icma-dp2010-03, Henley Business School, Reading University.
  2. Simone Varotto, 2008. "An Assessment of the Internal Rating Based Approach in Basel II," ICMA Centre Discussion Papers in Finance icma-dp2008-04, Henley Business School, Reading University.
  3. Simone Varotto, 2007. "Tests on the Accuracy of Basel II," ICMA Centre Discussion Papers in Finance icma-dp2007-09, Henley Business School, Reading University.
  4. Samantha Heslop & Simone Varotto, 2007. "Admissions of International Graduate Students: Art or Science? A Business School Experience," ICMA Centre Discussion Papers in Finance icma-dp2007-08, Henley Business School, Reading University.
  5. Arup Daripa & Simone Varotto, 2005. "Ex Ante Versus Ex Post Regulation of Bank Capital," Birkbeck Working Papers in Economics and Finance 0518, Birkbeck, Department of Economics, Mathematics & Statistics.
  6. Jianming Kou & Dr Simone Varotto, 2005. "Predicting Agency Rating Migrations with Spread Implied Ratings," ICMA Centre Discussion Papers in Finance icma-dp2005-06, Henley Business School, Reading University.
  7. Simone Varotto, 2003. "Credit risk diversification: evidence from the eurobond market," Bank of England working papers 199, Bank of England.
  8. Pamela Nickell & William Perraudin & Simone Varotto, 2001. "Stability of ratings transitions," Bank of England working papers 133, Bank of England.
  9. Simonne Varotto, 2001. "Credit Risk Diversification," ICMA Centre Discussion Papers in Finance icma-dp2001-07, Henley Business School, Reading University.
  10. Pamela Nickell & William Perraudin & Simone Varotto, 2001. "Ratings versus equity-based credit risk modelling: an empirical analysis," Bank of England working papers 132, Bank of England.
  11. Arupratan Daripa & Simone Varotto, 1997. "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 69, Bank of England.
  1. Simone Varotto, 2011. "Liquidity risk, credit risk, market risk and bank capital," International Journal of Managerial Finance, Emerald Group Publishing, vol. 7(2), pages 134-152, April.
  2. Jianming Kou & Simone Varotto, 2008. "Timeliness of Spread Implied Ratings," European Financial Management, European Financial Management Association, vol. 14(3), pages 503-527.
  3. Nickell, Pamela & Perraudin, William & Varotto, Simone, 2007. "Ratings-based credit risk modelling: An empirical analysis," International Review of Financial Analysis, Elsevier, vol. 16(5), pages 434-451.
  4. Nickell, Pamela & Perraudin, William & Varotto, Simone, 2000. "Stability of rating transitions," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 203-227, January.
  5. Arupratan Daripa & Simone Varotto, 1998. "Value at risk and precommitment: approaches to market risk regulation," Economic Policy Review, Federal Reserve Bank of New York, issue Oct, pages 137-143.
5 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (1) 2010-05-22
  2. NEP-FIN: Finance (2) 2005-11-19 2005-12-01. Author is listed
  3. NEP-FMK: Financial Markets (4) 2003-10-05 2005-11-19 2005-12-01 2010-05-22. Author is listed
  4. NEP-HIS: Business, Economic & Financial History (1) 2010-05-22
  5. NEP-REG: Regulation (2) 2005-12-01 2010-05-22. Author is listed
  6. NEP-RMG: Risk Management (2) 2003-10-05 2010-05-22. Author is listed

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