ICMA Centre for Financial Markets Reading, United Kingdom
Henley Business School
University of Reading
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+44 (0)118 931 4741
Whiteknights Park, PO Box 242, Reading, RG6 6BA
RePEc:edi:isrdguk (more details at EDIRC)
Research outputJump to: Working papers Articles
- 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.
- 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.
- 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.
- Simone Varotto, 2007. "Tests on the Accuracy of Basel II," ICMA Centre Discussion Papers in Finance icma-dp2007-09, Henley Business School, Reading University.
- 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.
- Dr Arup Daripa & Dr. Simone Varotto, 2004. "Ex Ante versus Ex Post Regulation of Bank Capital," ICMA Centre Discussion Papers in Finance icma-dp2004-12, Henley Business School, Reading University.
- Arup Daripa & Simone Varotto, 2005. "Ex Ante Versus Ex Post Regulation of Bank Capital," Finance 0511009, University Library of Munich, Germany.
- Simone Varotto, 2003. "Credit risk diversification: evidence from the eurobond market," Bank of England working papers 199, Bank of England.
- 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.
- Simonne Varotto, 2001. "Credit Risk Diversification," ICMA Centre Discussion Papers in Finance icma-dp2001-07, Henley Business School, Reading University.
- Pamela Nickell & William Perraudin & Simone Varotto, 2001. "Stability of ratings transitions," Bank of England working papers 133, Bank of England.
- 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.
repec:rdg:icmadp:icma-dp2005-06 is not listed on IDEAS
- 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.
- Jianming Kou & Simone Varotto, 2008. "Timeliness of Spread Implied Ratings," European Financial Management, European Financial Management Association, vol. 14(3), pages 503-527.
- 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.
- Nickell, Pamela & Perraudin, William & Varotto, Simone, 2000. "Stability of rating transitions," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 203-227, January.
- 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.
More informationResearch fields, statistics, top rankings, if available.
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NEP FieldsNEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 5 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
- NEP-FMK: Financial Markets (4) 2003-10-05 2005-11-19 2005-12-01 2010-05-22
- NEP-FIN: Finance (2) 2005-11-19 2005-12-01
- NEP-REG: Regulation (2) 2005-12-01 2010-05-22
- NEP-RMG: Risk Management (2) 2003-10-05 2010-05-22
- NEP-BAN: Banking (1) 2010-05-22
- NEP-HIS: Business, Economic & Financial History (1) 2010-05-22
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