Simone Varotto : Citation Profile


Are you Simone Varotto?

University of Reading

5

H index

2

i10 index

298

Citations

RESEARCH PRODUCTION:

5

Articles

12

Papers

RESEARCH ACTIVITY:

   14 years (1997 - 2011). See details.
   Cites by year: 21
   Journals where Simone Varotto has often published
   Relations with other researchers
   Recent citing documents: 16.    Total self citations: 3 (1 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pva329
   Updated: 2019-07-21    RAS profile: 2011-10-22    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Simone Varotto.

Is cited by:

Lucas, Andre (15)

Schuermann, Til (12)

Perraudin, William (11)

Koopman, Siem Jan (10)

Tsomocos, Dimitrios (9)

Saporta, Victoria (5)

Duffie, Darrell (5)

Jokivuolle, Esa (5)

Pesaran, M (4)

Kiefer, Nicholas (4)

ap Gwilym, Owain (4)

Cites to:

Perraudin, William (12)

Kupiec, Paul (9)

Gordy, Michael (8)

Lando, David (7)

Jarrow, Robert (6)

Chan, Yuk-Shee (6)

Hall, Maximilian (6)

Thakor, Anjan (5)

Jacobson, Tor (4)

Perignon, Christophe (4)

Lopez, Jose (4)

Main data


Where Simone Varotto has published?


Working Papers Series with more than one paper published# docs
ICMA Centre Discussion Papers in Finance / Henley Business School, Reading University6

Recent works citing Simone Varotto (2018 and 2017)


YearTitle of citing document
2018Estimation and prediction of credit risk based on rating transition systems. (2018). Shao, Jinghai ; Li, Yong. In: Papers. RePEc:arx:papers:1607.00448.

Full description at Econpapers || Download paper

2018Capturing Model Risk and Rating Momentum in the Estimation of Probabilities of Default and Credit Rating Migrations. (2018). Pfeuffer, Marius ; Smith, Greig ; Reis, Goncalo Dos . In: Papers. RePEc:arx:papers:1809.09889.

Full description at Econpapers || Download paper

2018Dependence of Structural Breaks in Rating Transition Dynamics on Economic and Market Variations. (2018). Xing, Haipeng ; Chen, Ying. In: Review of Economics & Finance. RePEc:bap:journl:180101.

Full description at Econpapers || Download paper

2019Labor Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects. (2019). Tuzcuoglu, Kerem. In: Staff Working Papers. RePEc:bca:bocawp:19-16.

Full description at Econpapers || Download paper

2017The Effect of Business and Financial Market Cycles on Credit Ratings: Evidence from the Last Two Decades. (2017). Stolowy, Hervé ; Astolfi, Pierre ; Paugam, Luc ; Lobo, Gerald J. In: Abacus. RePEc:bla:abacus:v:53:y:2017:i:1:p:59-93.

Full description at Econpapers || Download paper

2018DURATION MODELS FOR CREDIT RATING MIGRATION: EVIDENCE FROM THE FINANCIAL CRISIS. (2018). Prigent, Jean-Luc ; Karaa, Adel ; ben Ayed, Myriam. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:3:p:1870-1886.

Full description at Econpapers || Download paper

2017An Unexpected Crisis? Looking at Pricing Effectiveness of Heterogeneous Banks. (2017). Vacca, Valerio. In: Economic Notes. RePEc:bla:ecnote:v:46:y:2017:i:2:p:171-206.

Full description at Econpapers || Download paper

2019BANKING RISK MANAGEMENT ACCORDING TO THE REQUIREMENTS OF THE BASEL AGREEMENTS. (2019). Abuzarqa, Rawan. In: SEA - Practical Application of Science. RePEc:cmj:seapas:y:2019:i:19:p:29-38.

Full description at Econpapers || Download paper

2017Equity market information and credit risk signaling: A quantile cointegrating regression approach. (2017). Gatfaoui, Hayette. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:48-59.

Full description at Econpapers || Download paper

2018Credit and market risks measurement in carbon financing for Chinese banks. (2018). Zhang, XI ; Li, Jian. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:549-557.

Full description at Econpapers || Download paper

2017Debt correlations in the wake of the financial crisis: What are appropriate default correlations for structured products?. (2017). Nickerson, Jordan ; Griffin, John M. In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:3:p:454-474.

Full description at Econpapers || Download paper

2017Rating Migration and Bond Valuation: Decomposing Rating Migration Matrices from Market Data via Default Probability Term Structures. (2017). Barnard, Brian. In: Expert Journal of Finance. RePEc:exp:finnce:v:5:y:2017:i::p:49-72.

Full description at Econpapers || Download paper

2017Herding Behaviour among Credit Rating Agencies. (2017). Bellot, Nicolas Jannone. In: Journal of Finance and Economics Research. RePEc:gei:jnlfer:v:2:y:2017:i:1:p:56-83.

Full description at Econpapers || Download paper

2017The Probability of Default Under IFRS 9: Multi-period Estimation and Macroeconomic Forecast. (2017). Vank, Toma ; Hampel, David. In: Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis. RePEc:mup:actaun:actaun_2017065020759.

Full description at Econpapers || Download paper

2018Ex-ante real estate Value at Risk calculation method. (2018). Barthélémy, Fabrice ; Amedee-Manesme, Charles-Olivier. In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-015-2046-7.

Full description at Econpapers || Download paper

Works by Simone Varotto:


YearTitleTypeCited
2005Ex Ante Versus Ex Post Regulation of Bank Capital In: Birkbeck Working Papers in Economics and Finance.
[Full Text][Citation analysis]
paper3
2004Ex Ante versus Ex Post Regulation of Bank Capital.(2004) In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2005Ex Ante Versus Ex Post Regulation of Bank Capital.(2005) In: Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2008Timeliness of Spread Implied Ratings In: European Financial Management.
[Full Text][Citation analysis]
article5
2001Ratings versus equity-based credit risk modelling: an empirical analysis In: Bank of England working papers.
[Full Text][Citation analysis]
paper26
2001Stability of ratings transitions In: Bank of England working papers.
[Full Text][Citation analysis]
paper241
2000Stability of rating transitions.(2000) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 241
article
2003Credit risk diversification: evidence from the eurobond market In: Bank of England working papers.
[Full Text][Citation analysis]
paper6
1997Agency Incentives and Reputational Distortions: a Comparison of the Effectiveness of Value-at-Risk and Pre-commitment in Regulating Market Risk In: Bank of England working papers.
[Full Text][Citation analysis]
paper5
2007Ratings-based credit risk modelling: An empirical analysis In: International Review of Financial Analysis.
[Full Text][Citation analysis]
article1
2011Liquidity risk, credit risk, market risk and bank capital In: International Journal of Managerial Finance.
[Full Text][Citation analysis]
article5
1998Value at risk and precommitment: approaches to market risk regulation In: Economic Policy Review.
[Full Text][Citation analysis]
article1
2001Credit Risk Diversification In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]
paper2
2007Admissions of International Graduate Students: Art or Science? A Business School Experience In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]
paper0
2007Tests on the Accuracy of Basel II In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]
paper0
2008An Assessment of the Internal Rating Based Approach in Basel II In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]
paper1
2010Stress Testing Credit Risk: The Great Depression Scenario In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]
paper2

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 1st 2019. Contact: CitEc Team