9
H index
9
i10 index
524
Citations
University of Reading | 9 H index 9 i10 index 524 Citations RESEARCH PRODUCTION: 14 Articles 21 Papers 1 Chapters RESEARCH ACTIVITY: 23 years (1997 - 2020). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pva329 |
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: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Banking & Finance | 3 |
International Review of Financial Analysis | 2 |
Journal of International Money and Finance | 2 |
Working Papers Series with more than one paper published | # docs |
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ICMA Centre Discussion Papers in Finance / Henley Business School, University of Reading | 13 |
MPRA Paper / University Library of Munich, Germany | 2 |
Year | Title of citing document |
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2023 | Rating transitions forecasting: a filtering approach. (2021). Lelong, J'Erome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Papers. RePEc:arx:papers:2109.10567. Full description at Econpapers || Download paper |
2023 | Propagation of carbon tax in credit portfolio through macroeconomic factors. (2023). Sopgoui, Lionel ; Jacquier, Antoine ; Ibbou, Smail ; Chassagneux, Jean-Franccois ; Bouveret, G'Eraldine. In: Papers. RePEc:arx:papers:2307.12695. Full description at Econpapers || Download paper |
2023 | The effects of two-way lending between financial conglomerates in bilateral repo markets. (2023). Florez-Acosta, Jorge ; Caon, Carlos ; Gomez, Karoll. In: Borradores de Economia. RePEc:bdr:borrec:1246. Full description at Econpapers || Download paper |
2023 | Do small businesses adjust their capital structure? Evidence from the global financial crisis in Japan. (2023). Tsuruta, Daisuke. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:s1:p:843-871. Full description at Econpapers || Download paper |
2023 | Where does the risk lie? Systemic risk and tail risk networks in the Chinese financial market. (2023). Gao, Chenyin ; Deng, Yang. In: Pacific Economic Review. RePEc:bla:pacecr:v:28:y:2023:i:2:p:167-190. Full description at Econpapers || Download paper |
2023 | A shot in the arm: Economic support packages and firm performance during COVID-19. (2023). Igan, Deniz ; Moore, Tomoe ; Mirzaei, Ali. In: Journal of Corporate Finance. RePEc:eee:corfin:v:78:y:2023:i:c:s0929119922001833. Full description at Econpapers || Download paper |
2023 | The long-term effects of loan guarantees on SME performance. (2023). Quas, Anita ; Colombo, Massimo G ; Bertoni, Fabio. In: Journal of Corporate Finance. RePEc:eee:corfin:v:80:y:2023:i:c:s0929119923000573. Full description at Econpapers || Download paper |
2023 | Political similarities in credit ratings. (2023). Do, Hung ; Nguyen, Nhut H ; Molchanov, Alexander. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000315. Full description at Econpapers || Download paper |
2023 | Systemic risk in non financial companies: Does governance matter?. (2023). Soana, Maria Gaia ; Cucinelli, Doriana. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001175. Full description at Econpapers || Download paper |
2023 | Financial constraints on credit ratings and cash-flow sensitivity. (2023). Chang, Ming-Jen ; Chen, Shikuan ; Chien, Chih-Chung. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923001461. Full description at Econpapers || Download paper |
2023 | A two-stage credit scoring model based on random forest: Evidence from Chinese small firms. (2023). Ballester, Laura ; Shen, Long ; Zhou, Ying. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002715. Full description at Econpapers || Download paper |
2023 | Knowledge mapping of model risk in banking. (2023). Torluccio, Giuseppe ; Rimo, Giuseppe ; Cosma, Simona. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003162. Full description at Econpapers || Download paper |
2023 | Bank loan renegotiation and credit default swaps. (2023). Shohfi, Thomas D ; Francis, Bill B ; Donato, James ; Clark, Brian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:151:y:2023:i:c:s0378426620301989. Full description at Econpapers || Download paper |
2023 | Consistency of banks internal probability of default estimates: Empirical evidence from the COVID-19 crisis. (2023). Teply, Petr ; Stepankova, Barbora. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s037842662300167x. Full description at Econpapers || Download paper |
2023 | Complexity and the default risk of mortgage-backed securities. (2023). Dufour, Alfonso ; Varotto, Simone ; Segato, Samuele ; Billio, Monica. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:155:y:2023:i:c:s0378426623001917. Full description at Econpapers || Download paper |
2023 | Dynamic connectedness between credit and liquidity risks in euro area sovereign debt markets. (2023). Sosvilla-Rivero, Simon ; Pieterse-Bloem, Mary ; Gomez-Puig, Marta. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:68:y:2023:i:c:s1042444x23000191. Full description at Econpapers || Download paper |
2023 | Are short selling threats beneficial to creditors? Insights from corporate default risk. (2023). Xu, Hongmei ; Ni, Xiaoran. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:81:y:2023:i:c:s0927538x23001889. Full description at Econpapers || Download paper |
2023 | Mergers and acquisitions in the financial industry: A bibliometric review and future research directions. (2023). Khan, Ashraf ; Pisera, Stefano ; Dreassi, Alberto ; Chiaramonte, Laura. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002239. Full description at Econpapers || Download paper |
2023 | Measurement and prediction of systemic risk in China’s banking industry. (2023). Zhao, Yue ; Lee, Chien-Chiang ; Zhang, Xinsong. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002604. Full description at Econpapers || Download paper |
2023 | Deposit insurance system, risk-adjusted premium and bank systemic risk: Evidence from China. (2023). Shen, Chuang ; Chen, Qian. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000958. Full description at Econpapers || Download paper |
2023 | A Literature Review on the Financial Determinants of Hotel Default. (2023). METAXAS, THEODORE ; Romanopoulos, Athanasios. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:7:p:323-:d:1188400. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Rating transitions forecasting: a filtering approach. (2023). Picard, Tom ; Lelong, Jerome ; Cousin, Areski. In: Post-Print. RePEc:hal:journl:hal-03347521. Full description at Econpapers || Download paper |
2023 | A nonlinear inversion procedure for modeling the effects of economic factors on credit risk migration. (2023). Stokes, Jeffrey R. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:3:d:10.1007_s11156-023-01170-3. Full description at Econpapers || Download paper |
2023 | Risk, technical efficiency and capital requirements of Ghanaian insurers. (2023). Kuttu, Saint ; Andoh, Charles ; Attah-Kyei, Daniel. In: Risk Management. RePEc:pal:risman:v:25:y:2023:i:4:d:10.1057_s41283-023-00127-z. Full description at Econpapers || Download paper |
2023 | Development of a Transition Matrix Model of Credit Rating of Companies based on Forecasted Macro Factors: the Case of Greece. (2023). Poulios, Costas ; Melas, Evangelos ; Donatou, Anna ; Lefkaditis, Konstantinos ; Leventides, John. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:13:y:2023:i:5:f:13_5_3. Full description at Econpapers || Download paper |
2023 | Corporate credit and leverage in the EU: recent evolution, main drivers and financial stability implications. (2023). Sánchez Serrano, Antonio ; Beck, Thorsten ; Suarez, Javier ; Perotti, Enrico ; Peltonen, Tuomas. In: Report of the Advisory Scientific Committee. RePEc:srk:srkasc:202314. Full description at Econpapers || Download paper |
2023 | Compliance or non?compliance during financial crisis: Does it matter?. (2023). Shah, Syed Zubair ; Halari, Anwar ; Kodwani, Devendra ; Akbar, Saeed ; Ahmad, Sardar. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:3:p:2348-2366. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2005 | Ex Ante Versus Ex Post Regulation of Bank Capital In: Birkbeck Working Papers in Economics and Finance. [Full Text][Citation analysis] | paper | 5 |
2004 | Ex Ante versus Ex Post Regulation of Bank Capital.(2004) In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2005 | Ex Ante Versus Ex Post Regulation of Bank Capital.(2005) In: Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2010 | EX-ANTE VERSUS EX-POST REGULATION OF BANK CAPITAL.(2010) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | chapter | |
2008 | Timeliness of Spread Implied Ratings In: European Financial Management. [Full Text][Citation analysis] | article | 6 |
2001 | Ratings versus equity-based credit risk modelling: an empirical analysis In: Bank of England working papers. [Full Text][Citation analysis] | paper | 26 |
2001 | Stability of ratings transitions In: Bank of England working papers. [Full Text][Citation analysis] | paper | 280 |
2000 | Stability of rating transitions.(2000) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 280 | article | |
2003 | Credit risk diversification: evidence from the eurobond market In: Bank of England working papers. [Full Text][Citation analysis] | paper | 8 |
1997 | Agency 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] | paper | 7 |
2020 | The differential impact of leverage on the default risk of small and large firms In: Journal of Corporate Finance. [Full Text][Citation analysis] | article | 23 |
2015 | Time varying price discovery In: Economics Letters. [Full Text][Citation analysis] | article | 19 |
2007 | Ratings-based credit risk modelling: An empirical analysis In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 3 |
2013 | Price discovery of credit spreads in tranquil and crisis periods In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 12 |
2012 | Price Discovery of Credit Spreads in Tranquil and Crisis Periods.(2012) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
2017 | The equity-like behaviour of sovereign bonds In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 6 |
2014 | The Equity-like Behaviour of Sovereign Bonds.(2014) In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2012 | Stress testing credit risk: The Great Depression scenario In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 8 |
2010 | Stress Testing Credit Risk: The Great Depression Scenario.(2010) In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
2013 | Credit and liquidity components of corporate CDS spreads In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 34 |
2018 | Systemic risk and bank size In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 47 |
2014 | Systemic Risk and Bank Size.(2014) In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 47 | paper | |
2019 | Liquidity and shadow banking In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 2 |
2011 | Liquidity risk, credit risk, market risk and bank capital In: International Journal of Managerial Finance. [Full Text][Citation analysis] | article | 11 |
2011 | Liquidity Risk, Credit Risk, Market Risk and Bank Capital.(2011) In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
1998 | Value at risk and precommitment: approaches to market risk regulation In: Economic Policy Review. [Full Text][Citation analysis] | article | 2 |
2012 | Which market drives credit spreads in tranquil and crisis periods? An analysis of the contribution to price discovery of bonds, CDS, stocks and options In: MPRA Paper. [Full Text][Citation analysis] | paper | 2 |
2011 | Which market drives credit spreads in tranquil and crisis periods? An analysis of the contribution to price discovery of bonds, CDS, stocks and options.(2011) In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2001 | Credit Risk Diversification In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 2 |
2005 | Predicting Agency Rating Migrations with Spread Implied Ratings In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 7 |
2007 | Admissions of International Graduate Students: Art or Science? A Business School Experience In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 0 |
2007 | Tests on the Accuracy of Basel II In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 0 |
2008 | An Assessment of the Internal Rating Based Approach in Basel II In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 2 |
2012 | The Time Varying Properties of Credit and Liquidity Components of CDS Spreads In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 2 |
2014 | Corporate Governance, Bank Mergers and Executive Compensation In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 10 |
2017 | Corporate Governance, Bank Mergers and Executive Compensation.(2017) In: International Journal of Finance & Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article |
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