Simone Varotto : Citation Profile

Are you Simone Varotto?

University of Reading

9

H index

9

i10 index

544

Citations

RESEARCH PRODUCTION:

14

Articles

21

Papers

1

Chapters

RESEARCH ACTIVITY:

   23 years (1997 - 2020). See details.
   Cites by year: 23
   Journals where Simone Varotto has often published
   Relations with other researchers
   Recent citing documents: 51.    Total self citations: 7 (1.27 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pva329
   Updated: 2024-12-03    RAS profile: 2020-08-18    
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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 (16)

Schuermann, Til (12)

Perraudin, William (11)

Koopman, Siem Jan (11)

Tsomocos, Dimitrios (10)

Carey, Mark (9)

Shahzad, Syed Jawad Hussain (7)

Saporta, Victoria (5)

Jokivuolle, Esa (5)

Alsakka, Rasha (5)

Duffie, Darrell (5)

Cites to:

Perraudin, William (13)

Acharya, Viral (12)

Gordy, Michael (11)

Altman, Edward (10)

Kupiec, Paul (9)

Jarrow, Robert (8)

Lando, David (8)

merton, robert (8)

Engle, Robert (7)

Pedersen, Lasse (7)

Bebchuk, Lucian (6)

Main data

Where Simone Varotto has published?

Journals with more than one article published# docs
Journal of Banking & Finance3
Journal of International Money and Finance2
International Review of Financial Analysis2

Working Papers Series with more than one paper published# docs
ICMA Centre Discussion Papers in Finance / Henley Business School, University of Reading13
MPRA Paper / University Library of Munich, Germany2

Recent works citing Simone Varotto (2024 and 2023)

YearTitle of citing document
2023Rating transitions forecasting: a filtering approach. (2021). Lelong, J'Erome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Papers. RePEc:arx:papers:2109.10567.

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2024Propagation 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.

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2024A Markov approach to credit rating migration conditional on economic states. (2024). Packham, Natalie ; Kalkbrener, Michael. In: Papers. RePEc:arx:papers:2403.14868.

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2024Calibration of the rating transition model for high and low default portfolios. (2024). Spreij, Peter ; Khedher, Asma. In: Papers. RePEc:arx:papers:2405.00576.

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2023The 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.

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2023Do 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.

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2023Where 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.

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2023A 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.

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2023The 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.

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2024The calibration of initial shocks in bank stress test scenarios: An outlier detection based approach. (2024). Pop, Adrian ; Levy-Rueff, Guy ; Darne, Olivier. In: Economic Modelling. RePEc:eee:ecmode:v:136:y:2024:i:c:s0264999324001007.

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2024How carbon risk affects corporate debt defaults: Evidence from Paris agreement. (2024). Liang, Yuchao ; Qiang, Haofan ; Wang, Jiaxin ; Zhong, Wenrui ; Huang, Xiang. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007739.

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2024Credit default swaps and corporate carbon emissions in Japan. (2024). Takaoka, Sumiko ; Okimoto, Tatsuyoshi. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324002123.

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2023Political 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.

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2023Systemic 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.

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2023Financial 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.

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2023A 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.

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2023Knowledge 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.

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2023Bank loans, trade credit, and liquidity shortages of small businesses during the global financial crisis. (2023). Tsuruta, Daisuke. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004210.

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2024Social credit system construction and corporate debt dilemmas. (2024). Zhang, YI ; Wu, Lingling. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323012278.

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2024Contagion effects of permissionless, worthless cryptocurrency tokens: Evidence from the collapse of FTX. (2024). Conlon, Thomas ; Corbet, Shaen ; Hou, Yang. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443124000064.

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2023Bank 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.

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2023Consistency 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.

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2023Complexity 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.

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2023Eurozone government bond spreads: A tale of different ECB policy regimes. (2023). Pieterse-Bloem, Mary. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:139:y:2023:i:c:s0261560623001663.

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2023Dynamic 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.

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2023Are 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.

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2023Enduring lending relationships and european firms default. (2023). Rondinella, Sandro ; Errico, Lucia ; Agostino, Mariarosaria ; Trivieri, Francesco. In: Research in Economics. RePEc:eee:reecon:v:77:y:2023:i:4:p:459-477.

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2024Default risk and stock returns: From a perspective of measurement errors. (2024). Hu, Yingyao ; Yang, Xiaolou. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:1545-1561.

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2023Mergers 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.

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2023Measurement 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.

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2023Deposit 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.

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2024Assessing the impact of the COVID-19 crisis on sovereign default risk. (2024). Kanno, Masayasu. In: Research in International Business and Finance. RePEc:eee:riibaf:v:68:y:2024:i:c:s0275531923003240.

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2024Does gender matter in financing SMEs in green industry?. (2024). Pisani, Raoul ; di Tommaso, Caterina ; Arcuri, Maria Cristina. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s027553192400014x.

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2024Commonality in liquidity and corporate default risk - Evidence from China. (2024). Zan, Bingyan ; Li, Jintian ; He, Feng ; Fu, Yumei. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000734.

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2023A 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.

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2023.

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2024Firm Support Measures, Credit Payment Behavior, and Credit Risk. (2024). Rodríguez-Novoa, Daniela ; Gómez, Camilo ; Rodriguez-Novoa, Daniela. In: IHEID Working Papers. RePEc:gii:giihei:heidwp03-2024.

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2023Rating transitions forecasting: a filtering approach. (2023). Picard, Tom ; Lelong, Jerome ; Cousin, Areski. In: Post-Print. RePEc:hal:journl:hal-03347521.

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2023A 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.

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2023Risk, 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.

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2023Development 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.

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2023Corporate 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.

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2023Determinants of loan survival rates for small and medium?sized enterprises: Evidence from an emerging economy. (2022). Bátiz-Zuk, Enrique ; Batizzuk, Enrique ; Sanchezcajal, Fatima ; Mohamed, Abdulkadir ; Lopezgallo, Fabrizio. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:4:p:4741-4755.

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2024.

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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]		paper5
2004Ex 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
2005Ex Ante Versus Ex Post Regulation of Bank Capital.(2005) In: Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2010EX-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
2008Timeliness of Spread Implied Ratings In: European Financial Management.
[Full Text][Citation analysis]		article6
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]		paper287
2000Stability of rating transitions.(2000) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 287		article
2003Credit risk diversification: evidence from the eurobond market In: Bank of England working papers.
[Full Text][Citation analysis]		paper8
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]		paper7
2020The differential impact of leverage on the default risk of small and large firms In: Journal of Corporate Finance.
[Full Text][Citation analysis]		article30
2015Time varying price discovery In: Economics Letters.
[Full Text][Citation analysis]		article19
2007Ratings-based credit risk modelling: An empirical analysis In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article3
2013Price discovery of credit spreads in tranquil and crisis periods In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article13
2012Price Discovery of Credit Spreads in Tranquil and Crisis Periods.(2012) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		paper
2017The equity-like behaviour of sovereign bonds In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article7
2014The 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: 7		paper
2012Stress testing credit risk: The Great Depression scenario In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article9
2010Stress 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: 9		paper
2013Credit and liquidity components of corporate CDS spreads In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article37
2018Systemic risk and bank size In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article47
2014Systemic 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
2019Liquidity and shadow banking In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article2
2011Liquidity risk, credit risk, market risk and bank capital In: International Journal of Managerial Finance.
[Full Text][Citation analysis]		article11
2011Liquidity 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
1998Value at risk and precommitment: approaches to market risk regulation In: Economic Policy Review.
[Full Text][Citation analysis]		article2
2012Which 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]		paper2
2011Which 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
2001Credit Risk Diversification In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper2
2005Predicting Agency Rating Migrations with Spread Implied Ratings In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper7
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]		paper2
2012The Time Varying Properties of Credit and Liquidity Components of CDS Spreads In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper2
2014Corporate Governance, Bank Mergers and Executive Compensation In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper10
2017Corporate 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

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team