Dr Simone Varotto
Lecturer in Finance
T: +44 (0)118 378 6655
Specialisms: Credit Risk, Bank Regulation
Biography
Simone holds a PhD in Financial Economics from Birkbeck College, London. Between 1996 and 2000, he was a member of the research staff of the Bank of England where he worked on credit risk modelling and Basel II. Soon afterward he joined the ICMA Centre at Henley Business School, University of Reading as a lecturer. Simone teaches undergraduate and postgraduate courses in risk management, credit risk and mergers and acquisitions and has an active research interest in credit risk, liquidity risk and financial regulation. He is a member of the Board of Directors of the European Financial Management Association.
Publications
Varotto, S. (2011) "Credit Risk Stress Testing: The Great Depression Scenario" Journal of Banking and Finance, forthcoming.
Varotto, S. (2011) "Liquidity Risk, Credit Risk, Market Risk and Bank Capital" forthcoming in the International Journal of Managerial Finance.
Drage, S. and Varotto, S. (2010) "Country Bias Detection in Postgraduate Student Admissions", The Journal of International Management Education, Vol. 8, No. 3, pp. 95-106.
Daripa, A. and Varotto S. (2010) ''Ex Ante Versus Ex Post Regulation of Bank Capital'' in Banking and Capital Markets: New International Perspectives, edited by Harold Black, Lloyd P. Blenman, and Edward Kane, World Scientific Publishing Press/Imperial Press.
Varotto, S. (2008) "An assessment of the internal rating based approach in Basel II", The Journal of Risk Model Validation 2 (2), Summer.
Kou, J. and Varotto, S. (2008) "Timeliness of Spread Implied Ratings," European Financial Management, Vol. 14, No. 3, 503-527.
Varotto, S. (2008) "Tests on the Accuracy of Basel II", Credit Risk: Models, Derivatives and Management, N. Wagner (ed.), Financial Mathematics Series Vol. 6, Chapman & Hall / CRC, Boca Raton, London, New York.
Nickell, P. Perraudin, W. and Varotto, S.(2007) "Rating-Based Credit Risk Modelling: An Empirical Analysis". International Review of Financial Analysis, Volume 16/5, p. 434
Nickell, P., Perraudin, W., Varotto, S., (2001) Ratings versus equity-based credit risk modelling: an empirical analysis, Bank of England Quarterly Bulletin, Vol: 41, p. 215.
Daripa, A. and Varotto, S., (1998) "Value-at-Risk and Pre-commitment: Approaches to Market Risk Regulation," Economic Policy Review, Federal Reserve Bank of New York (September)
Daripa, A., Jackson, P. and Varotto, S. (1997) "The Pre-commitment Approach to Setting Capital Requirements" Bank of England Financial Stability Review, Autumn, pp 42-50.
