Dr Simone Varotto
Teaching Fellow
E: https://www.icmacentre.ac.uk/s.varotto@icmacentre.ac.uk
T: +44 (0)118 378 6655
Specialisms: Credit Risk, Bank Regulation
Biography
Simone holds a PhD in Financial Economics from Birkbeck College, London. He teaches Management of Risk in the BSc Program and Credit Risk and Mergers and Acquisitions in the MSc Program. Between 1996 and 2000, Simone worked at the Bank of England as an economist. He is currently a member of the Board of Directors of the European Financial Management Association. His research interests are in credit risk, liquidity risk and financial regulation.
Publications
Drage, S. and Varotto, S. (2010) "Country Bias Detection in Postgraduate Student Admissions", The Journal of International Management Education, forthcoming.
Daripa, A. and Varotto S. (2009) ''Ex Ante Versus Ex Post Regulation of Bank Capital'' forthcoming 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.
