Dr Simone Varotto

Associate Professor in Finance

Dr Simone Varotto

Dr Simone Varotto

s.varotto@icmacentre.ac.uk
ICMA Centre, Whiteknights Campus
+44 (0)118 378 6655

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 bank regulation. Soon afterwards he joined the ICMA Centre at Henley Business School as a lecturer. Simone teaches undergraduate and postgraduate courses in risk management and mergers and acquisitions and has an active research interest in credit, liquidity and systemic risk and financial regulation.

Simone has published in a number of peer reviewed international journals including the Journal of Banking and Finance, European Financial Management and the International Review of Financial Analysis. He is the recipient of the Research Endowment Trust Fund Best Research Output Prize for Henley Business School and of the Outstanding Paper Award of the Emerald Literati Network Awards for Excellence.

He has been an invited speaker at conferences/workshops organised by the Deutsche Bundesbank, Bank of Thailand, CFA Institute and Royal Bank of Scotland. Simone served as programme chair of the 2013 edition of the European Financial Management Association (EFMA) annual meeting, as a member of the board of directors of the EFMA and president of the Association.

Books

Daripa, A. and Varotto, S. (2010) Ex ante versus ex post regulation of bank capital. In: Blenham, L. P., Black, H. A. andKane, E. J. (eds.) Banking and capital markets: new international perspectives. World scientific publishing company, Singapore, pp. 29-58. ISBN 9789814273602

Varotto, S. (2008) Tests on the accuracy of Basel II. In: Wagner, N. (ed.) Credit risk: models, derivatives, and management. Financial Mathematics Series (6). Chapman & Hall/CRC. ISBN 9781584889946

Articles

Avino, D., Lazar E. and Varotto S. Time Varying Price Discovery. Economics Letters, forthcoming.

Coro, F., Dufour, A. and Varotto, S. (2013) Credit and liquidity components of corporate CDS spreads. Journal of Banking & Finance. ISSN 0378-4266 doi: 10.1016/j.jbankfin.2013.07.010 (In Press)

Avino, D.Lazar, E. and Varotto, S. (2013) Price discovery of credit spreads in tranquil and crisis periods. International Review of Financial Analysis. ISSN 1057-5219 doi: 10.1016/j.irfa.2013.08.002

Varotto, S. (2012) Stress testing credit risk: the Great Depression scenario. Journal of Banking and Finance, 36 (12). pp. 3133-3149. ISSN 0378-4266 doi: 10.1016/j.jbankfin.2011.10.001

Varotto, S. (2011) Liquidity risk, credit risk, market risk and bank capital. International Journal of Managerial Finance, 7 (2). pp. 134-152. ISSN 1743-9132 doi: 10.1108/17439131111122139

Drage, S. and Varotto, S. (2010) Country bias detection in postgraduate student admissions. International Journal of Management Education, 8 (3). pp. 95-106. ISSN 1472-8117 doi: 10.3794/ijme.83.260

Kou, J. and Varotto, S. (2008) Timeliness of spread implied ratings. European Financial Management, 14 (3). pp. 503-527. ISSN 1468-036X doi: 10.1111/j.1468-036X.2007.00362.x

Varotto, S. (2008) An assessment of the internal rating based approach in Basel II. The Journal of Risk Model Validation, 2 (2). ISSN 1753-9579

Nickell, P., Perraudin, W. and Varotto, S. (2007) Ratings-based credit risk modelling: an empirical analysis. International Review of Financial Analysis, 16 (5). pp. 434-451. ISSN 1057-5219 doi: 10.1016/j.irfa.2007.06.003