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Credit risk diversification : evidence from the eurobond market
Varotto, Simone - 2003
Persistent link: https://www.econbiz.de/10001813942
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Liquidity risk, credit risk, market risk and bank capital
Varotto, Simone - 2011
Persistent link: https://www.econbiz.de/10009375599
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Stress testing credit risk : the great depression scenario
Varotto, Simone - 2010
Persistent link: https://www.econbiz.de/10009375871
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Agency incentives and reputational distortions : a comparison of the effectiveness of value-at-risk and pre-commitment in regulating market risk
Daripa, Arupratan; Varotto, Simone - 1997
Persistent link: https://www.econbiz.de/10000970112
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Corporate governance, bank mergers and executive compensation
Liu, Yan; Padgett, Carol; Varotto, Simone - 2014
Persistent link: https://www.econbiz.de/10010528437
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The equity-like behaviour of sovereign bonds
Dufour, Alfonso; Stancu, Andrei; Varotto, Simone - 2014
Persistent link: https://www.econbiz.de/10010528441
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Ratings versus equity-based credit risk modelling : an empirical analysis
Nickell, Pamela; Perraudin, William R. M.; Varotto, Simone - 2001
Persistent link: https://www.econbiz.de/10001581512
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Stability of ratings transitions
Nickell, Pamela; Perraudin, William R. M.; Varotto, Simone - 2001
Persistent link: https://www.econbiz.de/10001581515
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Which market drives credit spreads in tranquil and crisis periods? : an analysis of the contribution to price discovery of bonds, CDS, stocks and options
Avino, Davide; Lazar, Emese; Varotto, Simone - 2011
Persistent link: https://www.econbiz.de/10009375465
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The time varying properties of credit and liquidity components of CDS spreads
Coro, Filippo; Dufour, Alfonso; Varotto, Simone - 2012
Persistent link: https://www.econbiz.de/10009520563