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Professor Simone Varotto

Professor in Finance

Programme Director of MSc Finance and Financial Technology (FinTech)
Programme Director of MSc Climate Change, Sustainable Business and Green Finance
Co-lead of the Climate and Finance Research Cluster

Proofessor Simone Varotto

Specialisms

  • Climate finance, 
  • Banking and bank regulation, 
  • Credit risk, 
  • Systemic risk

Location

ICMA Centre, Whiteknights Campus

Simone holds a PhD in Financial Economics from the University of 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 has taught undergraduate and postgraduate courses in risk management, portfolio management and mergers and acquisitions. He has an active research interest in green/sustainable finance, securitisations, loan syndication, financial regulation and corporate finance. Simone co-leads the “Climate and Finance Research Cluster” at the University of Reading.

Simone has published in a number of peer reviewed international journals including the Journal of Corporate Finance, Journal of Banking and Finance and the Journal of International Money and Finance. 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.

Simone has been an invited speaker at conferences/workshops organised by the European Central Bank, the Deutsche Bundesbank, Bank of Thailand, Royal Bank of Scotland and CFA Institute.

Reference: Sina, A. , Billio, M., Dufour, A. , Rocciolo, F. and Varotto, S. (2024) The systemic risk of leveraged and covenant-lite loan syndications. International Review of Financial Analysis. ISSN 1057-5219 doi: https://doi.org/10.1016/j.irfa.2024.103738 (In Press)
Henley faculty authors:
Dr Alfonso Dufour - Professor Simone Varotto
Reference: Billio, M., Busetto, F., Dufour, A. and Varotto, S. (2024) Bond supply expectations and the term structure of interest rates. Journal of International Money and Finance. 103217. ISSN 1873-0639 doi: https://doi.org/10.1016/j.jimonfin.2024.103217
Henley faculty authors:
Dr Alfonso Dufour - Professor Simone Varotto
Reference: Cathcart, L., Dufour, A. , Rossi, L. and Varotto, S. (2024) Corporate bankruptcy and banking deregulation: the effect of financial leverage. Journal of Banking and Finance. 107219. ISSN 1872-6372 doi: https://doi.org/10.1016/j.jbankfin.2024.107219
Henley faculty authors:
Dr Alfonso Dufour - Professor Simone Varotto
Reference: Billio, M., Dufour, A. , Segato, S. and Varotto, S. (2023) Complexity and the default risk of mortgage-backed securities. Journal of Banking & Finance, 155. 106993. ISSN 1034-3040 doi: https://doi.org/10.1016/j.jbankfin.2023.106993
Henley faculty authors:
Dr Alfonso Dufour - Professor Simone Varotto
Reference: Liu, C. and Varotto, S. (2021) Is small beautiful? The resilience of small banks during the European debt crisis. International Review of Financial Analysis, 76. 101793. ISSN 1057-5219 doi: https://doi.org/10.1016/j.irfa.2021.101793
Henley faculty authors:
Professor Simone Varotto
Reference: Busetto, F., Dufour, A. and Varotto, S. (2020) COVID-19 and fiscal policy in the euro area. In: Billio, M. and Varotto, S. (eds.) A New World Post COVID-19 Lessons for Business, the Finance Industry and Policy Makers. Innovation in Business, Economics & Finance (1). Edizioni Ca' Foscari, Venice, Italy, pp. 69-81. ISBN 9788869694424 doi: https://doi.org/10.30687/978-88-6969-442-4/005
Henley faculty authors:
Dr Alfonso Dufour - Professor Simone Varotto
Reference: Billio, M. and Varotto, S. , eds. (2020) A New World Post COVID-19: Lessons for Business, the Finance Industry and Policy Makers. Innovation in Business, Economics & Finance, 1. Edizioni Ca' Foscari, Venice, Italy, pp375. ISBN 9788869694424 doi: https://doi.org/10.30687/978-88-6969-442-4
Henley faculty authors:
Professor Simone Varotto
Reference: Cathcart, L., Dufour, A. , Rossi, L. and Varotto, S. (2020) Differential impact of leverage on the default risk of small and large firms. Journal of Corporate Finance, 60. 101541. ISSN 0929-1199 doi: https://doi.org/10.1016/j.jcorpfin.2019.101541
Henley faculty authors:
Dr Alfonso Dufour - Professor Simone Varotto
Reference: Aftab, Z. and Varotto, S. (2019) Liquidity and shadow banking. Journal of International Money and Finance, 99. 102080. ISSN 0261-5606 doi: https://doi.org/10.1016/j.jimonfin.2019.102080
Henley faculty authors:
Professor Simone Varotto
Reference: Varotto, S. and Zhao, L. (2018) Systemic risk and bank size. Journal of International Money and Finance, 82. pp. 45-70. ISSN 0261-5606 doi: https://doi.org/10.1016/j.jimonfin.2017.12.002
Henley faculty authors:
Professor Simone Varotto Lei Zhao
Reference: Dufour, A. , Stancu, A. and Varotto, S. (2017) The equity-like behaviour of sovereign bonds. Journal of International Financial Markets, Institutions and Money, 48. pp. 25-46. ISSN 1042-4431 doi: https://doi.org/10.1016/j.intfin.2016.11.014
Henley faculty authors:
Dr Alfonso Dufour - Professor Simone Varotto Andrei Stancu
Reference: Liu, Y., Padgett, C. and Varotto, S. (2017) Corporate governance, bank mergers and executive compensation. International Journal of Finance & Economics, 22 (1). pp. 12-29. ISSN 1099-1158 doi: https://doi.org/10.1002/ijfe.1565
Henley faculty authors:
Professor Simone Varotto Yan Liu
Reference: Avino, D. , Lazar, E. and Varotto, S. (2015) Time varying price discovery. Economics Letters, 126. pp. 18-21. ISSN 0165-1765 doi: https://doi.org/10.1016/j.econlet.2014.09.030
Henley faculty authors:
Professor Emese Lazar - Professor Simone Varotto Davide Avino
Reference: Avino, D. , Lazar, E. and Varotto, S. (2013) Price discovery of credit spreads in tranquil and crisis periods. International Review of Financial Analysis, 30. pp. 242-253. ISSN 1057-5219 doi: https://doi.org/10.1016/j.irfa.2013.08.002
Henley faculty authors:
Professor Emese Lazar - Professor Simone Varotto Davide Avino
Reference: Coro, F., Dufour, A. and Varotto, S. (2013) Credit and liquidity components of corporate CDS spreads. Journal of Banking & Finance, 37 (12). pp. 5511-5525. ISSN 0378-4266 doi: https://doi.org/10.1016/j.jbankfin.2013.07.010
Henley faculty authors:
Dr Alfonso Dufour - Professor Simone Varotto Filippo Coro
Reference: 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: https://doi.org/10.1016/j.jbankfin.2011.10.001 <https://doi.org/10.1016/j.jbankfin.2011.10.001 >
Henley faculty authors:
Professor Simone Varotto
Reference: 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: https://doi.org/10.1108/17439131111122139 <https://doi.org/10.1108/17439131111122139 >
Henley faculty authors:
Professor Simone Varotto
Reference: 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: https://doi.org/10.1016/j.irfa.2007.06.003
Henley faculty authors:
Professor Simone Varotto Pamela Nickell- William Perraudin
Reference: 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
Henley faculty authors:
Professor Simone Varotto
Reference: 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
Henley faculty authors:
Professor Simone Varotto
Reference: Daripa, A. and Varotto, S. (2010) Ex ante versus ex post regulation of bank capital. In: Blenman, L. P., Black, H. A. and Kane, E. J. (eds.) Banking and capital markets: new international perspectives. World scientific publishing company, Singapore, pp. 29-58. ISBN 9789814273602
Henley faculty authors:
Professor Simone Varotto Arup Daripa
Reference: Kou, J. and Varotto, S. (2008) Timeliness of spread implied ratings. European Financial Management, 14 (3). pp. 503-527. ISSN 1468-036X doi: https://doi.org/10.1111/j.1468-036X.2007.00362.x
Henley faculty authors:
Professor Simone Varotto J. Kou
Reference: 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: https://doi.org/10.3794/ijme.83.260
Henley faculty authors:
Professor Simone Varotto Samantha Drage

Climate Change and Risk Management

This module provides a detailed discussion of the climate risks faced by corporations and financial institutions. Students will learn how climate data and climate models can be used to measure...

Module code: ICM518

Credit Risk

This course introduces students to a set of newly developed techniques to measure and manage credit risk in bank portfolios. In recent years financial institutions have been looking at ways...

Module code: ICM239

Billio, M. and Varotto, S. , eds. (2020) A New World Post COVID-19: Lessons for Business, the Finance Industry and Policy Makers, Innovation in Business, Economics & Finance, 1. Edizioni Ca' Foscari, Venice, Italy, pp. 375. ISBN 9788869694424

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