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William Robert Maurice Perraudin

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Personal Details

First Name: William
Middle Name: Robert Maurice
Last Name: Perraudin
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RePEc Short-ID: ppe518

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Affiliation

Risk Control Ltd (Risk Control Ltd)
Homepage: http://riskcontrollimited.com/
Location: UK, London

Works

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Working papers

  1. Adriana Breccia & William Perraudin, 2010. "Debt Valuation and Chapter 22," Birkbeck Working Papers in Economics and Finance 1015, Birkbeck, Department of Economics, Mathematics & Statistics.
  2. W. R. M. Perraudin & Manmohan S. Kumar & Uma Moorthy, 2002. "Predicting Emerging Market Currency Crashes," IMF Working Papers 02/7, International Monetary Fund.
  3. Patricia Jackson & William Perraudin & Victoria Saporta, 2002. "Regulatory and 'economic' solvency standards for internationally active banks," Bank of England working papers 161, Bank of England.
  4. Rudiger Kiesel & William Perraudin & Alex Taylor, 2001. "The structure of credit risk: spread volatility and ratings transitions," Bank of England working papers 131, Bank of England.
  5. Pamela Nickell & William Perraudin & Simone Varotto, 2001. "Stability of ratings transitions," Bank of England working papers 133, Bank of England.
  6. Varqa Khadem & William Perraudin, 2001. "Default Hazards and the Term Structure of Credit Spreads in a Duopoly," OFRC Working Papers Series 2001mf06, Oxford Financial Research Centre.
  7. Pamela Nickell & William Perraudin & Simone Varotto, 2001. "Ratings versus equity-based credit risk modelling: an empirical analysis," Bank of England working papers 132, Bank of England.
  8. Patricia Jackson & David Maude & William Perraudin, 1998. "Bank Capital and Value at Risk," Bank of England working papers 79, Bank of England.
  9. Bart Lambrecht & William Perraudin & Stephen Satchell, 1996. "Time to Default in the U.K. Mortgage Market," Archive Working Papers 016, Birkbeck, Department of Economics, Mathematics & Statistics.
  10. Turalay Kenc & William Perraudin, 1996. "Pension Systems in Europe: A General Equilibrium Study," Archive Working Papers 018, Birkbeck, Department of Economics, Mathematics & Statistics.
  11. Turalay Kenc & William Perraudin, 1996. "Demography, Pensions and Welfare: Fertility Shocks and the Finnish Economy," Archive Working Papers 025, Birkbeck, Department of Economics, Mathematics & Statistics.
  12. Bart Lambrecht & William Perraudin, 1996. "Real Options and Preemption," Archive Working Papers 026, Birkbeck, Department of Economics, Mathematics & Statistics.
  13. Lina El-Jahel & Hans Lindberg & William Perraudin, 1996. "Yield Curves with Jump Short Rates," Archive Working Papers 023, Birkbeck, Department of Economics, Mathematics & Statistics.
  14. Lina El-Jahel & Hans Lindberg & William Perraudin, 1996. "Interest Rate Distributions, Yield Curve Modelling and Monetary Policy," Archive Working Papers 021, Birkbeck, Department of Economics, Mathematics & Statistics.
  15. Lara Cathcart & William Perraudin, 1996. "Interest Rate Setting in Floating Rate Mortgage Markets," Archive Working Papers 017, Birkbeck, Department of Economics, Mathematics & Statistics.
  16. Bent Sorenson & William Perraudin, 1996. "Modelling Exchange Rates in Continuous Time: Estimation and Option Pricing," Archive Working Papers 010, Birkbeck, Department of Economics, Mathematics & Statistics.
  17. Perraudin,W. & Vitale,P., 1995. "Information Flows in the Foreign Exchange Markets," Cambridge Working Papers in Economics 9412, Faculty of Economics, University of Cambridge.
  18. David Maude & William Perraudin, 1995. "Pricing Deposit Insurance in the United Kingdom," Bank of England working papers 29, Bank of England.
  19. Perraudin,W.R.M. & Sorensen,B.E., 1995. "Continuous Time International Arbitrage Pricing: Theory And Estimation," Cambridge Working Papers in Economics 9410, Faculty of Economics, University of Cambridge.
  20. Flood, R. & Perraudin, W. & Vitale, P., 1995. "Reserve Cycles," Cambridge Working Papers in Economics 9502, Faculty of Economics, University of Cambridge.
  21. Mella-Barral,P. & Perraudin,W.R.M., 1995. "New Methods for Estimating Nonlinear Continuous Time Interest Rate Processes," Cambridge Working Papers in Economics 9416, Faculty of Economics, University of Cambridge.
  22. Fries,S. & Mella-Barral,P. & Perraudin,W.R.M., 1995. "Optimal Bank Reorganisation and the Fair Pricing of Deposit Garantees," Cambridge Working Papers in Economics 9417, Faculty of Economics, University of Cambridge.
  23. Kenc, T. & Perraudin, W., 1995. "European Pension Systems: A Simulation Analysis," Cambridge Working Papers in Economics 9505, Faculty of Economics, University of Cambridge.
  24. Lambrecht, B. & Perraudin, W., 1995. "Option Games," Cambridge Working Papers in Economics 9414, Faculty of Economics, University of Cambridge.
  25. W. R. M. Perraudin, 1994. "A Framework for the Analysis of Pension and Unemployment Benefit Reform in Poland," IMF Working Papers 94/40, International Monetary Fund.
  26. William Perraudin & Bent Sørensen, 1994. "Modelling Exchange Rates in Continuous Time: Theory, Estimation and Option Pricing," Discussion Papers 94-16, University of Copenhagen. Department of Economics.
  27. Gardner, Edward H & Perraudin, William, 1993. "Asymmetry in the ERM: A Case Study of French and German Interest Rates Since Basel-Nyborg," CEPR Discussion Papers 753, C.E.P.R. Discussion Papers.
  28. Pierre Mella-Barral & William R M Perraudin, 1993. "Strategic Debt Service," CEPR Financial Markets Paper 0039, European Science Foundation Network in Financial Markets, c/o C.E.P.R, 77 Bastwick Street, London EC1V 3PZ.
  29. Ho, M.S. & Perraudin, W.R.M. & Sorensen, B.E., 1992. "Multivariate Tests of a Continuous Time Equilibrium Arbitrage Pricing Theory with Conditional Heteroscadasticity and Jumps," Cambridge Working Papers in Economics 9211, Faculty of Economics, University of Cambridge.
  30. Lewbel, A. & Perraudin, W.R.M., 1992. "Mutual Fund Separation with General Preferences," Cambridge Working Papers in Economics 9212, Faculty of Economics, University of Cambridge.
  31. W. R. M. Perraudin & E. H. Gardner, 1992. "Asymmetry in the ERM," IMF Working Papers 92/96, International Monetary Fund.
  32. W. R. M. Perraudin & Steven M. Fries, 1991. "Banking Policy and the Pricing of Deposit Guarantees," IMF Working Papers 91/131, International Monetary Fund.
  33. Thierry Pujol & W. R. M. Perraudin, 1990. "Tax Efficiency in an Open Economy," IMF Working Papers 90/94, International Monetary Fund.
  34. W. R. M. Perraudin, 1990. "Exchange Rate Bands with Point Process Fundamentals," IMF Working Papers 90/108, International Monetary Fund.
  35. W. R. M. Perraudin & Thierry Pujol, 1990. "European Fiscal Harmonization and the French Economy," IMF Working Papers 90/96, International Monetary Fund.
  36. W. R. M. Perraudin & B. E. Sørensen, 1989. "Cheats, Banks and Liquidity Constraints," Discussion Papers 89-07, University of Copenhagen. Department of Economics.

Articles

  1. Nickell, Pamela & Perraudin, William & Varotto, Simone, 2007. "Ratings-based credit risk modelling: An empirical analysis," International Review of Financial Analysis, Elsevier, vol. 16(5), pages 434-451.
  2. Perraudin, William & Taylor, Alex P., 2004. "On the consistency of ratings and bond market yields," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2769-2788, November.
  3. Lambrecht, Bart & Perraudin, William, 2003. "Real options and preemption under incomplete information," Journal of Economic Dynamics and Control, Elsevier, vol. 27(4), pages 619-643, February.
  4. Kumar, Mohan & Moorthy, Uma & Perraudin, William, 2003. "Predicting emerging market currency crashes," Journal of Empirical Finance, Elsevier, vol. 10(4), pages 427-454, September.
  5. Lambrecht, Bart M & Perraudin, William R M & Satchell, Steven, 2003. " Mortgage Default and Possession under Recourse: A Competing Hazards Approach," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 35(3), pages 425-42, June.
  6. Jackson, Patricia & Perraudin, William & Saporta, Victoria, 2002. "Regulatory and "economic" solvency standards for internationally active banks," Journal of Banking & Finance, Elsevier, vol. 26(5), pages 953-976, May.
  7. Hu, Yen-Ting & Kiesel, Rudiger & Perraudin, William, 2002. "The estimation of transition matrices for sovereign credit ratings," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1383-1406, July.
  8. Jackson, Patricia & Perraudin, William R. M., 2002. "Introduction: Banks and systemic risk," Journal of Banking & Finance, Elsevier, vol. 26(5), pages 819-823, May.
  9. Turalay Kenc & William Perraudin & Paolo Vitale, 2001. "Inflation and Sovereign Default," IMF Staff Papers, Palgrave Macmillan, vol. 47(3), pages 4.
  10. Nickell, Pamela & Perraudin, William & Varotto, Simone, 2000. "Stability of rating transitions," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 203-227, January.
  11. Perraudin, William R. M. & Sorensen, Bent E., 2000. "The demand for risky assets: Sample selection and household portfolios," Journal of Econometrics, Elsevier, vol. 97(1), pages 117-144, July.
  12. Jackson, Patricia & Perraudin, William, 2000. "Regulatory implications of credit risk modelling," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 1-14, January.
  13. Perraudin, William & Sibert, Anne, 2000. "The Timing of Multilateral Lending," Economic Journal, Royal Economic Society, vol. 110(460), pages 192-211, January.
  14. Flood, Robert & Perraudin, William & Vitale, Paolo, 1998. "Reserve and exchange rate cycles," Journal of International Economics, Elsevier, vol. 46(1), pages 31-59, October.
  15. Norvald Instefjord & Patricia Jackson & William Perraudin, 1998. "Securities fraud," Economic Policy, CEPR;CES;MSH, vol. 13(27), pages 585-623, October.
  16. Tolga Ediz & Ian Michael & William Perraudin, 1998. "The impact of capital requirements on U.K. bank behaviour," Economic Policy Review, Federal Reserve Bank of New York, issue Oct, pages 15-22.
  17. William Perraudin, 1998. "Commentary on four papers on credit risk modeling," Economic Policy Review, Federal Reserve Bank of New York, issue Oct, pages 95-97.
  18. Lambrecht, Bart & Perraudin, William & Satchell, Stephen, 1997. "Time to default in the UK mortgage market," Economic Modelling, Elsevier, vol. 14(4), pages 485-499, October.
  19. Fries, Steven & Miller, Marcus & Perraudin, William, 1997. "Debt in Industry Equilibrium," Review of Financial Studies, Society for Financial Studies, vol. 10(1), pages 39-67.
  20. Mella-Barral, Pierre & Perraudin, William, 1997. " Strategic Debt Service," Journal of Finance, American Finance Association, vol. 52(2), pages 531-56, June.
  21. Fries, Steven & Mella-Barral, Pierre & Perraudin, William, 1997. "Optimal bank reorganization and the fair pricing of deposit guarantees," Journal of Banking & Finance, Elsevier, vol. 21(4), pages 441-468, April.
  22. Lambrecht, Bert & Perraudin, William & Satchell, Stephen, 1997. "Approximating the Finite Sample Bias for Maximum Likelihood Estimators Using the Score–Solution," Econometric Theory, Cambridge University Press, vol. 13(02), pages 310-312, April.
  23. Turalay Kenc & William Perraudin, 1997. "European pension systems: a simulation analysis," Fiscal Studies, Institute for Fiscal Studies, vol. 18(3), pages 249-277, August.
  24. Ho, Mun S & Perraudin, William R M & Sorensen, Bent E, 1996. "A Continuous-Time Arbitrage-Pricing Model with Stochastic Volatility and Jumps," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(1), pages 31-43, January.
  25. Lambrech, Bart & Perraudin, William & Satchell, Stephen, 1996. "Approximating the Finite Sample Bias for Maximum Likelihood Estimators by Using the Score," Econometric Theory, Cambridge University Press, vol. 12(01), pages 199-199, March.
  26. Lambrecht, Bart & Perraudin, William, 1996. "Creditor races and contingent claims," European Economic Review, Elsevier, vol. 40(3-5), pages 897-907, April.
  27. Lwebel Arthur & Perraudin William, 1995. "A Theorem on Portfolio Separation with General Preferences," Journal of Economic Theory, Elsevier, vol. 65(2), pages 624-626, April.
  28. Patricia Jackson & David J. Maude & William Perraudin, 1995. "Value-at-risk techniques: an empirical study," Proceedings, Board of Governors of the Federal Reserve System (U.S.), pages 295-322.
  29. William Perraudin & Thierry Pujol, 1994. "Framework for the Analysis of Pension and Unemployment Benefit Reform in Poland," IMF Staff Papers, Palgrave Macmillan, vol. 41(4), pages 643-674, December.
  30. Fries Steven & Mason Robin & Perraudin William, 1993. "Evaluating Deposit Insurance for Japanese Banks," Journal of the Japanese and International Economies, Elsevier, vol. 7(4), pages 356-386, December.
  31. Edward H. Gardner & William R. M. Perraudin, 1993. "Asymmetry in the ERM: A Case Study of French and German Interest Rates Before and After German Unification," IMF Staff Papers, Palgrave Macmillan, vol. 40(2), pages 427-450, June.
  32. Perraudin, William R M & Sorensen, Bent E, 1992. "The Credit-Constrained Consumer: An Empirical Study of Demand and Supply in the Loan Market," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(2), pages 179-92, April.
  33. W. R. M. Perraudin & T. Pujol, 1991. "European Fiscal Harmonization and the French Economy," IMF Staff Papers, Palgrave Macmillan, vol. 38(2), pages 399-440, June.
  34. William Perraudin & Thierry Pujol, 1991. "L'harmonisation fiscale en Europe et l'économie française : une approche en équilibre général," Revue de l'OFCE, Programme National Persée, vol. 37(1), pages 245-272.
  35. W. R. M. Perraudin, 1987. "Inflation and Portfolio Choice," IMF Staff Papers, Palgrave Macmillan, vol. 34(4), pages 739-759, December.

Chapters

  1. William Perraudin & Paolo Vitale, 1996. "Interdealer Trade and Information Flows in a Decentralized Foreign Exchange Market," NBER Chapters, in: The Microstructure of Foreign Exchange Markets, pages 73-106 National Bureau of Economic Research, Inc.

NEP Fields

3 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. No paper was announced in a field specific NEP report

Statistics

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