William Robert Maurice Perraudin

Risk Control Limited

Director

13-14 Dean Street

London, SE21 8LU

United Kingdom

  • Risk Control Limited

SCHOLARLY PAPERS

13

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31

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29

Scholarly Papers (13)

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1.

Predicting Emerging Market Currency Crashes

IMF Working Paper No. 02/7
Number of pages: 39 Posted: 30 Jan 2006
Manmohan Kumar, Uma Moorthy and William Robert Maurice Perraudin
International Monetary Fund (IMF) - Research Department, University of London - Birkbeck College and Risk Control Limited
Downloads 367 (141,025)
Citation 17

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Exchange rates, emerging market crises, trading strategies

2.

Capital Floors, the Revised SA and the Cost of Loans in Switzerland

Downloads 320 (163,524)
Citation 1

Capital Floors, the Revised SA and the Cost of Loans in Switzerland

Number of pages: 39 Posted: 09 Jun 2015 Last Revised: 13 Jun 2015
Simone Bernardi, William Robert Maurice Perraudin and Peng Yang
University of Zurich - Department of Banking and Finance, Risk Control Limited and Risk Control Limited
Downloads 227 (230,462)
Citation 1

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Credit Risk, Regulation, Banks, Public Institutions

Capital Floors, the Revised SA and the Cost of Loans in Switzerland

Number of pages: 44 Posted: 31 Aug 2016
Simone Bernardi, William Robert Maurice Perraudin and Peng Yang
University of Zurich - Department of Banking and Finance, Risk Control Limited and Risk Control Limited
Downloads 93 (477,143)

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Credit Risk, Market Risk, Regulation, Banks, Public Institutions

3.

The Estimation of Transition Matrices for Sovereign Credit Ratings

Journal of Banking and Finance, Vol. 26, 2002
Number of pages: 35 Posted: 17 Nov 2011
William Robert Maurice Perraudin, Yen-Ting Hu and Rudiger Kiesel
Risk Control Limited, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 260 (202,445)
Citation 8

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Sovereigns, rating transition matrices, sovereign defaults

4.

The Dependence of Recovery Rates and Defaults

Risk Control Research Paper No. 6/1
Number of pages: 28 Posted: 29 Nov 2011
William Robert Maurice Perraudin and Yen-Ting Hu
Risk Control Limited and affiliation not provided to SSRN
Downloads 242 (217,291)
Citation 4

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default rates, recovery rates, extreme value theory, VaR

5.

Securitizations in Basel II

Risk Control Research Paper No. 6/2
Number of pages: 25 Posted: 29 Nov 2011
William Robert Maurice Perraudin
Risk Control Limited
Downloads 157 (320,971)

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Basel II, capital rules, securitization exposures

6.

Multilateral Development Bank Ratings and Preferred Creditor Status

IDB Working Paper No. IDB-WP-697
Number of pages: 49 Posted: 25 Apr 2017
William Robert Maurice Perraudin, Andrew Powell, Andrew Powell and Peng Yang
Risk Control Limited, Inter-American Development Bank (IDB)Universidad Torcuato Di Tella - School of Business and Risk Control Limited
Downloads 148 (337,005)

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Multilateral development banks, Preferred creditor status, Credit ratings, Rating agencies

7.

Hedging and Asset Allocation for Structured Products

Risk Control Research Paper No. 5/2
Number of pages: 26 Posted: 29 Nov 2011
William Robert Maurice Perraudin, Vladislav Peretyatkin and Robert Lamb
Risk Control Limited, affiliation not provided to SSRN and Imperial College London
Downloads 126 (381,753)
Citation 1

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structured products, hedging, pricing, regression, conditional pricing functions

8.

Estimation of Credit Spread Correlations

Risk Control Research Paper No. 2/3
Number of pages: 21 Posted: 29 Nov 2011
William Robert Maurice Perraudin, Alex Taylor and Marco Polenghi
Risk Control Limited, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 109 (424,609)

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emerging market, sovereign spreads, equity market indices

9.

Judgmental Versus Quantitative Credit Risk Measures for Sovereigns

Number of pages: 20 Posted: 29 Sep 2011
William Robert Maurice Perraudin, Yen-Ting Hu, Rudiger Kiesel and Gerhard Stahl
Risk Control Limited, affiliation not provided to SSRN, affiliation not provided to SSRN and European Union - Committee of the Regions
Downloads 92 (476,613)

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credit risk measures, sovereigns, standard and poor's, sovereign default, downgrades, upgrades

10.

How Risky are Structured Exposures Compared to Corporate Bonds? Evidence from Bond and ABS Returns

STRUCTURED CREDIT PRODUCTS: PRICING, RATING, RISK MANAGEMENT AND BASEL II., W. Perraudin, ed., Risk Books, 2004
Number of pages: 26 Posted: 29 Sep 2011 Last Revised: 17 Nov 2011
William Robert Maurice Perraudin and Astrid Van Landschoot
Risk Control Limited and Single Resolution Board
Downloads 90 (483,125)

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structured exposures, bonds, ABS, asset backed securities, risk, value at risk, VaR, expected shortfall, defaultable corporate bonds, return volatility

11.

Estimating Volatility for Long Holding Periods

MEASURING RISK IN COMPLEX STOCHASTIC SYSTEMS: SPRINGER LECTURE NOTES IN STATISTICS, Vol. 147, Jurgen Franke, Wolfgang Hardle, Gerhard Stahl, eds., Springer Verlag, 2011
Number of pages: 16 Posted: 17 Nov 2011
William Robert Maurice Perraudin, Rudiger Kiesel and Alex Taylor
Risk Control Limited, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 73 (547,011)

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Volatility, financial assets, interest rate time series

12.

Ratings-Based Pricing and Stochastic Spreads

Risk Control Research Paper No. 8/2
Number of pages: 34 Posted: 29 Nov 2011
William Robert Maurice Perraudin, Robert Lamb and Mariam Harfush-Pardo
Risk Control Limited, Imperial College London and affiliation not provided to SSRN
Downloads 59 (610,792)

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credit derivative models, stochastic spreads, corporate bonds, asset backed securities, ABS, risk

13.

Debt Valuation and Chapter 22

Number of pages: 54 Posted: 08 May 2022
Adriana Breccia and William Robert Maurice Perraudin
Independent and Risk Control Limited
Downloads 26 (828,643)

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real options, bankruptcy, debt service, absolute priority, bargaining