William Robert Maurice Perraudin

Risk Control Limited

Director

13-14 Dean Street

London, SE21 8LU

United Kingdom

SCHOLARLY PAPERS

13

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1,644

SSRN CITATIONS
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Top 19,962

in Total Papers Citations

22

CROSSREF CITATIONS

29

Scholarly Papers (13)

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 316 (131,953)
Citation 15

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Exchange rates, emerging market crises, trading strategies

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 204 (203,230)
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 64 (465,444)

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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 225 (185,519)
Citation 4

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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 186 (220,872)
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 134 (289,018)

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Basel II, capital rules, securitization exposures

6.

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 103 (348,406)
Citation 1

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

7.

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 97 (362,292)

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emerging market, sovereign spreads, equity market indices

8.

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 81 (404,267)

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

9.

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 74 (425,486)

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

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 66 (452,071)

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

11.

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 43 (546,523)

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

12.

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 37 (576,903)

Abstract:

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Volatility, financial assets, interest rate time series

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 14 (733,876)

Abstract:

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