William Robert Maurice Perraudin

Risk Control Limited

Director

13-14 Dean Street

London, SE21 8LU

United Kingdom

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 31,063

SSRN RANKINGS

Top 31,063

in Total Papers Downloads

1,437

CITATIONS
Rank 19,472

SSRN RANKINGS

Top 19,472

in Total Papers Citations

24

Scholarly Papers (12)

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 301 (99,179)
Citation 14

Abstract:

Loading...

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 198 (151,217)
Citation 2

Abstract:

Loading...

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 58 (363,513)

Abstract:

Loading...

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 187 (159,549)
Citation 24

Abstract:

Loading...

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 150 (193,191)
Citation 4

Abstract:

Loading...

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 101 (260,248)

Abstract:

Loading...

Basel II, capital rules, securitization exposures

6.

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 94 (272,711)

Abstract:

Loading...

emerging market, sovereign spreads, equity market indices

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 93 (274,679)
Citation 1

Abstract:

Loading...

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

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 79 (303,718)

Abstract:

Loading...

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

9.

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 63 (343,943)
Citation 1

Abstract:

Loading...

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

10.

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 and Peng Yang
Risk Control Limited, Universidad Torcuato Di Tella - School of Business and Risk Control Limited
Downloads 45 (400,832)

Abstract:

Loading...

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

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 36 (435,410)
Citation 1

Abstract:

Loading...

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 32 (452,354)

Abstract:

Loading...

Volatility, financial assets, interest rate time series