William Perraudin

Imperial College London - Accounting, Finance, and Macroeconomics

Head

South Kensington campus

London SW7 2AZ

United Kingdom

SCHOLARLY PAPERS

17

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CITATIONS
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Top 10,127

in Total Papers Citations

77

Scholarly Papers (17)

1.

Bank Capital and Value at Risk

Bank of England Working Paper No. 79
Number of pages: 37 Posted: 03 Oct 1998
Patricia Jackson, David Maude and William Perraudin
Bank of England, Bank of England - Monetary Analysis and Imperial College London - Accounting, Finance, and Macroeconomics
Downloads 3,000 (3,602)
Citation 9

Abstract:

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2.

Liquidity and Bond Market Spreads

EFA 2003 Annual Conference Paper No. 879
Number of pages: 37 Posted: 01 Aug 2003
William Perraudin and Alex P. Taylor
Imperial College London - Accounting, Finance, and Macroeconomics and Alliance Manchester Business School
Downloads 2,019 (7,022)
Citation 39

Abstract:

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Credit Spreads, Liquidity, Asset Pricing, Bond Yields

3.

The Impact of Capital Requirements on U.K. Bank Behaviour

Economic Policy Review, Vol. 4, No. 3, October 1998
Number of pages: 8 Posted: 29 Oct 2007
Tolga Ediz, Ian Michael and William Perraudin
affiliation not provided to SSRN, affiliation not provided to SSRN and Imperial College London - Accounting, Finance, and Macroeconomics
Downloads 1,094 (18,797)
Citation 17

Abstract:

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capital regulation

4.

Ratings-Based Credit Risk Modelling: An Empirical Analysis

International Review of Financial Analysis, Forthcoming
Number of pages: 33 Posted: 16 Oct 2007
Pamela Nickell, William Perraudin and Simone Varotto
Moody's KMV - New York Office, Imperial College London - Accounting, Finance, and Macroeconomics and ICMA Centre - Henley Business School, University of Reading
Downloads 670 (37,622)

Abstract:

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Credit risk models, Value-at-Risk

5.

On the Consistency of Ratings and Bond Market Yields

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 32 Posted: 25 Mar 2002
William Perraudin and Alex P. Taylor
Imperial College London - Accounting, Finance, and Macroeconomics and Alliance Manchester Business School
Downloads 607 (42,907)
Citation 1

Abstract:

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Credit Spreads, Risky Debt Yields, Term Structure

6.

Determinants of Asset-Backed Security Prices in Crisis Periods

Number of pages: 31 Posted: 10 Feb 2009 Last Revised: 19 Mar 2009
William Perraudin and Shi Wu
Imperial College London - Accounting, Finance, and Macroeconomics and affiliation not provided to SSRN
Downloads 341 (86,996)
Citation 4

Abstract:

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Asset-Backed Security, Financial Crisis, Structured Product, Liquidity

7.

Dynamic Pricing of Synthetic Collateralized Debt Obligations

Number of pages: 23 Posted: 17 Feb 2009
William Perraudin, Robert Lamb and Astrid Van Landschoot
Imperial College London - Accounting, Finance, and Macroeconomics, affiliation not provided to SSRN and Single Resolution Board
Downloads 153 (191,201)
Citation 1

Abstract:

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Dynamic pricing, CDO, Default correlation, Loss distribution

8.

Regulatory and 'Economic' Solvency Standards for Internationally Active Banks

Bank of England Working Paper No. 161
Number of pages: 34 Posted: 24 Nov 2003
Patricia Jackson, William Perraudin and Victoria Saporta
Bank of England, Imperial College London - Accounting, Finance, and Macroeconomics and Bank of England
Downloads 152 (192,245)
Citation 4

Abstract:

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9.

Credit Cycles: A Frailty Approach

Number of pages: 28 Posted: 28 Feb 2011
Adam Iqbal and William Perraudin
Imperial College London and Imperial College London - Accounting, Finance, and Macroeconomics
Downloads 119 (233,157)

Abstract:

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Hazard Rates, Portfolio Credit Risk, Default Risk

10.

The Impact of Inflation Upon Portfolio Choice: A Duality Approach Using U.K. Data

IMF Working Paper No. 87/30
Number of pages: 38 Posted: 15 Feb 2006
William Perraudin
Imperial College London - Accounting, Finance, and Macroeconomics
Downloads 74 (317,469)

Abstract:

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11.

A Framework for the Analysis of Pension and Unemployment Benefit Reform in Poland

IMF Working Paper No. 94/40
Number of pages: 46 Posted: 15 Feb 2006
William Perraudin
Imperial College London - Accounting, Finance, and Macroeconomics
Downloads 48 (392,978)

Abstract:

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12.

Commentary

Economic Policy Review, Vol. 4, No. 3, October 1998
Number of pages: 3 Posted: 13 Nov 2007
William Perraudin
Imperial College London - Accounting, Finance, and Macroeconomics
Downloads 23 (501,538)

Abstract:

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capital regulation

13.

Pricing Deposit Insurance in the United Kingdom

Bank of England Working Paper No. 29
Posted: 06 Nov 2003
David Maude and William Perraudin
Bank of England - Monetary Analysis and Imperial College London - Accounting, Finance, and Macroeconomics

Abstract:

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14.

The Timing of Multilateral Lending

The Economic Journal, Vol. 110, Issue 460, January 2000
Posted: 03 Nov 2000
Anne Sibert and William Perraudin
Birkbeck, University of London and Imperial College London - Accounting, Finance, and Macroeconomics

Abstract:

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15.

Value at Risk for Derivatives

Journal of Derivatives, Spring 1999
Posted: 31 Mar 1999
Lina El-Jahel, William Perraudin and Peter Sellin
University of Auckland, Imperial College London - Accounting, Finance, and Macroeconomics and Sveriges Riksbank

Abstract:

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16.

Strategic Debt Service

J. OF FINANCE, Vol. 50 No. 2, June 1997
Posted: 14 Apr 1997
Pierre Mella-Barral and William Perraudin
Toulouse Business School and Imperial College London - Accounting, Finance, and Macroeconomics

Abstract:

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17.

Debt in Industry Equilibrium

REVIEW OF FINANCIAL STUDIES, Vol. 10, No. 1
Posted: 31 Mar 1997
Steven Fries, Marcus H. Miller and William Perraudin
European Bank for Reconstruction and Development (EBRD), University of Warwick - Department of Economics and Imperial College London - Accounting, Finance, and Macroeconomics

Abstract:

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