Details about William Robert Maurice Perraudin

Access statistics for papers by William Robert Maurice Perraudin.

Last updated 2020-08-28. Update your information in the RePEc Author Service.

Short-id: ppe518

Working Papers

2016

1. Multilateral Development Bank Ratings and Preferred Creditor Status
   IDB Publications (Working Papers), Inter-American Development Bank View citations (1)

2010

2. Debt Valuation and Chapter 22
   Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics

2002

3. Regulatory and 'economic' solvency standards for internationally active banks
   Bank of England working papers, Bank of England View citations (16)
   See also Journal Article Regulatory and "economic" solvency standards for internationally active banks, Journal of Banking & Finance, Elsevier (2002) View citations (15) (2002)

2001

4. Default Hazards and the Term Structure of Credit Spreads in a Duopoly
   OFRC Working Papers Series, Oxford Financial Research Centre
5. Ratings versus equity-based credit risk modelling: an empirical analysis
   Bank of England working papers, Bank of England View citations (25)
6. Stability of ratings transitions
   Bank of England working papers, Bank of England View citations (35)
   See also Journal Article Stability of rating transitions, Journal of Banking & Finance, Elsevier (2000) View citations (265) (2000)
7. The structure of credit risk: spread volatility and ratings transitions
   Bank of England working papers, Bank of England View citations (13)

1998

8. Bank Capital and Value at Risk
   Bank of England working papers, Bank of England View citations (22)

1996

9. Demography, Pensions and Welfare: Fertility Shocks and the Finnish Economy
   Discussion Papers, VATT Institute for Economic Research
   Also in Archive Working Papers, Birkbeck, Department of Economics, Mathematics & Statistics (1996)
10. Interest Rate Distributions, Yield Curve Modelling and Monetary Policy
    Archive Working Papers, Birkbeck, Department of Economics, Mathematics & Statistics View citations (4)
11. Interest Rate Setting in Floating Rate Mortgage Markets
    Archive Working Papers, Birkbeck, Department of Economics, Mathematics & Statistics
12. Modelling Exchange Rates in Continuous Time: Estimation and Option Pricing
    Archive Working Papers, Birkbeck, Department of Economics, Mathematics & Statistics
13. Pension Systems in Europe: A General Equilibrium Study
    Archive Working Papers, Birkbeck, Department of Economics, Mathematics & Statistics View citations (5)
14. Real Options and Preemption
    Archive Working Papers, Birkbeck, Department of Economics, Mathematics & Statistics View citations (7)
15. Security Design and Managerial Incentives: A Contingent Claims Approach
    Working Papers, HAL View citations (1)
16. Time to Default in the U.K. Mortgage Market
    Archive Working Papers, Birkbeck, Department of Economics, Mathematics & Statistics
    See also Journal Article Time to default in the UK mortgage market, Economic Modelling, Elsevier (1997) View citations (20) (1997)
17. Yield Curves with Jump Short Rates
    Archive Working Papers, Birkbeck, Department of Economics, Mathematics & Statistics View citations (2)

1995

18. CONTINUOUS TIME INTERNATIONAL ARBITRAGE PRICING: THEORY AND ESTIMATION
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
19. European Pension Systems: A Simulation Analysis
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (4)
    See also Journal Article European pension systems: a simulation analysis, Fiscal Studies, Institute for Fiscal Studies (1997) View citations (3) (1997)
20. Information Flows in the Foreign Exchange Markets
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (4)
21. New Methods for Estimating Nonlinear Continuous Time Interest Rate Processes
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (1)
    Also in Working Papers, HAL (1994)
22. Optimal Bank Reorganisation and the Fair Pricing of Deposit Garantees
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
    See also Journal Article Optimal bank reorganization and the fair pricing of deposit guarantees, Journal of Banking & Finance, Elsevier (1997) View citations (42) (1997)
23. Option Games
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
24. Pricing Deposit Insurance in the United Kingdom
    Bank of England working papers, Bank of England View citations (4)
25. Reserve Cycles
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge

1994

26. Modelling Exchange Rates in Continuous Time: Theory, Estimation and Option Pricing
    Discussion Papers, University of Copenhagen. Department of Economics View citations (1)

1993

27. Asymmetry in the ERM: A Case Study of French and German Interest Rates Since Basel-Nyborg
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
28. Strategic Debt Service
    CEPR Financial Markets Paper, European Science Foundation Network in Financial Markets, c/o C.E.P.R, 33 Great Sutton Street, London EC1V 0DX. View citations (3)
    See also Journal Article Strategic Debt Service, Journal of Finance, American Finance Association (1997) View citations (237) (1997)

1992

29. Multivariate Tests of a Continuous Time Equilibrium Arbitrage Pricing Theory with Conditional Heteroscadasticity and Jumps
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
    Also in CEPR Financial Markets Paper, European Science Foundation Network in Financial Markets, c/o C.E.P.R, 33 Great Sutton Street, London EC1V 0DX. (1992)
    Discussion Papers, University of Copenhagen. Department of Economics
30. Mutual Fund Separation with General Preferences
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (2)

1989

31. Cheats, Banks and Liquidity Constraints
    Discussion Papers, University of Copenhagen. Department of Economics

Journal Articles

2007

1. Ratings-based credit risk modelling: An empirical analysis
   International Review of Financial Analysis, 2007, 16, (5), 434-451 View citations (3)

2004

2. On the consistency of ratings and bond market yields
   Journal of Banking & Finance, 2004, 28, (11), 2769-2788 View citations (23)

2003

3. Mortgage Default and Possession under Recourse: A Competing Hazards Approach
   Journal of Money, Credit and Banking, 2003, 35, (3), 425-42 View citations (30)
4. Predicting emerging market currency crashes
   Journal of Empirical Finance, 2003, 10, (4), 427-454 View citations (138)
5. Real options and preemption under incomplete information
   Journal of Economic Dynamics and Control, 2003, 27, (4), 619-643 View citations (143)

2002

6. Introduction: Banks and systemic risk
   Journal of Banking & Finance, 2002, 26, (5), 819-823 View citations (1)
7. Regulatory and "economic" solvency standards for internationally active banks
   Journal of Banking & Finance, 2002, 26, (5), 953-976 View citations (15)
   See also Working Paper Regulatory and 'economic' solvency standards for internationally active banks, Bank of England working papers (2002) View citations (16) (2002)
8. The estimation of transition matrices for sovereign credit ratings
   Journal of Banking & Finance, 2002, 26, (7), 1383-1406 View citations (68)

2001

9. Inflation and Sovereign Default
   IMF Staff Papers, 2001, 47, (3), 4 View citations (2)

2000

10. Regulatory implications of credit risk modelling
    Journal of Banking & Finance, 2000, 24, (1-2), 1-14 View citations (23)
11. Stability of rating transitions
    Journal of Banking & Finance, 2000, 24, (1-2), 203-227 View citations (265)
    See also Working Paper Stability of ratings transitions, Bank of England working papers (2001) View citations (35) (2001)
12. The Timing of Multilateral Lending
    Economic Journal, 2000, 110, (460), 192-211 View citations (5)
13. The demand for risky assets: Sample selection and household portfolios
    Journal of Econometrics, 2000, 97, (1), 117-144 View citations (36)

1998

14. Commentary on four papers on credit risk modeling
    Economic Policy Review, 1998, 4, (Oct), 95-97
15. Reserve and exchange rate cycles
    Journal of International Economics, 1998, 46, (1), 31-59 View citations (3)
16. The impact of capital requirements on U.K. bank behaviour
    Economic Policy Review, 1998, 4, (Oct), 15-22 View citations (61)

1997

17. Debt in Industry Equilibrium
    The Review of Financial Studies, 1997, 10, (1), 39-67 View citations (38)
18. European pension systems: a simulation analysis
    Fiscal Studies, 1997, 18, (3), 249-277 View citations (3)
    See also Working Paper European Pension Systems: A Simulation Analysis, Cambridge Working Papers in Economics (1995) View citations (4) (1995)
19. Optimal bank reorganization and the fair pricing of deposit guarantees
    Journal of Banking & Finance, 1997, 21, (4), 441-468 View citations (42)
    See also Working Paper Optimal Bank Reorganisation and the Fair Pricing of Deposit Garantees, Cambridge Working Papers in Economics (1995) (1995)
20. Strategic Debt Service
    Journal of Finance, 1997, 52, (2), 531-56 View citations (237)
    See also Working Paper Strategic Debt Service, CEPR Financial Markets Paper (1993) View citations (3) (1993)
21. Time to default in the UK mortgage market
    Economic Modelling, 1997, 14, (4), 485-499 View citations (20)
    See also Working Paper Time to Default in the U.K. Mortgage Market, Archive Working Papers (1996) (1996)

1996

22. A Continuous-Time Arbitrage-Pricing Model with Stochastic Volatility and Jumps
    Journal of Business & Economic Statistics, 1996, 14, (1), 31-43 View citations (20)
23. Creditor races and contingent claims
    European Economic Review, 1996, 40, (3-5), 897-907 View citations (5)

1995

24. A Theorem on Portfolio Separation with General Preferences
    Journal of Economic Theory, 1995, 65, (2), 624-626 View citations (14)
25. Value-at-risk techniques: an empirical study
    Proceedings, 1995, 295-322

1994

26. Framework for the Analysis of Pension and Unemployment Benefit Reform in Poland
    IMF Staff Papers, 1994, 41, (4), 643-674 View citations (4)

1993

27. Asymmetry in the ERM: A Case Study of French and German Interest Rates Before and After German Unification
    IMF Staff Papers, 1993, 40, (2), 427-450 View citations (21)
28. Evaluating Deposit Insurance for Japanese Banks
    Journal of the Japanese and International Economies, 1993, 7, (4), 356-386 View citations (8)

1992

29. The Credit-Constrained Consumer: An Empirical Study of Demand and Supply in the Loan Market
    Journal of Business & Economic Statistics, 1992, 10, (2), 179-92 View citations (13)

1991

30. European Fiscal Harmonization and the French Economy
    IMF Staff Papers, 1991, 38, (2), 399-440 View citations (9)
31. L'harmonisation fiscale en Europe et l'économie française: une approche en équilibre général
    Revue de l'OFCE, 1991, 37, (1), 245-272 View citations (4)

1987

32. Inflation and Portfolio Choice
    IMF Staff Papers, 1987, 34, (4), 739-759 View citations (5)

Chapters

1996

1. Interdealer Trade and Information Flows in a Decentralized Foreign Exchange Market
   A chapter in The Microstructure of Foreign Exchange Markets, 1996, pp 73-106 View citations (25)