William Perraudin

William Perraudin's AcademicInfluence.com Rankings

William Perraudin

Economics

#1776

World Rank

#2034

Historical Rank

Financial Economics

#66

World Rank

#66

Historical Rank

Macroeconomics

#485

World Rank

#517

Historical Rank

economics Degrees

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Economics

Why Is William Perraudin Influential?

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According to Wikipedia, William R. M. Perraudin is a British economist. He is an adjunct professor and former Chair of Finance at Imperial College London, specialising in the fields of risk and pricing of debt instruments. He is a director of the risk management software and consultancy firm Risk Control Limited.

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William Perraudin's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

Stability of rating transitions (2000) (577)
CAPITAL REQUIREMENTS AND BANK BEHAVIOUR: THE IMPACT OF THE BASLE ACCORD (1999) (490)
Real options and preemption under incomplete information (2003) (296)
Predicting Emerging Market Currency Crashes (2002) (240)
Strategic Debt Service (1997) (202)
Stability of ratings transitions (2001) (188)
The Estimation of Transition Matrices for Sovereign Credit Ratings (2002) (183)
The Impact of Capital Requirements on U.K. Bank Behaviour (1998) (170)
Bank Capital and Value at Risk (1997) (164)
The Dependence of Recovery Rates and Defaults (2006) (137)
Debt in Industry Equilibrium (1997) (120)
Regulatory implications of credit risk modelling (2000) (99)
Liquidity and Bond Market Spreads (2003) (81)
Regulatory and 'Economic' Solvency Standards for Internationally Active Banks (2002) (78)
The demand for risky assets: Sample selection and household portfolios (2000) (76)
Optimal bank reorganization and the fair pricing of deposit guarantees (1997) (68)
On the Consistency of Ratings and Bond Market Yields (2003) (66)
The structure of credit risk: spread volatility and ratings transitions (2003) (62)
Value at Risk For Derivatives (1999) (56)
A Continuous-Time Arbitrage-Pricing Model With Stochastic Volatility and Jumps (1996) (52)
Mortgage Default and Possession Under Recourse: A Competing Hazards Approach (2003) (49)
Time to default in the UK mortgage market (1997) (43)
Ratings versus equity-based credit risk modelling: an empirical analysis (2001) (34)
Regulatory and "economic" solvency standards for internationally active banks (2002) (27)
Asymmetry in the ERM: A Case Study of French and German Interest Rates Before and After German Unification (1993) (26)
The Credit-Constrained Consumer: An Empirical Study of Demand and Supply in the Loan Market (1992) (23)
Deficits, inflation and the political economy of Ukraine (1994) (21)
European Fiscal Harmonization and the French Economy (1990) (20)
Evaluating Deposit Insurance for Japanese Banks (1993) (19)
The nature of credit risk : the effect of maturity , type of obligor , and country of domicile (1999) (17)
Real Options and Preemption (1996) (17)
A Framework for the Analysis of Pension and Unemployment Benefit Reform in Poland (1994) (16)
Interest Rate Distributions, Yield Curve Modelling and Monetary Policy (1996) (15)
Creditor races and contingent claims (1996) (13)
Determinants of Asset-Backed Security Prices in Crisis Periods (2008) (11)
A Theorem on Portfolio Separation with General Preferences (1995) (11)
Dynamic Pricing of Synthetic Collateralized Debt Obligations (2009) (11)
Multilateral Development Bank Ratings and Preferred Creditor Status (2016) (11)
Inflation and Portfolio Choice (1987) (10)
Yield Curves with Jump Short Rates (1996) (10)
European Pension Systems: A Simulation Analysis (1997) (9)
CORPORATE RESTRUCTURING: THE IMPACT OF LOAN SALES AND CREDIT DERIVATIVES (1999) (9)
Exchange Rate Bands with Point Process Fundamentals (1990) (9)
DYNAMIC DEFAULT RATES (2008) (9)
The Timing of Multilateral Lending (2000) (9)
An Extreme Analysis of VaRs for Emerging Market Benchmark Bonds (2003) (9)
Risk Management: Credit and Interest Rate Risk (2002) (9)
Ratings-Based Credit Risk Modelling: An Empirical Analysis (2007) (9)
Introduction: Banks and systemic risk (2002) (8)
Pricing Deposit Insurance in the United Kingdom (1995) (7)
Pension Systems in Europe: A General Equilibrium Study (1996) (7)
Reserve and exchange rate cycles (1998) (7)
Information Flows in the Foreign Exchange Markets (1995) (6)
Value-at-risk techniques: an empirical study (1995) (5)
Demography, Pensions and Welfare: Fertility Shocks and the Finnish Economy (1996) (5)
Securitizations in Basel II (2011) (4)
Asymmetry in the ERM: A Case Study of French and German Interest Rates Since Basel-Nyborg (1993) (4)
Structured credit products : pricing, rating, risk managment and Basel II (2004) (4)
Capital Floors, the Revised SA and the Cost of Loans in Switzerland (2015) (4)
Approximating the Finite Sample Bias for Maximum Likelihood Estimators by Using the Score (1996) (4)
Multivariate Tests of a Continuous Time Equilibrium Arbitrage Pricing Theory with Conditional Heteroscadasticity and Jumps (1992) (4)
CONTINUOUS TIME INTERNATIONAL ARBITRAGE PRICING: THEORY AND ESTIMATION (1995) (4)
Inflation and Sovereign Default (2000) (3)
Ratings-Based Pricing and Stochastic Spreads (2007) (2)
DYNAMIC LOAN LOSS DISTRIBUTIONS: ESTIMATION AND IMPLICATIONS (2006) (2)
Default Hazards and the Term Structure of Credit Spreads in a Duopoly (2001) (2)
Tax Efficiency in an Open Economy (1990) (2)
Modelling Exchange Rates in Continuous Time: Theory, Estimation and Option Pricing (1994) (2)
Risk Transfer for Multilateral Development Banks: Obstacles and Potential (2021) (2)
The Impact of Inflation Upon Portfolio Choice: A Duality Approach Using U.K. Data (1987) (2)
Asymmetry in the ERM (1992) (2)
New Methods for Estimating Nonlinear Continuous Time Interest Rate Processes (1994) (2)
Banking Policy and the Pricing of Deposit Guarantees: A New Approach (1991) (2)
Stability of rating transitions q (1999) (1)
Security Design and Managerial Incentives: A Contingent Claims Approach (1996) (1)
Judgmental Versus Quantitative Credit Risk Measures for Sovereigns (2002) (1)
Mutual Fund Separation with General Preferences (1992) (1)
Approximating the Finite Sample Bias for Maximum Likelihood Estimators Using the Score–Solution (1997) (1)
Estimating Volatility for Long Holding Periods (2000) (0)
Cheats, Banks and Liquidity Constraints (1989) (0)
Debt Valuation and Chapter 22 (2010) (0)
BANK CAPITAL AND VALUE-AT-RISK Patricia Jackson Bank of England (1997) (0)
Working Paper Series Measures of the Riskiness of Banking Organizations : Subordinated Debt Yields , Risk-Based Capital , and Examination (2001) (0)
The Simplified Arbitrage-Free Approach: Calculating securitisation capital based on Risk Weights alone (2013) (0)
Commentary (1998) (0)
Credit Cycles: A Frailty Approach (2010) (0)
Black-Scholes Option Valuation 3 . 1 An Equilibrium Condition (1999) (0)
Hedging and Asset Allocation for Structured Products (2005) (0)
Essays in portfolio theory (1989) (0)
ON BANKING SUPERVISION WORKING PAPERS No . 1 – April 1999 CAPITAL REQUIREMENTS AND BANK BEHAVIOUR : THE IMPACT OF THE BASLE ACCORD by a working group led by : Patricia Jackson and participation from : * (1999) (0)
Estimation of Credit Spread Correlations (2002) (0)
Commentary on four papers on credit risk modeling (1998) (0)
Research Insights: Risk Transfer for Multilateral Development Banks: Obstacles and Potential (2022) (0)
INFORMATION FLOWS IN THE FOREIGN EXCHANGE MARKET (2007) (0)
Conference on the Regulation of Financial Institutions (2001) (0)
How Risky are Structured Exposures Compared to Corporate Bonds? Evidence from Bond and ABS Returns (2004) (0)
Credit risk modelling (1999) (0)
Interest Rate Setting in Floating Rate Mortgage Markets (1996) (0)

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