William Perraudin

Professor of Financial Economics
Special Advisor to the Bank of England

University of London -- Department of Economics and Finance
Birbeck College
7-15 Gresse Street
London, W1P 2LL
England

• Harvard University, Ph. D., Engineering Economic Systems, 1992.
• Has written several books on asset pricing.
• Research interests include continuous time pricing, credit risk modelling, strategic contingent claims models and risk management. Before coming to Birkbeck, he taught in Cambridge University and worked in the City and for the International Monetary Fund. He has acted as consultant for investment banks, central banks, and multilateral organizations.

Publications: that are posted on DefaultRisk.com

Credit Modeling

Ratings-Based Pricing and Stochastic Spreads
by Mariam Harfush-Pardo of Risk Control Limited
Robert Lamb of Imperial College, and
William Perraudin of Imperial College
(292K PDF) -- 33 pages -- September 2007

Ratings-based Credit Risk Modelling: An empirical analysis
by Pamela Nickell of Moody's KMV,
William Perraudin of Imperial College, and
Simone Varotto of ISMA Center
(602K PDF) -- 26 pages -- May 6, 2005

Credit Risk Modelling
by Patricia Jackson of the Bank of England,
Pamela Nickell of the Bank of England, and
William Perraudin of the Bank of England
(373K PDF) -- 28 pages -- June, 1999

Credit Derivatives

Dynamic Pricing of Synthetic Collateralized Debt Obligations
by Robert Lamb of Imperial College,
William Perraudin of Imperial College, and
Astrid van Landschoot of Standard & Poor's
(217K PDF) -- 24 pages -- March 2008

Collateralized Debt Obligations

Hedging and Asset Allocation for Structured Products
by Robert Lamb of Imperial College,
Vladislav Peretyatkin of Imperial College, and
William Perraudin of Imperial College
(161K PDF) -- 25 pages -- December 2005

Recovery Rates

The Dependence of Recovery Rates and Defaults
by Yen-Ting Hu of Birkbeck College, and
William Perraudin of Birkbeck College & Bank of England & CEPR
(158K PDF) -- 26 pages -- February 2002

Supervisory

Regulatory Implications of Credit Risk Modelling
by Patricia Jackson of the Bank of England, and
William Perraudin of Birkbeck College
(105K PDF) -- 14 pages -- January 2000

Sovereign

Judgmental Versus Quantitative Credit Risk Measures for Sovereigns
by Yen-Ting Hu of Birkbeck College,
Rudiger Kiesel of the London School of Economics,
William Perraudin of Birkbeck College&  Bank of England & CEPR, and
Gerhard Stahl of Bundesaufsichtsamt für Kreditwesen
(105K PDF) -- 20 pages -- May 2002

Other

Hu, Yen-Ting, Rudiger Kiesel, and William Perraudin, "The Estimation of Transition Matrices for Sovereign Credit Ratings", Journal of Banking & Finance, Vol. 26, No. 7, (July 2002), pp. 1383-1406. [Abstract]

Perraudin, William and Alex Taylor, "On the Consistency of Ratings and Bond Market Yields", Journal of Banking & Finance, Vol. 28, No. 11, (November 2004), pp. 2769-2788. [Abstract]

The Nature of Credit Risk: the effect of maturity, type of obligor, and country of domicile
by Patricia Jackson of the Bank of England, and
William Perraudin of Birkbeck College
(202K PDF) -- 13 pages -- November 1999

Related Papers

Mella-Barral, Pierre and William Perraudin, "Strategic Debt Service", Journal of Finance, Vol. 52, No. 2, (June 1997). pp. 531-556.  [Abstract]

Books:

Structured Credit Products: Pricing, Rating, Risk Management and Basel II Edited by William Perraudin Risk Books, September 2004, Hardcover, 392 pages

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