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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.
| Contact: | | Email address secured by Enkoder. | | Phone | +44 (0)20 7594 9127
+44 (171) 601-4460 (Bank of England) | | Fax | +44 (171) 601-3217 (Bank of England) | | e-mail |
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Publications: that are posted on DefaultRisk.com Credit Modeling Dynamic Default Rates
by Robert Lamb of Imperial College London, and
William Perraudin of Imperial College London
(299K PDF) -- 34 pages -- May 2008 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 Jackson, Patricia, William Perraudin, and Victoria Saporta, "Regulatory and "Economic" Solvency Standards for Internationally Active Banks", Journal of Banking & Finance, Vol. 26, No. 5, (May 2002), pp. 953-976. 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 Other Credit 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. 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. Stability of Rating Transitions
by Pamela Nickell of the Bank of England,
William Perraudin of the Birkbeck College, and
Simone Varotto of the Bank of England
(186K PDF) -- 25 pages -- January 2000 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. Books: [Home] [Credit Researchers] [Top Ten Most Prolific]
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