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William Perraudin

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William Perraudin
Perraudin in 2015
Academic career
Doctoral
advisor		Dale W. Jorgenson

William R. M. Perraudin is a British economist. He is an adjunct professor and former Chair of Finance at Imperial College London,[1] 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.

As an expert in the field of risk as applied to financial regulation, Perraudin has been a special advisor to the Bank of England.[2] He has long taken the position that the financial models in use by major institutions are insufficiently conservative.[3]

Education

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From 1977 to 1981, William Perraudin studied French and History at the University of Oxford. From 1981 to 1983, he studied for a MSc in economics at London School of Economics, before gaining a PhD in economics from Harvard University.[4] He earned an M.S. in applied mathematics, 1987 to 1988, also from Harvard.

Career

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Before moving to Imperial,[5] Professor Perraudin headed the finance group of Birkbeck College, University of London.[6] He also taught at Cambridge University

He is an associate editor of Quantitative Finance, the Journal of Banking and Finance and the Journal of Credit Risk.

Selected publications

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  • Bernardi, Simone; Perraudin, William; Yang, Peng (2015). "Capital Floors, the Revised SA and the Cost of Loans in Switzerland" (PDF). www.fuw.ch. Retrieved 25 July 2017.
  • Perraudin, William (April 2015). "Default Probability Risk and Securitisation Capital". www.researchgate.net. Retrieved 26 July 2017.
  • Perraudin, William (February 2015). "Risk Control Comment on Antoniades and Tarashev". www.riskcontrollimited.com. Retrieved 26 July 2017.
  • Duponcheele, Georges; Linden, Alexandre; Perraudin, William (December 2014). "How to Revive the European Securitisation Market: a Proposal for a European SSFA". www.riskcontrollimited.com. Retrieved 26 July 2017.
  • Duponcheele, Georges; Totouom, Daniel; Perraudin, William (March 2014). "Calibration of the Simplified Supervisory Formula Approach". www.riskcontrollimited.com. Retrieved 26 July 2017.
  • Duponcheele, Georges; Linden, Alexandre; Perraudin, William (September 2014). "Securitisation Purchases by the ECB – What is "Senior Enough"?". www.riskcontrollimited.com. Retrieved 26 July 2017.
  • Perraudin, William (January 2014). "Covered Bond versus ABS Liquidity: A Comment on the EBA's Proposed HQLA Definition Risk Control Limited (PDF Download Available)". ResearchGate. Retrieved 26 July 2017.
  • Perraudin, William (July 2014). "High Quality Securitisation: An Empirical Analysis of the PCS Definition William Perraudin Risk Control Limited". ResearchGate. Retrieved 26 July 2017.
  • Perraudin, William (2014). "Quantitative Impacts of BCBS 269 Securitisation Capital Approaches" (PDF). www.riskcontrollimited.com. Retrieved 26 July 2017.
  • Perraudin, William, ed. (2004). Structured credit products : pricing, rating, risk management and Basel II. London: Risk Books. ISBN 1-904339-26-3.

References

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  1. ^ "NBER Publications by William Perraudin". NBER. Retrieved 2010-04-17.
  2. ^ "Quarterly Bulletins (Financial Stability)". Bank of England. 2001-01-16. Retrieved 2010-04-17.
  3. ^ "The Reliability of Credit Risk Models". CEPR. Retrieved 2010-04-17.
  4. ^ "About the Speakers". ICMA Centre. Retrieved 2010-04-17.
  5. ^ "Professor William Perraudin". Imperial College London. 16 June 2011. Archived from the original on 16 June 2011. Retrieved 26 July 2017.
  6. ^ http://www.moodys.com/cust/content/Content.ashx?source=staticcontent/Free%20Pages/CreditRiskConference/Conf07/conf07files/MAARC_Formation_Announcement.pdf[dead link‍]
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