William Robert Maurice Perraudin : Citation Profile


Are you William Robert Maurice Perraudin?

16

H index

23

i10 index

1145

Citations

RESEARCH PRODUCTION:

35

Articles

39

Papers

1

Chapters

RESEARCH ACTIVITY:

   23 years (1987 - 2010). See details.
   Cites by year: 49
   Journals where William Robert Maurice Perraudin has often published
   Relations with other researchers
   Recent citing documents: 71.    Total self citations: 15 (1.29 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppe518
   Updated: 2019-07-21    RAS profile: 2011-11-17    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with William Robert Maurice Perraudin.

Is cited by:

Shibata, Takashi (15)

Lucas, Andre (15)

Schuermann, Til (14)

Tsomocos, Dimitrios (12)

Koopman, Siem Jan (10)

Mella-Barral, Pierre (9)

Décamps, Jean-Paul (9)

muellbauer, john (8)

Miao, Jianjun (8)

ap Gwilym, Owain (8)

Alsakka, Rasha (8)

Cites to:

Varotto, Simone (12)

Kaminsky, Graciela (8)

Mella-Barral, Pierre (7)

Gordy, Michael (7)

Hall, Maximilian (6)

Marion, Nancy (6)

Lopez, Jose (5)

Kupiec, Paul (5)

Reinhart, Carmen (4)

FREIXAS, XAVIER (3)

muellbauer, john (3)

Main data


Where William Robert Maurice Perraudin has published?


Journals with more than one article published# docs
Journal of Banking & Finance7
IMF Staff Papers5
Economic Policy Review2
Journal of Business & Economic Statistics2
Econometric Theory2

Working Papers Series with more than one paper published# docs
IMF Working Papers / International Monetary Fund7
Discussion Papers / University of Copenhagen. Department of Economics3

Recent works citing William Robert Maurice Perraudin (2018 and 2017)


YearTitle of citing document
2018Symmetric Equilibria in Stochastic Timing Games. (2018). Steg, Jan-Henrik. In: Papers. RePEc:arx:papers:1507.04797.

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2018Estimation and prediction of credit risk based on rating transition systems. (2018). Shao, Jinghai ; Li, Yong. In: Papers. RePEc:arx:papers:1607.00448.

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2018Securities Lending Strategies: Valuation of Term Loans using Option Theory. (2018). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1609.01274.

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2018Measuring Systematic Risk with Neural Network Factor Model. (2018). Huh, Jeonggyu. In: Papers. RePEc:arx:papers:1809.04925.

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2018Capturing Model Risk and Rating Momentum in the Estimation of Probabilities of Default and Credit Rating Migrations. (2018). Pfeuffer, Marius ; Smith, Greig ; Reis, Goncalo Dos . In: Papers. RePEc:arx:papers:1809.09889.

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2018Dependence of Structural Breaks in Rating Transition Dynamics on Economic and Market Variations. (2018). Xing, Haipeng ; Chen, Ying. In: Review of Economics & Finance. RePEc:bap:journl:180101.

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2019R&D appropriability and market structure in a preemption model. (2019). Breccia, Adriana . In: Birkbeck Working Papers in Economics and Finance. RePEc:bbk:bbkefp:1902.

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2017Adoption Costs of Financial Innovation: Evidence from Italian ATM Cards. (2017). Smith, Gregor ; Schmidt-Dengler, Philipp ; Huynh, Kim ; Welte, Angelika. In: Staff Working Papers. RePEc:bca:bocawp:17-8.

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2019Labor Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects. (2019). Tuzcuoglu, Kerem. In: Staff Working Papers. RePEc:bca:bocawp:19-16.

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2017The Effect of Business and Financial Market Cycles on Credit Ratings: Evidence from the Last Two Decades. (2017). Stolowy, Hervé ; Astolfi, Pierre ; Paugam, Luc ; Lobo, Gerald J. In: Abacus. RePEc:bla:abacus:v:53:y:2017:i:1:p:59-93.

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2018DURATION MODELS FOR CREDIT RATING MIGRATION: EVIDENCE FROM THE FINANCIAL CRISIS. (2018). Prigent, Jean-Luc ; Karaa, Adel ; ben Ayed, Myriam. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:3:p:1870-1886.

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2017An Unexpected Crisis? Looking at Pricing Effectiveness of Heterogeneous Banks. (2017). Vacca, Valerio. In: Economic Notes. RePEc:bla:ecnote:v:46:y:2017:i:2:p:171-206.

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2018Credit Insurance, Distress Resolution Costs, and Bond Spreads. (2018). Narayanan, Rajesh ; Uzmanoglu, Cihan. In: Financial Management. RePEc:bla:finmgt:v:47:y:2018:i:4:p:931-951.

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2018Determinants of distress in the UK owner-occupier and buy-to-let mortgage markets. (2018). Hinterschweiger, Marc ; Lazarov, Vladimir . In: Bank of England working papers. RePEc:boe:boeewp:0760.

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2019Bank Capital Forbearance. (2019). Martynova, Natalya ; Suarez, Javier ; Perotti, Enrico C. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13617.

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2018Early Warning System of Government Debt Crises. (2018). Kholodilin, Konstantin ; Dreger, Christian. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1724.

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2017Environmental, Social and Governance (ESG) performance and sovereign bond spreads: an empirical analysis of OECD countries. (2017). Scholtens, Bert ; Crifo, Patricia ; CAPELLE-BLANCARD, Gunther ; Oueghlissi, Rim ; Diaye, Marc-Arthur. In: EconomiX Working Papers. RePEc:drm:wpaper:2017-7.

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2018The Fate of Inventions. What can we learn from Bayesian learning in strategic options model of adoption ?. (2018). Civel, Edouard ; Baudry, marc. In: EconomiX Working Papers. RePEc:drm:wpaper:2018-47.

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2017Optimizing policymakers loss functions in crisis prediction: before, within or after?. (2017). von Schweinitz, Gregor ; Sarlin, Peter. In: Working Paper Series. RePEc:ecb:ecbwps:20172025.

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2017Capital requirements, risk shifting and the mortgage market. (2017). Wieladek, Tomasz ; Uluc, Arzu. In: Working Paper Series. RePEc:ecb:ecbwps:20172061.

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2018Investment timing, reversibility, and financing constraints. (2018). Shibata, Takashi ; Nishihara, Michi. In: Journal of Corporate Finance. RePEc:eee:corfin:v:48:y:2018:i:c:p:771-796.

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2018The use of equity financing in debt renegotiation. (2018). Silaghi, Florina . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:86:y:2018:i:c:p:123-143.

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2018Dynamic bankruptcy procedure with asymmetric information between insiders and outsiders. (2018). Shibata, Takashi ; Nishihara, Michi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:118-137.

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2018Exchange rate dynamics and US dollar-denominated sovereign bond prices in emerging markets. (2018). Hui, Cho-Hoi ; Chau, Po-Hon ; Lo, Chi-Fai. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:109-128.

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2017Capacity decisions with debt financing: The effects of agency problem. (2017). Ni, Jian ; Li, Qiang ; Chu, Lap Keung . In: European Journal of Operational Research. RePEc:eee:ejores:v:261:y:2017:i:3:p:1158-1169.

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2018A stochastic model with interacting managerial operating options and debt rescheduling. (2018). Charalambides, Marios ; Koussis, Nicos. In: European Journal of Operational Research. RePEc:eee:ejores:v:267:y:2018:i:1:p:236-249.

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2019A Bayesian approach to modeling mortgage default and prepayment. (2019). Soyer, Refik ; Wilson, Simon P ; Bhattacharya, Arnab. In: European Journal of Operational Research. RePEc:eee:ejores:v:274:y:2019:i:3:p:1112-1124.

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2018The effect of capital ratios on the risk, efficiency and profitability of banks: Evidence from OECD countries. (2018). Bitar, Mohammad ; Walker, Thomas ; Pukthuanthong, Kuntara. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:53:y:2018:i:c:p:227-262.

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2017Sovereign credit rating determinants: A comparison before and after the European debt crisis. (2017). Reusens, Peter ; Croux, Christophe. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:77:y:2017:i:c:p:108-121.

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2017Reading between the ratings: Modeling residual credit risk and yield overlap. (2017). Chang, Charles ; Kao, Chu-Lan Michael ; Fuh, Cheng-Der. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:81:y:2017:i:c:p:114-135.

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2017Real options in finance. (2017). Lambrecht, Bart M. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:81:y:2017:i:c:p:166-171.

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2017Strategic technology adoption and hedging under incomplete markets. (2017). Leippold, Markus ; Stromberg, Jacob . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:81:y:2017:i:c:p:181-199.

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2018Subjectivity in sovereign credit ratings. (2018). Luitel, Prabesh ; Vanpee, Rosanne ; Van Pee, Rosanne ; Sercu, Piet ; de Moor, Lieven. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:88:y:2018:i:c:p:366-392.

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2018Financial development and the occurrence of banking crises. (2018). Minea, Alexandru ; Mathonnat, Clement . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:344-354.

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2019Sovereign bond yield spreads and sustainability: An empirical analysis of OECD countries. (2019). CAPELLE-BLANCARD, Gunther ; Scholtens, Bert ; Oueghlissi, Rim ; Diaye, Marc-Arthur ; Crifo, Patricia. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:98:y:2019:i:c:p:156-169.

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2017Bank capital, liquid reserves, and insolvency risk. (2017). Hugonnier, Julien ; Morellec, Erwan. In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:2:p:266-285.

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2017Debt correlations in the wake of the financial crisis: What are appropriate default correlations for structured products?. (2017). Nickerson, Jordan ; Griffin, John M. In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:3:p:454-474.

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2018Capital requirements, monetary policy and risk shifting in the mortgage market. (2018). Uluc, Arzu ; Wieladek, Tomasz. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:35:y:2018:i:pb:p:3-16.

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2019Debt overhang and non-distressed debt restructuring. (2019). Instefjord, Norvald ; Frantz, Pascal. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:37:y:2019:i:c:p:75-88.

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2018Real and financial shocks, exchange rate regimes and the probability of a currency crisis. (2018). Nakatani, Ryota. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:40:y:2018:i:1:p:60-73.

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2017Log-periodic view on critical dates of the Chinese stock market bubbles. (2017). Li, Chong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:465:y:2017:i:c:p:305-311.

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2017Considering the investment decisions with real options games approach. (2017). Arasteh, Abdollah . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:72:y:2017:i:c:p:1282-1294.

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2017Are global shocks leading indicators of currency crisis in Viet Nam?. (2017). Anh, Thi Hoang. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:605-615.

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2019Debt overhang and non-distressed debt restructuring. (2019). Instefjord, Norvald ; Frantz, Pascal. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:90212.

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2017Rating Migration and Bond Valuation: Decomposing Rating Migration Matrices from Market Data via Default Probability Term Structures. (2017). Barnard, Brian. In: Expert Journal of Finance. RePEc:exp:finnce:v:5:y:2017:i::p:49-72.

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2017An Empirical Study on the Impact of Basel III Standards on Banks’ Default Risk: The Case of Luxembourg. (2017). Giordana, Gastón ; Schumacher, Ingmar. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:2:p:8-:d:95645.

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2017Herding Behaviour among Credit Rating Agencies. (2017). Bellot, Nicolas Jannone. In: Journal of Finance and Economics Research. RePEc:gei:jnlfer:v:2:y:2017:i:1:p:56-83.

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2018The Increase in Payday Loans and Damaged Credit after the Great Recession. (2018). Lee, Jonghee ; Kim, Kyoung Tae. In: Journal of Family and Economic Issues. RePEc:kap:jfamec:v:39:y:2018:i:2:d:10.1007_s10834-017-9557-0.

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2017Is there an optimally diversified conglomerate? Gleaning answers from capital markets. (2017). Nejadmalayeri, Ali ; Singh, Manohar ; Iyer, Subramanian Rama. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:49:y:2017:i:1:d:10.1007_s11156-016-0585-x.

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2017The Probability of Default Under IFRS 9: Multi-period Estimation and Macroeconomic Forecast. (2017). Vank, Toma ; Hampel, David. In: Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis. RePEc:mup:actaun:actaun_2017065020759.

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2017To SVAR or to SVEC? On the transmission of capital buffer shocks to the real economy. (2017). Torój, Andrzej ; Dybka, Piotr ; Toroj, Andrzej ; Pkaa, Piotr ; Olesiski, Bartosz . In: Bank i Kredyt. RePEc:nbp:nbpbik:v:48:y:2017:i:2:p:119-148.

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2017Valuation of an R&D project with three types of uncertainty. (2017). Nishihara, Michi. In: Discussion Papers in Economics and Business. RePEc:osk:wpaper:1715.

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2017Dynamic bankruptcy procedure with asymmetric information between insiders and outsiders. (2017). Shibata, Takashi ; Nishihara, Michi. In: Discussion Papers in Economics and Business. RePEc:osk:wpaper:1718.

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2018Liquidation, fire sales, and acquirers private information. (2018). Shibata, Takashi ; Nishihara, Michi. In: Discussion Papers in Economics and Business. RePEc:osk:wpaper:1825.

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2017Information Revelation in Merger Waves. (2017). Moran, Pablo. In: Review of Corporate Finance Studies. RePEc:oup:rcorpf:v:6:y:2017:i:2:p:174-233..

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2018Systemic risk spillovers in sovereign credit default swaps in Europe: a spatial approach. (2018). Mili, Mehdi. In: Journal of Asset Management. RePEc:pal:assmgt:v:19:y:2018:i:2:d:10.1057_s41260-017-0068-1.

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2017Real options and institutions. (2017). Pennings, Enrico ; Bekkum, Sjoerd ; Smit, Han. In: Journal of International Business Studies. RePEc:pal:jintbs:v:48:y:2017:i:5:d:10.1057_s41267-016-0055-7.

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2019Real options theory in international business. (2019). Tsekrekos, Andrianos ; Trigeorgis, Lenos G ; Li, Jing ; Chi, Tailan. In: Journal of International Business Studies. RePEc:pal:jintbs:v:50:y:2019:i:4:d:10.1057_s41267-019-00222-y.

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2017Real and Financial Shocks, Exchange Rate Regimes and the Probability of a Currency Crisis. (2017). Nakatani, Ryota. In: MPRA Paper. RePEc:pra:mprapa:82186.

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2017Estimating the Revenue Impacts of Tax Harmonisation. (2017). AYOKI, Milton. In: MPRA Paper. RePEc:pra:mprapa:83548.

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2018The Effects of Market Structure on Uncertainty-Investment Relationship: Evidence from Turkish Manufacturing Industry. (2018). Guven, Aytekin ; Akkoyunlu-Wigley, Arzu. In: Sosyoekonomi Journal. RePEc:sos:sosjrn:180310.

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2018Valuation of an R&D project with three types of uncertainty. (2018). Nishihara, Michi. In: EURO Journal on Decision Processes. RePEc:spr:eurjdp:v:6:y:2018:i:1:d:10.1007_s40070-018-0076-5.

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2019Bank capital forbearance. (2019). Suarez, Javier ; Perotti, Enrico ; Martynova, Natalya. In: ESRB Working Paper Series. RePEc:srk:srkwps:201993.

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2018The Triple Trigger? Negative Equity, Income Shocks and Institutions as Determinants of Mortgage Default. (2018). Lyons, Ronan ; Lynn, Andrew . In: Trinity Economics Papers. RePEc:tcd:tcduee:tep0718.

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2019Bond Exchange Offers or Collective Action Clauses?. (2019). Hege, Ulrich ; Mella-Barral, Pierre. In: TSE Working Papers. RePEc:tse:wpaper:123086.

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2018Do competition and development indicators heterogeneously affect risk and capital? Evidence from Asian banks. (2018). Yesmin, Afsana. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:03:n:s2424786318500172.

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2019Stress testing the German mortgage market. (2019). Schmidt, Alexander ; Koban, Anne ; Haenle, Philipp ; Barasinska, Nataliya. In: Discussion Papers. RePEc:zbw:bubdps:172019.

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2017Why they keep missing: An empirical investigation of rational inattention of rating agencies. (2017). von Schweinitz, Gregor ; El-Shagi, Makram. In: IWH Discussion Papers. RePEc:zbw:iwhdps:12017.

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2017The appropriateness of the macroeconomic imbalance procedure for Central and Eastern European countries. (2017). Knedlik, Tobias ; Kampfe, Martina. In: IWH Discussion Papers. RePEc:zbw:iwhdps:162017.

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Works by William Robert Maurice Perraudin:


YearTitleTypeCited
2010Debt Valuation and Chapter 22 In: Birkbeck Working Papers in Economics and Finance.
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paper0
1996Modelling Exchange Rates in Continuous Time: Estimation and Option Pricing In: Archive Working Papers.
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paper0
1996Time to Default in the U.K. Mortgage Market In: Archive Working Papers.
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paper15
1997Time to default in the UK mortgage market.(1997) In: Economic Modelling.
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1996Interest Rate Setting in Floating Rate Mortgage Markets In: Archive Working Papers.
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paper0
1996Pension Systems in Europe: A General Equilibrium Study In: Archive Working Papers.
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paper5
1996Interest Rate Distributions, Yield Curve Modelling and Monetary Policy In: Archive Working Papers.
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paper4
1996Yield Curves with Jump Short Rates In: Archive Working Papers.
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paper2
1996Demography, Pensions and Welfare: Fertility Shocks and the Finnish Economy In: Archive Working Papers.
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paper0
1996Demography, Pensions and Welfare: Fertility Shocks and the Finnish Economy.(1996) In: Discussion Papers.
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1996Real Options and Preemption In: Archive Working Papers.
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paper7
1992The Credit-Constrained Consumer: An Empirical Study of Demand and Supply in the Loan Market. In: Journal of Business & Economic Statistics.
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article12
1996A Continuous-Time Arbitrage-Pricing Model with Stochastic Volatility and Jumps. In: Journal of Business & Economic Statistics.
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article13
1998Securities fraud In: Economic Policy.
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article6
1997 Strategic Debt Service. In: Journal of Finance.
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article194
1993Strategic Debt Service.(1993) In: CEPR Financial Markets Paper.
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2001The structure of credit risk: spread volatility and ratings transitions In: Bank of England working papers.
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2001Ratings versus equity-based credit risk modelling: an empirical analysis In: Bank of England working papers.
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2001Stability of ratings transitions In: Bank of England working papers.
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paper238
2000Stability of rating transitions.(2000) In: Journal of Banking & Finance.
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2002Regulatory and economic solvency standards for internationally active banks In: Bank of England working papers.
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2002Regulatory and economic solvency standards for internationally active banks.(2002) In: Journal of Banking & Finance.
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1995Pricing Deposit Insurance in the United Kingdom In: Bank of England working papers.
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1998Bank Capital and Value at Risk In: Bank of England working papers.
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1992Multivariate Tests of a Continuous Time Equilibrium Arbitrage Pricing Theory with Conditional Heteroscadasticity and Jumps. In: Cambridge Working Papers in Economics.
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1992Multivariate Tests of a Continuous Time Equilibrium Arbitrage Pricing Theory with Conditional Heteroskedasticity and Jumps.(1992) In: CEPR Financial Markets Paper.
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This paper has another version. Agregated cites: 0
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1992Multivariate Tests of a Continuous Time Equilibrium Arbitrage Pricing Theory with Conditional Heteroskedasticity and Jumps.(1992) In: Discussion Papers.
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1992Mutual Fund Separation with General Preferences. In: Cambridge Working Papers in Economics.
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paper2
1995CONTINUOUS TIME INTERNATIONAL ARBITRAGE PRICING: THEORY AND ESTIMATION In: Cambridge Working Papers in Economics.
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1995Information Flows in the Foreign Exchange Markets. In: Cambridge Working Papers in Economics.
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paper3
1995Option Games In: Cambridge Working Papers in Economics.
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1995New Methods for Estimating Nonlinear Continuous Time Interest Rate Processes. In: Cambridge Working Papers in Economics.
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paper1
1995Optimal Bank Reorganisation and the Fair Pricing of Deposit Garantees. In: Cambridge Working Papers in Economics.
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paper35
1997Optimal bank reorganization and the fair pricing of deposit guarantees.(1997) In: Journal of Banking & Finance.
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1995Reserve Cycles. In: Cambridge Working Papers in Economics.
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1995European Pension Systems: A Simulation Analysis. In: Cambridge Working Papers in Economics.
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paper5
1997European pension systems: a simulation analysis.(1997) In: Fiscal Studies.
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1993Asymmetry in the ERM: A Case Study of French and German Interest Rates Since Basel-Nyborg In: CEPR Discussion Papers.
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1992Asymmetry in the ERM; A Case Study of French and German Interest Rates Since Basle-Nyborg.(1992) In: IMF Working Papers.
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1996Approximating the Finite Sample Bias for Maximum Likelihood Estimators by Using the Score In: Econometric Theory.
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1997Approximating the Finite Sample Bias for Maximum Likelihood Estimators Using the Score–Solution In: Econometric Theory.
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2000The Timing of Multilateral Lending. In: Economic Journal.
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article5
2003Real options and preemption under incomplete information In: Journal of Economic Dynamics and Control.
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article105
2000The demand for risky assets: Sample selection and household portfolios In: Journal of Econometrics.
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article32
1996Creditor races and contingent claims In: European Economic Review.
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article4
2003Predicting emerging market currency crashes In: Journal of Empirical Finance.
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article117
2002Predicting Emerging Market Currency Crashes.(2002) In: IMF Working Papers.
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2007Ratings-based credit risk modelling: An empirical analysis In: International Review of Financial Analysis.
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1998Reserve and exchange rate cycles In: Journal of International Economics.
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2000Regulatory implications of credit risk modelling In: Journal of Banking & Finance.
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article16
2002Introduction: Banks and systemic risk In: Journal of Banking & Finance.
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2002The estimation of transition matrices for sovereign credit ratings In: Journal of Banking & Finance.
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article47
2004On the consistency of ratings and bond market yields In: Journal of Banking & Finance.
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article18
1995A Theorem on Portfolio Separation with General Preferences In: Journal of Economic Theory.
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article13
1993Evaluating Deposit Insurance for Japanese Banks In: Journal of the Japanese and International Economies.
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article5
1995Value-at-risk techniques: an empirical study In: Proceedings.
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article0
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1991Banking Policy and the Pricing of Deposit Guarantees; A New Approach In: IMF Working Papers.
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