18
H index
22
i10 index
1392
Citations
William Robert Maurice Perraudin : Citation Profile
| RESEARCH PRODUCTION: 32 Articles 35 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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29 years (1987 - 2016). 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:
| Cites to:
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Main data
Where William Robert Maurice Perraudin has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Banking & Finance | 7 |
| IMF Staff Papers | 5 |
| Economic Policy Review | 2 |
| Journal of Business & Economic Statistics | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Discussion Papers / University of Copenhagen. Department of Economics | 3 |
| Working Papers / HAL | 2 |
Recent works citing William Robert Maurice Perraudin (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Rating transitions forecasting: a filtering approach. (2021). Lelong, J'Erome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Papers. RePEc:arx:papers:2109.10567. Full description at Econpapers || Download paper |
| 2024 | Propagation of carbon tax in credit portfolio through macroeconomic factors. (2023). Sopgoui, Lionel ; Jacquier, Antoine ; Ibbou, Smail ; Chassagneux, Jean-Franccois ; Bouveret, G'Eraldine. In: Papers. RePEc:arx:papers:2307.12695. Full description at Econpapers || Download paper |
| 2024 | A Markov approach to credit rating migration conditional on economic states. (2024). Packham, Natalie ; Kalkbrener, Michael. In: Papers. RePEc:arx:papers:2403.14868. Full description at Econpapers || Download paper |
| 2024 | Measuring Name Concentrations through Deep Learning. (2024). Sester, Julian ; Lutkebohmert, Eva. In: Papers. RePEc:arx:papers:2403.16525. Full description at Econpapers || Download paper |
| 2024 | Calibration of the rating transition model for high and low default portfolios. (2024). Spreij, Peter ; Khedher, Asma. In: Papers. RePEc:arx:papers:2405.00576. Full description at Econpapers || Download paper |
| 2024 | On Joint Marginal Expected Shortfall and Associated Contribution Risk Measures. (2024). Zhang, Yiying ; Pu, Tong. In: Papers. RePEc:arx:papers:2405.07549. Full description at Econpapers || Download paper |
| 2023 | Health shocks and mortgage debt payoff among American homeowners over age 50: A survival analysis. (2023). Kim, Hyungsoo ; Zhang, Qun. In: Journal of Consumer Affairs. RePEc:bla:jconsa:v:57:y:2023:i:1:p:357-386. Full description at Econpapers || Download paper |
| 2024 | The bidding strategy for renewable energy auctions under government subsidies. (2024). Huo, Jiazhen ; Lee, Jasmine Siu ; Wang, Zhen. In: Applied Energy. RePEc:eee:appene:v:353:y:2024:i:pb:s030626192301512x. Full description at Econpapers || Download paper |
| 2023 | Secured and unsecured debt in creditor-friendly bankruptcy. (2023). Naqvi, Hassan ; Franois, Pascal. In: Journal of Corporate Finance. RePEc:eee:corfin:v:80:y:2023:i:c:s0929119923000627. Full description at Econpapers || Download paper |
| 2024 | An option game model applicable to multi-agent cooperation investment in energy storage projects. (2024). Liu, Liyun ; Su, Bin ; Nie, Jinchen ; Zhang, Mingming. In: Energy Economics. RePEc:eee:eneeco:v:131:y:2024:i:c:s0140988324001051. Full description at Econpapers || Download paper |
| 2023 | Corporate investment, financing, and exit model with an earnings-based borrowing constraint. (2023). Shibata, Takashi ; Zhang, Chuanqian ; Nishihara, Michi. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004069. Full description at Econpapers || Download paper |
| 2023 | Political similarities in credit ratings. (2023). Do, Hung ; Nguyen, Nhut H ; Molchanov, Alexander. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000315. Full description at Econpapers || Download paper |
| 2023 | Financial constraints on credit ratings and cash-flow sensitivity. (2023). Chang, Ming-Jen ; Chen, Shikuan ; Chien, Chih-Chung. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923001461. Full description at Econpapers || Download paper |
| 2023 | Knowledge mapping of model risk in banking. (2023). Torluccio, Giuseppe ; Rimo, Giuseppe ; Cosma, Simona. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003162. Full description at Econpapers || Download paper |
| 2023 | Research on the FinTech risk early warning based on the MS-VAR model: An empirical analysis in China. (2023). Li, Hui ; Du, Xin ; Bu, YA ; Wang, Yuting ; Yu, Xinghui. In: Global Finance Journal. RePEc:eee:glofin:v:58:y:2023:i:c:s1044028323000935. Full description at Econpapers || Download paper |
| 2023 | Understanding sovereign credit ratings: Text-based evidence from the credit rating reports. (2023). Lonarski, Igor ; Slapnik, Ursula. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123001063. Full description at Econpapers || Download paper |
| 2023 | Early Warning Systems for identifying financial instability. (2023). Sanfelici, Simona ; Allaj, Erindi. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1777-1803. Full description at Econpapers || Download paper |
| 2023 | Optimal financing and investment strategies under asymmetric information on liquidation value. (2023). Shibata, Takashi ; Nishihara, Michi. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002898. Full description at Econpapers || Download paper |
| 2023 | Investment decisions and financial leverage under a potential entry threat. (2023). Kamoto, Shinsuke. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001498. Full description at Econpapers || Download paper |
| 2023 | Consistency of banks internal probability of default estimates: Empirical evidence from the COVID-19 crisis. (2023). Teply, Petr ; Stepankova, Barbora. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s037842662300167x. Full description at Econpapers || Download paper |
| 2023 | Complexity and the default risk of mortgage-backed securities. (2023). Dufour, Alfonso ; Varotto, Simone ; Segato, Samuele ; Billio, Monica. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:155:y:2023:i:c:s0378426623001917. Full description at Econpapers || Download paper |
| 2023 | Financing the litigation arms race. (2023). Grenadier, Steven R ; Antill, Samuel. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:2:p:218-234. Full description at Econpapers || Download paper |
| 2023 | Currency crises in emerging countries: The commodity factor. (2023). Carpantier, Jean-François ; Bodart, Vincent. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000447. Full description at Econpapers || Download paper |
| 2023 | Enduring lending relationships and european firms default. (2023). Rondinella, Sandro ; Errico, Lucia ; Agostino, Mariarosaria ; Trivieri, Francesco. In: Research in Economics. RePEc:eee:reecon:v:77:y:2023:i:4:p:459-477. Full description at Econpapers || Download paper |
| 2024 | Farm debt and the over-exploitation of natural capital. (2024). Guthrie, Graeme. In: Resource and Energy Economics. RePEc:eee:resene:v:77:y:2024:i:c:s0928765524000150. Full description at Econpapers || Download paper |
| 2024 | Default risk and stock returns: From a perspective of measurement errors. (2024). Hu, Yingyao ; Yang, Xiaolou. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:1545-1561. Full description at Econpapers || Download paper |
| 2023 | On the welfare and policy implications of a two-period real option game. (2023). Luckraz, Shravan ; Chen, Shanshan ; Wang, Congcong ; Pansera, Bruno Antonio. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:90:y:2023:i:c:s003801212300229x. Full description at Econpapers || Download paper |
| 2023 | Procyclicality and the new Basel Accord–banks’ choice of loan rating system. (2003). Tsomocos, Dimitrios ; Catarineu-Rabell, Eva ; Jackson, Patricia. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp464. Full description at Econpapers || Download paper |
| 2023 | Rating transitions forecasting: a filtering approach. (2023). Picard, Tom ; Lelong, Jerome ; Cousin, Areski. In: Post-Print. RePEc:hal:journl:hal-03347521. Full description at Econpapers || Download paper |
| 2023 | No Reason to Worry About German Mortgages? An Analysis of Macroeconomic and Individual Drivers of Credit Risk. (2023). Schmidt, Alexander ; Koban, Anne ; Haenle, Philipp ; Barasinska, Nataliya. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:64:y:2023:i:3:d:10.1007_s10693-023-00409-3. Full description at Econpapers || Download paper |
| 2023 | A nonlinear inversion procedure for modeling the effects of economic factors on credit risk migration. (2023). Stokes, Jeffrey R. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:3:d:10.1007_s11156-023-01170-3. Full description at Econpapers || Download paper |
| 2023 | Optimal capital structure with earnings above a floor. (2023). Shibata, Takashi ; Nishihara, Michi. In: Discussion Papers in Economics and Business. RePEc:osk:wpaper:2309. Full description at Econpapers || Download paper |
| 2023 | Forecasting Loan Default in Europe with Machine Learning*. (2023). Tosetti, Elisa ; Manzan, Sebastiano ; Barbaglia, Luca. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:2:p:569-596.. Full description at Econpapers || Download paper |
| 2023 | Debt Renegotiations Outside Distress*. (2023). Westermann, Ramona ; Arnold, Marc. In: Review of Finance. RePEc:oup:revfin:v:27:y:2023:i:4:p:1183-1228.. Full description at Econpapers || Download paper |
| 2024 | Corporate bonds: fixed versus stochastic coupons—an empirical study. (2024). Karim, Muhammad Mahmudul ; Baaquie, Belal Ehsan. In: Journal of Asset Management. RePEc:pal:assmgt:v:25:y:2024:i:1:d:10.1057_s41260-023-00343-y. Full description at Econpapers || Download paper |
| 2023 | Development of a Transition Matrix Model of Credit Rating of Companies based on Forecasted Macro Factors: the Case of Greece. (2023). Poulios, Costas ; Melas, Evangelos ; Donatou, Anna ; Lefkaditis, Konstantinos ; Leventides, John. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:13:y:2023:i:5:f:13_5_3. Full description at Econpapers || Download paper |
| 2023 | Pricing risky corporate bonds: An empirical study. (2023). Karim, Muhammad Mahmudul ; Baaquie, Belal Ehsan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:1:p:90-121. Full description at Econpapers || Download paper |
Works by William Robert Maurice Perraudin:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2010 | Debt Valuation and Chapter 22 In: Birkbeck Working Papers in Economics and Finance. [Full Text][Citation analysis] | paper | 0 |
| 1996 | Modelling Exchange Rates in Continuous Time: Estimation and Option Pricing In: Archive Working Papers. [Citation analysis] | paper | 0 |
| 1996 | Time to Default in the U.K. Mortgage Market In: Archive Working Papers. [Citation analysis] | paper | 20 |
| 1997 | Time to default in the UK mortgage market.(1997) In: Economic Modelling. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | article | |
| 1996 | Interest Rate Setting in Floating Rate Mortgage Markets In: Archive Working Papers. [Citation analysis] | paper | 0 |
| 1996 | Pension Systems in Europe: A General Equilibrium Study In: Archive Working Papers. [Citation analysis] | paper | 5 |
| 1996 | Interest Rate Distributions, Yield Curve Modelling and Monetary Policy In: Archive Working Papers. [Citation analysis] | paper | 4 |
| 1996 | Yield Curves with Jump Short Rates In: Archive Working Papers. [Citation analysis] | paper | 2 |
| 1996 | Demography, Pensions and Welfare: Fertility Shocks and the Finnish Economy In: Archive Working Papers. [Citation analysis] | paper | 0 |
| 1996 | Demography, Pensions and Welfare: Fertility Shocks and the Finnish Economy.(1996) In: Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 1996 | Real Options and Preemption In: Archive Working Papers. [Citation analysis] | paper | 7 |
| 1992 | The Credit-Constrained Consumer: An Empirical Study of Demand and Supply in the Loan Market. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 14 |
| 1996 | A Continuous-Time Arbitrage-Pricing Model with Stochastic Volatility and Jumps. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 20 |
| 1997 | Strategic Debt Service. In: Journal of Finance. [Full Text][Citation analysis] | article | 240 |
| 1993 | Strategic Debt Service.(1993) In: CEPR Financial Markets Paper. [Citation analysis] This paper has nother version. Agregated cites: 240 | paper | |
| 2001 | The structure of credit risk: spread volatility and ratings transitions In: Bank of England working papers. [Full Text][Citation analysis] | paper | 11 |
| 2001 | Ratings versus equity-based credit risk modelling: an empirical analysis In: Bank of England working papers. [Full Text][Citation analysis] | paper | 23 |
| 2001 | Stability of ratings transitions In: Bank of England working papers. [Full Text][Citation analysis] | paper | 285 |
| 2000 | Stability of rating transitions.(2000) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 285 | article | |
| 2002 | Regulatory and economic solvency standards for internationally active banks In: Bank of England working papers. [Full Text][Citation analysis] | paper | 17 |
| 2002 | Regulatory and economic solvency standards for internationally active banks.(2002) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | article | |
| 1995 | Pricing Deposit Insurance in the United Kingdom In: Bank of England working papers. [Full Text][Citation analysis] | paper | 4 |
| 1998 | Bank Capital and Value at Risk In: Bank of England working papers. [Full Text][Citation analysis] | paper | 21 |
| 1992 | Multivariate Tests of a Continuous Time Equilibrium Arbitrage Pricing Theory with Conditional Heteroscadasticity and Jumps. In: Cambridge Working Papers in Economics. [Citation analysis] | paper | 0 |
| 1992 | Multivariate Tests of a Continuous Time Equilibrium Arbitrage Pricing Theory with Conditional Heteroskedasticity and Jumps.(1992) In: CEPR Financial Markets Paper. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 1992 | Multivariate Tests of a Continuous Time Equilibrium Arbitrage Pricing Theory with Conditional Heteroskedasticity and Jumps.(1992) In: Discussion Papers. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 1992 | Mutual Fund Separation with General Preferences. In: Cambridge Working Papers in Economics. [Citation analysis] | paper | 2 |
| 1995 | CONTINUOUS TIME INTERNATIONAL ARBITRAGE PRICING: THEORY AND ESTIMATION In: Cambridge Working Papers in Economics. [Citation analysis] | paper | 0 |
| 1995 | Information Flows in the Foreign Exchange Markets. In: Cambridge Working Papers in Economics. [Citation analysis] | paper | 4 |
| 1995 | Option Games In: Cambridge Working Papers in Economics. [Citation analysis] | paper | 0 |
| 1995 | New Methods for Estimating Nonlinear Continuous Time Interest Rate Processes. In: Cambridge Working Papers in Economics. [Citation analysis] | paper | 1 |
| 1994 | New Methods for Estimating Nonlinear Continuous Time Interest Rate Processes.(1994) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 1995 | Optimal Bank Reorganisation and the Fair Pricing of Deposit Garantees. In: Cambridge Working Papers in Economics. [Citation analysis] | paper | 42 |
| 1997 | Optimal bank reorganization and the fair pricing of deposit guarantees.(1997) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 42 | article | |
| 1995 | Reserve Cycles. In: Cambridge Working Papers in Economics. [Citation analysis] | paper | 0 |
| 1995 | European Pension Systems: A Simulation Analysis. In: Cambridge Working Papers in Economics. [Citation analysis] | paper | 5 |
| 1997 | European pension systems: a simulation analysis.(1997) In: Fiscal Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 1993 | Asymmetry in the ERM: A Case Study of French and German Interest Rates Since Basel-Nyborg In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
| 2000 | The Timing of Multilateral Lending. In: Economic Journal. [Full Text][Citation analysis] | article | 4 |
| 2003 | Real options and preemption under incomplete information In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 143 |
| 2000 | The demand for risky assets: Sample selection and household portfolios In: Journal of Econometrics. [Full Text][Citation analysis] | article | 36 |
| 1996 | Creditor races and contingent claims In: European Economic Review. [Full Text][Citation analysis] | article | 5 |
| 2003 | Predicting emerging market currency crashes In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 136 |
| 2007 | Ratings-based credit risk modelling: An empirical analysis In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 3 |
| 1998 | Reserve and exchange rate cycles In: Journal of International Economics. [Full Text][Citation analysis] | article | 3 |
| 2000 | Regulatory implications of credit risk modelling In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 20 |
| 2002 | Introduction: Banks and systemic risk In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 1 |
| 2002 | The estimation of transition matrices for sovereign credit ratings In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 68 |
| 2004 | On the consistency of ratings and bond market yields In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 22 |
| 1995 | A Theorem on Portfolio Separation with General Preferences In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 13 |
| 1993 | Evaluating Deposit Insurance for Japanese Banks In: Journal of the Japanese and International Economies. [Full Text][Citation analysis] | article | 6 |
| 1995 | Value-at-risk techniques: an empirical study In: Proceedings. [Citation analysis] | article | 0 |
| 1998 | The impact of capital requirements on U.K. bank behaviour In: Economic Policy Review. [Full Text][Citation analysis] | article | 61 |
| 1998 | Commentary on four papers on credit risk modeling In: Economic Policy Review. [Full Text][Citation analysis] | article | 0 |
| 1996 | Security Design and Managerial Incentives: A Contingent Claims Approach In: Working Papers. [Citation analysis] | paper | 1 |
| 2016 | Multilateral Development Bank Ratings and Preferred Creditor Status In: IDB Publications (Working Papers). [Full Text][Citation analysis] | paper | 1 |
| 1989 | Cheats, Banks and Liquidity Constraints In: Discussion Papers. [Citation analysis] | paper | 0 |
| 1994 | Modelling Exchange Rates in Continuous Time: Theory, Estimation and Option Pricing In: Discussion Papers. [Citation analysis] | paper | 1 |
| 2003 | Mortgage Default and Possession under Recourse: A Competing Hazards Approach. In: Journal of Money, Credit and Banking. [Citation analysis] | article | 30 |
| 1996 | Interdealer Trade and Information Flows in a Decentralized Foreign Exchange Market In: NBER Chapters. [Full Text][Citation analysis] | chapter | 25 |
| 1997 | Debt in Industry Equilibrium. In: The Review of Financial Studies. [Citation analysis] | article | 38 |
| 1987 | Inflation and Portfolio Choice In: IMF Staff Papers. [Full Text][Citation analysis] | article | 5 |
| 1991 | European Fiscal Harmonization and the French Economy In: IMF Staff Papers. [Full Text][Citation analysis] | article | 9 |
| 1993 | Asymmetry in the ERM: A Case Study of French and German Interest Rates Before and After German Unification In: IMF Staff Papers. [Full Text][Citation analysis] | article | 21 |
| 1994 | Framework for the Analysis of Pension and Unemployment Benefit Reform in Poland In: IMF Staff Papers. [Full Text][Citation analysis] | article | 3 |
| 2001 | Inflation and Sovereign Default In: IMF Staff Papers. [Full Text][Citation analysis] | article | 2 |
| 1991 | Lharmonisation fiscale en Europe et léconomie française : une approche en équilibre général In: Revue de l'OFCE. [Full Text][Citation analysis] | article | 4 |
| 2001 | Default Hazards and the Term Structure of Credit Spreads in a Duopoly In: OFRC Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
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