William Perraudin

Quick Facts

Intro

British economist

Places

United Kingdom Great Britain

Economist

Work field

Finance

Gender

Male

The details (from wikipedia)

Biography

William R. M. Perraudin is a British economist. He is an Adjunct Professor and former Chair of Finance at Imperial College London, 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. He has long taken the position that the financial models in use by major institutions are insufficiently conservative.

Education

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. He earned an M.S. in Applied Mathematics - 1987 to 1988 - also from Harvard.

Career

Before moving to Imperial, Professor Perraudin headed the finance group of Birkbeck College, University of London. 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

Capital Floors, the Revised SA and the Cost of Loans in Switzerland, 2015.
Default Probability Risk and Securitisation Capital, 2015.
Comment on Antoniades and Tarashev, 2015.
(with Georges Duponcheele and Alexandre Linden)How to Revive the European Securitisation Market: a Proposal for a European SSFA, 2014.
(with Georges Duponcheele and Daniel Totouom-Tangho) Calibration of the Simplified Supervisory Formula Approach, 2014.
Securitisation Purchases by the ECB - What is ‘Senior Enough’?, 2014.
Covered Bond versus ABS Liquidity: A Comment on the EBA’s Proposed HQLA Definition, 2014.
High Quality Securitisation: An Empirical Analysis of the PCS Definition, 2014.
Quantitative Impacts of BCBS 269 Securitisation Capital Approaches, 2014.
Structured Credit Products: Pricing, Rating, Risk Management and Basel II, 2004. ISBN 1-904339-26-3, ISBN 978-1-904339-26-7.
After the Apocalypse: Lessons from the Global Financial Crisis, Demos.
(with Robert Lamb) Dynamic Default Rates.
(with Paolo Vitale) Interdealer Trade and Information Flows in a Decentralized Foreign Exchange Market.