William Perraudin

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William Perraudin
William Perraudin.jpeg
William Perraudin
Website http://www.riskcontrollimited.com/
M. Ishaq Nadiri
Dale W. Jorgenson[1]

William R. M. Perraudin is a British economist. He is an Adjunct Professor and former Chair of Finance at Imperial College London,[2] 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.[3]

As an expert in the field of risk as applied to financial regulation, Perraudin has been a special advisor to the Bank of England.[4] He has long taken the position that the financial models in use by major institutions are insufficiently conservative.[5]


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


Before moving to Imperial,[7] Professor Perraudin headed the finance group of Birkbeck College, University of London.[8] 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[edit]

  • Capital Floors, the Revised SA and the Cost of Loans in Switzerland, 2015.[9]
  • Default Probability Risk and Securitisation Capital, 2015.[10]
  • Comment on Antoniades and Tarashev, 2015.[11]
  • (with Georges Duponcheele and Alexandre Linden)How to Revive the European Securitisation Market: a Proposal for a European SSFA, 2014.[12]
  • (with Georges Duponcheele and Daniel Totouom-Tangho) Calibration of the Simplified Supervisory Formula Approach, 2014.[13]
  • Securitisation Purchases by the ECB - What is ‘Senior Enough’?, 2014.[14]
  • Covered Bond versus ABS Liquidity: A Comment on the EBA’s Proposed HQLA Definition, 2014.[15]
  • High Quality Securitisation: An Empirical Analysis of the PCS Definition, 2014.[16]
  • Quantitative Impacts of BCBS 269 Securitisation Capital Approaches, 2014.[17]
  • Structured Credit Products: Pricing, Rating, Risk Management and Basel II, 2004. ISBN 1-904339-26-3, ISBN 978-1-904339-26-7.[18]
  • After the Apocalypse: Lessons from the Global Financial Crisis, Demos.[19]
  • (with Robert Lamb) Dynamic Default Rates.[20]
  • (with Paolo Vitale) Interdealer Trade and Information Flows in a Decentralized Foreign Exchange Market.[2]


  1. ^ Ph.D. Thesis Advisees(Accessed September 2016)
  2. ^ a b "NBER Publications by William Perraudin". NBER. Retrieved 2010-04-17. 
  3. ^ http://www.riskcontrollimited.com
  4. ^ "Quarterly Bulletins (Financial Stability)". Bank of England. 2001-01-16. Retrieved 2010-04-17. 
  5. ^ "The Reliability of Credit Risk Models". CEPR. Retrieved 2010-04-17. 
  6. ^ "About the Speakers". ICMA Centre. Retrieved 2010-04-17. 
  7. ^ http://www3.imperial.ac.uk/people/w.perraudin
  8. ^ http://www.moodys.com/cust/content/Content.ashx?source=staticcontent/Free%20Pages/CreditRiskConference/Conf07/conf07files/MAARC_Formation_Announcement.pdf
  9. ^ Capital Floors, the Revised SA and the Cost of Loans in Switzerland
  10. ^ http://www.riskcontrollimited.com/insights/default-probability-risk-and-securitisation-capital/
  11. ^ http://www.riskcontrollimited.com/insights/comment-on-antoniades-and-tarashev/
  12. ^ http://www.riskcontrollimited.com/insights/how-to-revive-the-european-securitisation-market-a-proposal-for-a-european-ssfa/
  13. ^ http://www.riskcontrollimited.com/insights/calibration-of-the-simplified-supervisory-formula-approach/
  14. ^ http://www.riskcontrollimited.com/insights/securitisation-purchases-by-the-ecb-what-is-senior-enough/
  15. ^ http://www.afme.eu/WorkArea/DownloadAsset.aspx?id=10360
  16. ^ http://www.riskcontrollimited.com/insights/high-quality-securitisation-an-empirical-analysis-of-the-pcs-definition/
  17. ^ http://www.riskcontrollimited.com/insights/quantitative-impacts-of-bcbs-269-securitisation-capital-approaches/
  18. ^ "Wilmott: Serving The Quantitative Finance Community". Global Investor. Retrieved 2010-04-17. 
  19. ^ "Apocalypse" (PDF). Imperial College. Retrieved 2010-04-17. 
  20. ^ http://www3.imperial.ac.uk/pls/portallive/docs/1/48761701.PDF

External links[edit]