WorldCat Identities

Perraudin, W. R. M.

Overview
Works: 54 works in 146 publications in 1 language and 443 library holdings
Roles: Author
Classifications: HG3810, 332.491724
Publication Timeline
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Most widely held works by W. R. M Perraudin
A framework for the analysis of pension and unemployment benefit reform in Poland by W. R. M Perraudin( Book )

10 editions published in 1994 in English and held by 28 WorldCat member libraries worldwide

Annotation
Asymmetry in the ERM : a case study of French and German interest rates since Basle-Nyborg by E. H Gardner( Book )

9 editions published between 1992 and 1993 in English and held by 27 WorldCat member libraries worldwide

We study empirically daily French and German interest ratechanges since the Basle-Nyberg agreement of September 1987. In particular, we ask whether the shock associated with German unification altered the degree of leadership of German monetary policy in the ERM. We conclude that Germany's leadership role within the ERM largely disappeared in the year following unification but that the Bundesbank has recently begun to reassert its predominance
Reserve and exchange rate cycles by Robert P Flood( Book )

8 editions published between 1994 and 1997 in English and held by 20 WorldCat member libraries worldwide

Predicting emerging market currency crashes by Manmohan S Kumar( Book )

7 editions published between 1998 and 2002 in English and held by 19 WorldCat member libraries worldwide

This paper assesses the extent to which crashes in emerging market currencies are predictable using simple logit models based on lagged macroeconomic and financial data. To evaluate our model, we calculate trading strategies in which an investor goes long or short in the currency depending on whether crash probabilities are low or high. When we estimate the model on part of the data and then use the parameter estimates to generate predictions for he remainder of the sample, we find that substantial profits may be made. Furthermore, the model correctly forecasts major crashes even on an out-of-sample basis
Exchange rate bands with point process fundamentals by W. R. M Perraudin( Book )

6 editions published in 1990 in English and held by 19 WorldCat member libraries worldwide

This note derives closed form solutions for exchange rates in terms of fundamentals within a fully credible band exchange rate regime when the fundamentals are driven by Brownian motion and multiple point processes. The inclusion of point processes allows one to relax quite substantially the distributional assumptions about exchange rates implicit in models based on Brownian motions alone, and should therefore prove of use in empirical applications. Models with discontinuous driving processes also differ from the Brownian motion model in that monetary authorities will be obliged periodically to intervene on a large scale in discrete amounts
Banking policy and the pricing of deposit guarantees : a new approach by Steven M Fries( Book )

4 editions published in 1991 in English and held by 19 WorldCat member libraries worldwide

This paper describes a new approach to pricing government deposit guarantees that uses techniques of stochastic process switching employed in the recent literature on exchange rate determination. Our model avoids inconsistent assumptions about the information available to investors and the government common in previous work based on an option pricing approach. We derive actuarially fair deposit insurance premia and optimal financial reorganization rules and examine the role of banking policies such as capital requirements
Tax efficiency in an open economy by W. R. M Perraudin( Book )

5 editions published in 1990 in English and held by 16 WorldCat member libraries worldwide

This note assesses the relative efficiency of different tax bases in an open economy. If terms of trade effects are large, lump-sum taxation may be inferior to distortionary consumption or wage taxes. This result is demonstrated analytically using a simple neoclassical model. An overlapping generations, general equilibrium, simulation model is then employed to show the empirical significance of the effects involved
European fiscal harmonization and the French economy by W. R. M Perraudin( Book )

6 editions published in 1990 in English and held by 16 WorldCat member libraries worldwide

This paper examines the implications of European fiscal harmonization for the French economy using a general equilibrium model. The latter extends the overlapping generations simulation model of Auerbach and Kotlikoff in three ways. A well-developed external sector is included. Households face constraints in their borrowing. The population comprises "rich" and "poor" households with different labor productivities. The harmonization policy that involves cuts in VAT and saving taxes leads to welfare losses for both rich and poor approximately equivalent to one percent of GDP
Real options and preemption by Bart Lambrecht( Book )

4 editions published between 1996 and 1997 in English and held by 14 WorldCat member libraries worldwide

Time to default in the UK mortgage market by Bart Lambrecht( Book )

3 editions published in 1996 in English and held by 10 WorldCat member libraries worldwide

Optimal bank reorganisation and fair pricing of deposit guarantees by Steven M Fries( Book )

5 editions published between 1994 and 1997 in English and held by 10 WorldCat member libraries worldwide

Interest rate setting in floating rate mortgage markets by Lara Cathcart( Book )

3 editions published in 1996 in English and held by 10 WorldCat member libraries worldwide

Continuous time international arbitrage pricing : theory and estimation by W. R. M Perraudin( Book )

3 editions published in 1994 in English and held by 9 WorldCat member libraries worldwide

Creditor races and contingent claims by Bart Lambrecht( Book )

2 editions published in 1995 in English and held by 9 WorldCat member libraries worldwide

Bankruptcy risk and strategic behaviour : insolvency law reform in the UK by W. R. M Perraudin( Book )

5 editions published in 1995 in English and held by 9 WorldCat member libraries worldwide

Mortgage default and repossession by Bart Lambrecht( Book )

2 editions published in 1995 in English and held by 9 WorldCat member libraries worldwide

Capital requirements and value-at-risk analysis by Patricia Jackson( Book )

2 editions published in 1995 in English and held by 9 WorldCat member libraries worldwide

Multivariate tests of a continuous time equilibrium arbitrage pricing theory with conditional heteroskedasticity and jumps by Mun S Ho( Book )

5 editions published in 1992 in English and held by 8 WorldCat member libraries worldwide

Predicting emerging market currency crashes by Mohan Kumar( Book )

4 editions published in 1998 in English and held by 8 WorldCat member libraries worldwide

The handbook of structured finance by W. R. M Perraudin( )

1 edition published in 2007 in English and held by 0 WorldCat member libraries worldwide

 
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The handbook of structured finance
Alternative Names
Perraudin, William R. M.

Languages
English (94)

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