William Perraudin
Biographic Data
| ID | 5732045 |
|---|---|
| NAME | William Perraudin |
| GIVEN NAMES | William |
| FAMILY NAME | Perraudin |
| SIGNATURE | PERRAUDIN W |
| AFFILIATIONS | University of Cambridge |
| VERIFIED | No |
| TOTAL WORKS | 3 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 3 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 1992 |
| LATEST PUBLICATION YEAR | 2000 |
| H-INDEX | 0 |
The Timing of Multilateral Lending
Bargaining over the terms of multilateral lending can be a prolonged process. We model failure to come to quick agreement as a screening device. Policy makers who find conditionality especially costly delay to signal their type. We show that increased costs to not reaching agreement, whether borne by borrowers or lenders, can increase the chances of delay
A Continuous-Time Arbitrage-Pricing Model With Stochastic Volatility and Jumps
We formulate and test a continuous-time asset-pricing model using U.S. equity market data. We assume that stock returns are driven by common factors including random jump-size Poisson processes and Brownian motions with stochastic volatility. The model places overidentifying restrictions on the mean returns, allowing one to identify risk-neutral probability distributions useful in pricing derivative securities. We test for the restrictions and de…
The Credit-Constrained Consumer
This article presents an empirical analysis of credit-constrained households in which models of both demand and supply sides of the market for loans are simultaneously estimated. We develop a discrete-choice logit model of the consumers' decision on whether or not to apply for credit. Combining this with a reduced-form logistic model for the banks' credit-granting decision, we then estimate the model with cross-sectional data, as a nonlinear, ord…
No prominent works on this page.
The Credit-Constrained Consumer
This article presents an empirical analysis of credit-constrained households in which models of both demand and supply sides of the market for loans are simultaneously estimated. We develop a discrete-choice logit model of the consumers' decision on whether or not to apply for credit. Combining this with a reduced-form logistic model for the banks' credit-granting decision, we then estimate the model with cross-sectional data, as a nonlinear, ord…
A Continuous-Time Arbitrage-Pricing Model With Stochastic Volatility and Jumps
We formulate and test a continuous-time asset-pricing model using U.S. equity market data. We assume that stock returns are driven by common factors including random jump-size Poisson processes and Brownian motions with stochastic volatility. The model places overidentifying restrictions on the mean returns, allowing one to identify risk-neutral probability distributions useful in pricing derivative securities. We test for the restrictions and de…
The Timing of Multilateral Lending
Bargaining over the terms of multilateral lending can be a prolonged process. We model failure to come to quick agreement as a screening device. Policy makers who find conditionality especially costly delay to signal their type. We show that increased costs to not reaching agreement, whether borne by borrowers or lenders, can increase the chances of delay
Economics (3 works) · Banking stability, regulation, efficiency (2 works) · Business (2 works) · Computer Science (2 works) · Econometrics (2 works) · Actuarial science (1 work) · Arbitrage (1 work) · Capital asset pricing model (1 work) · Conditionality (1 work) · Corporate Finance and Governance (1 work)