An approach to credit risk modeling that integrates probability of default with interest rates. Developed by finance professors Jarrow and Turnbull, the model is a tool for lenders in their risk management strategies.
Related information about Jarrow Turnbull model:
- Jarrow–Turnbull model - Wikipedia, the free encyclopedia
Many experts in financial theory label the Jarrow–Turnbull model as the first " reduced-form" credit model. Reduced-form models are an approach to credit risk ...
- Jarrow Turnbull Model
Jarrow Turnbull Model is the first models for pricing credit risk. It was developed by two people, Robert Jarrow and Stuart Turnbull. This model makes use of ...
- Jarrow Turnbull Model Definition | Investopedia
One of the first reduced-form models for pricing credit risk. Developed by Robert Jarrow and Stuart Turnbull, the model utilizes multi-factor and dynamic analysis ...
- What is Jarrow Turnbull Model? - Investor Glossary
What is Jarrow Turnbull Model? Find out right now with a helpful definition and links related to Jarrow Turnbull Model.
- What is Jarrow Turnbull model? definition and meaning
Definition of Jarrow Turnbull model: An approach to credit risk modeling that integrates probability of default with interest rates. Developed by finance professors ...
- The Jarrow/Turnbull Default Risk Model: Evidence from the German ...
We show that pricing errors from the term structure estimation are passed on to the Jarrow/Turnbull model and that estimated default intensities strongly depend ...
- Jarrow Turnbull Model: Definition from Answers.com
Jarrow Turnbull Model A credit pricing model that utilizes multi-factor and dynamic analysis of interest rates.
- Jarrow Turnbull Model - Financial Dictionary - The Free Dictionary
Jarrow Turnbull Model. Also found in: Wikipedia, 0.01 sec. Jarrow Turnbull Model . A model for pricing credit investment vehicles. The Jarrow Turnbull model ...