




The Jarrow Turnbull Model is a model used to analyze credit pricing through the examination of interest rates. The Jarrow Turnbull Model uses multifactor and dynamic interest rates analysis, and incorporates correlations between interest and default rates. It follows that the Jarrow Turnbull Model attempts to identify a pattern between the fluctuations in these interest rates and the probability of default over a specified period. The Jarrow Turnbull Model was created by professors Robert Jarrow and Stuart Turnbull, who published an early version of the Jarrow Turnbull Model in 1993 describing a general methodology for pricing credit and creditbased structures. An extended version of the Jarrow Turnbull Model was published two years later, using historical data to estimate specific parameters in the model. The analysis from the Jarrow Turnbull Model is valuable in that it shows how a credit investment might perform under a different interest rate environment; thus the Jarrow Turnbull Model doesn't assume interest rates stay constant.
Rate this Jarrow Turnbull Model definition...




Where is the market headed? The answer may surprise you. Find out with the exclusive & Barron's recommended charts of Chart of the Day. 

Popular Terms: real GDP, per diem, APR, open position, exdividend date, current ratio, VIX, Zero Cost Collar, reverse mortgage, option premium, LIBOR, 1031 exchange, risk management, phantom income, cancelled check, FICO score, command economy, whollyowned subsidiary, dividends payable, EBITDA, stock market close, balance sheet, deferred revenue, minority interest, irrevocable trust, deferred tax, required rate of return, 144a, FTSE, in escrow, limit order, stock split, implied volatility, debt service coverage, annual return, labor relations, quality assurance, exdividend, average price per share, inflation, 401a, 1035 exchange, class C shares, diluted share, margin rate, Key Rate Duration, retained earnings, liquidity ratio, covered put


 