




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


 