




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


 