Investor Glossary-jarrow turnbull modelInvestor Glossary-jarrow turnbull modelInvestor Glossary-jarrow turnbull modelInvestor Glossary-jarrow turnbull modelInsightful stock market charts - Click here
investor
Categories    # A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Jarrow Turnbull Model

The HTML to link to this page
 

The Jarrow Turnbull Model is a model used to analyze credit pricing through the examination of interest rates. The Jarrow Turnbull Model uses multi-factor 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 credit-based 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...

Learn about investing with the Investor Glossary Term of the Day


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


Accounting | Banking | Bonds | Brokers | Economy | Futures | Mutual Funds | Options | Real Estate | Retirement | Stocks | Taxes | Technical Analysis
Investor Glossary | Term of the Day | Suggest a Term | Chart of the Day | Dogs of the Dow
©2004-2015 Investor Glossary - All rights reserved - Terms of Use