




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


 