Construct · 1 fields · 1 citations

Jarrow-Turnbull model: a standalone construct

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Finance

reduced-form credit risk model that treats default as an exogenous random event arriving with a hazard rate rather than from firm value.

In finance, Jarrow-Turnbull model refers to reduced-form credit risk model that treats default as an exogenous random event arriving with a hazard rate rather than from firm value. This meaning comes from Jarrow (1995) in The Journal of Finance.[1]

Unit
Recovery means
Measured by

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Nearby constructs

credit2 fields · 2 citationsjingle · one word, two constructs default3 fields · 3 citationsjingle · one word, three constructs event3 fields · 5 citationsjingle · one word, three constructs

References

Jarrow, R. A., & Turnbull, S. M. (1995). Pricing Derivatives on Financial Securities Subject to Credit Risk. The Journal of Finance, 50(1), 53-85. https://doi.org/10.1111/j.1540-6261.1995.tb05167.x

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