Define: Jarrow Turnbull Model

Business, Legal & Accounting Glossary

Definition: Jarrow Turnbull Model



Advertisement



Full Definition of Jarrow Turnbull Model


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.


Advertisement




Cite Term


To help you cite our definitions in your bibliography, here is the proper citation layout for the three major formatting styles, with all of the relevant information filled in.

Page URL
https://payrollheaven.com/define/jarrow-turnbull-model/
Modern Language Association (MLA):
Jarrow Turnbull Model. PayrollHeaven.com. Payroll & Accounting Heaven Ltd. April 06, 2020 https://payrollheaven.com/define/jarrow-turnbull-model/.
Chicago Manual of Style (CMS):
Jarrow Turnbull Model. PayrollHeaven.com. Payroll & Accounting Heaven Ltd. https://payrollheaven.com/define/jarrow-turnbull-model/ (accessed: April 06, 2020).
American Psychological Association (APA):
Jarrow Turnbull Model. PayrollHeaven.com. Retrieved April 06, 2020, from PayrollHeaven.com website: https://payrollheaven.com/define/jarrow-turnbull-model/

Definition Sources


Definitions for Jarrow Turnbull Model are sourced/syndicated and enhanced from:

  • A Dictionary of Economics (Oxford Quick Reference)
  • Oxford Dictionary Of Accounting
  • Oxford Dictionary Of Business & Management

This glossary post was last updated: 9th February, 2020