Jarrow–Turnbull model
id:
jarrow-turnbull-model-208-2705063
title:
Jarrow–Turnbull model
text:
The Jarrow–Turnbull model is a widely used "reduced-form" credit risk model. It was published in 1995 by Robert A. Jarrow and Stuart Turnbull. Under the model, which returns the corporate's probability of default, bankruptcy is modeled as a statistical process.
The model extends the reduced-form model of Merton (1976) to a random interest rates framework. Reduced-form models are an approach to credit risk modeling that contrasts sharply with "structural credit models",
the best known of which is
brand slug:
wiki
category slug:
encyclopedia
description:
original url:
https://en.wikipedia.org/wiki/Jarrow%E2%80%93Turnbull_model
date created:
2006-07-26T09:24:03Z
date modified:
2024-09-11T08:37:48Z
main entity:
{"identifier":"Q6161129","url":"https://www.wikidata.org/entity/Q6161129"}
image:
fields total:
13
integrity:
14