Jarrow-Turnbull model

GPTKB entity

Statements (18)
Predicate Object
gptkbp:instanceOf credit risk model
gptkbp:assumes default intensity is stochastic
default is a random event
gptkbp:category reduced-form model
gptkbp:developedBy gptkb:Robert_Jarrow
gptkb:Stuart_Turnbull
gptkbp:field quantitative finance
financial mathematics
credit risk
https://www.w3.org/2000/01/rdf-schema#label Jarrow-Turnbull model
gptkbp:introducedIn 1995
gptkbp:publishedIn gptkb:Journal_of_Finance
gptkbp:relatedTo gptkb:Merton_model
Duffie-Singleton model
gptkbp:usedFor modeling default risk
pricing credit derivatives
gptkbp:bfsParent gptkb:Robert_Jarrow
gptkbp:bfsLayer 7