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
|