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Jarrow Turnbull Model

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Jarrow Turnbull Model

A credit pricing model that utilizes multi-factor and dynamic analysis of interest rates.

Notes:

Jarrow and Turnbull created this model in the attempt to identify a pattern between interest rate fluctuations and the probability of default over a specified time period. The significance of this model is its usage in pricing credit-based vehicles.

See also: Credit, Credit Derivative, Default Risk, Heath-Jarrow-Morton (HJM) Model, Interest Rate

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