Jarrow Turnbull Model

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Jarrow Turnbull Model

A model for pricing credit investment vehicles. The Jarrow Turnbull model considers interest rates and how they relate to the probability of default.
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After obtaining the value of credit rating, we consider the actual situation of domestic debt default, based on the yield curve of the debenture bond, and we derive the default probability of different maturities by applying the Jarrow-Turnbull model.
The Jarrow-Turnbull model is also known as the Jarrow-Turnbull binary tree model.
The bond pricing formula in the Jarrow-Turnbull model [18] is shown as follows: