Jarrow Turnbull Model
A credit pricing model that utilizes multi-factor and dynamic analysis of interest rates. Investopedia Says:
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. Related Terms:
Credit
Credit Derivative
Default Risk
Heath-Jarrow-Morton (HJM) Model
Interest Rate |