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- Jarrow–Turnbull_model abstract "The Jarrow–Turnbull credit risk model was published by Robert A. Jarrow of Kamakura Corporation and Cornell University and Stuart Turnbull, currently at the University of Houston. Many experts in financial theory label the Jarrow–Turnbull model as the first \"reduced-form\" credit model. Reduced-form models are an approach to credit risk modeling that contrasts sharply with the \"structural credit models\". The structural or \"Merton\" credit models are single-period models which derive the probability of default from the random variation in the unobservable value of the firm's assets. Two years after the development of the structural credit model, Robert Merton modeled bankruptcy as a continuous probability of default. Upon the random occurrence of default, the stock price of the defaulting company is assumed to go to zero. Merton derived the value of options for a company that can default. This was in fact the first \"reduced form\" model where bankruptcy is modeled as a statistical process, rather than as a microeconomic model of the firm's capital structure.The Jarrow–Turnbull model extends the reduced-form model of Merton (1976) to a random interest rates framework.Large financial institutions employ default models of both the structural and reduced form types. The Merton structural default probabilities were first offered by KMV LLC in the early 1990s. KMV LLC was acquired by Moody's Investors Service in 2002. Kamakura Corporation, where Robert Jarrow serves as director of research, has offered both structural and reduced form default probabilities on public companies since 2002.".
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- Jarrow–Turnbull_model wikiPageRevisionID "614811265".
- Jarrow–Turnbull_model wikiPageWikiLink Category:Economics_models.
- Jarrow–Turnbull_model wikiPageWikiLink Category:Financial_risk.
- Jarrow–Turnbull_model wikiPageWikiLink Cornell_University.
- Jarrow–Turnbull_model wikiPageWikiLink Credit_default_swap.
- Jarrow–Turnbull_model wikiPageWikiLink Credit_derivative.
- Jarrow–Turnbull_model wikiPageWikiLink Credit_risk.
- Jarrow–Turnbull_model wikiPageWikiLink KMV_LLC.
- Jarrow–Turnbull_model wikiPageWikiLink Kamakura_Corporation.
- Jarrow–Turnbull_model wikiPageWikiLink Merton_Model.
- Jarrow–Turnbull_model wikiPageWikiLink Moodys_Investors_Service.
- Jarrow–Turnbull_model wikiPageWikiLink Probability_of_default.
- Jarrow–Turnbull_model wikiPageWikiLink Randomness.
- Jarrow–Turnbull_model wikiPageWikiLink Robert_A._Jarrow.
- Jarrow–Turnbull_model wikiPageWikiLink Stuart_Turnbull_(economist).
- Jarrow–Turnbull_model wikiPageWikiLink University_of_Houston.
- Jarrow–Turnbull_model wikiPageWikiLinkText "Jarrow–Turnbull model".
- Jarrow–Turnbull_model wikiPageWikiLinkText "Jarrow–Turnbull".
- Jarrow–Turnbull_model wikiPageUsesTemplate Template:Citation_needed.
- Jarrow–Turnbull_model wikiPageUsesTemplate Template:Cite_book.
- Jarrow–Turnbull_model wikiPageUsesTemplate Template:Lead_rewrite.
- Jarrow–Turnbull_model wikiPageUsesTemplate Template:Reflist.
- Jarrow–Turnbull_model subject Category:Economics_models.
- Jarrow–Turnbull_model subject Category:Financial_risk.
- Jarrow–Turnbull_model type Model.
- Jarrow–Turnbull_model type Model.
- Jarrow–Turnbull_model type Page.
- Jarrow–Turnbull_model type Redirect.
- Jarrow–Turnbull_model comment "The Jarrow–Turnbull credit risk model was published by Robert A. Jarrow of Kamakura Corporation and Cornell University and Stuart Turnbull, currently at the University of Houston. Many experts in financial theory label the Jarrow–Turnbull model as the first \"reduced-form\" credit model. Reduced-form models are an approach to credit risk modeling that contrasts sharply with the \"structural credit models\".".
- Jarrow–Turnbull_model label "Jarrow–Turnbull model".
- Jarrow–Turnbull_model sameAs Q6161129.
- Jarrow–Turnbull_model sameAs m.0fr99t.
- Jarrow–Turnbull_model sameAs Q6161129.
- Jarrow–Turnbull_model wasDerivedFrom Jarrow–Turnbull_model?oldid=614811265.
- Jarrow–Turnbull_model isPrimaryTopicOf Jarrow–Turnbull_model.