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Document type:
Buchbeitrag 
Author(s):
Scherer, M.; Zagst, R. 
Cooperation:
Title:
Jarrow-Lando-Turnbull model 
Pages contribution:
985-987 
Abstract:
The credit-risk model of Jarrow, Lando, and Turnbull identifies the evolution of a firm's credit rating over time with some Markov chain. Based on this appealing economic interpretation it is possible to valuate defaultable bonds and credit derivatives. The resulting prices explicitly depend on the initial rating and possible rating transition of the reference firm in the future. The required martingale probabilities are obtained from empirical transition probabilities which are adjusted by some...    »
 
Editor:
Cont, R. 
Book title:
Encyclopedia of Quantitative Finance 
Intellectual Contribution:
Learning and Pedagogical Research 
Publisher:
Wiley 
Year:
2010 
Reviewed:
ja 
Language:
en 
Semester:
SS 02 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Category:
textbook