Jarrow-Lando-Turnbull model

Scherer, M.; Zagst, R.

Title:: Jarrow-Lando-Turnbull model
Document type:: Buchbeitrag
Author(s):: Scherer, M.; Zagst, R.
Cooperation:: -
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 risk premium. «
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
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