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Relevant bibliographies by topics / Jarrow-Turnbull model

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Academic literature on the topic 'Jarrow-Turnbull model'

Author: Grafiati

Published: 4 June 2021

Last updated: 10 February 2022

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Journal articles on the topic "Jarrow-Turnbull model"

1

Zhang, Qiang, and Min Wu. "Credit Risk Mitigation Based on Jarrow-Turnbull Model." Systems Engineering Procedia 2 (2011): 49–59. http://dx.doi.org/10.1016/j.sepro.2011.10.007.

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Frühwirth, Manfred, and Leopold Sögner. "The Jarrow/Turnbull default risk model—Evidence from the German market." European Journal of Finance 12, no. 2 (2006): 107–35. http://dx.doi.org/10.1080/13518470500145969.

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Friesenegger, Alexander, Andreas W. Rathgeber, and Stefan Stöckl. "Recovery Rate in the Event of an Issuer’s Insolvency — Empirical Study on Implications for the Pricing of Credit Default Risks in German Corporate Bonds." Review of Pacific Basin Financial Markets and Policies 18, no. 04 (2015): 1550023. http://dx.doi.org/10.1142/s021909151550023x.

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According to the Jarrow–Turnbull model, coupon bonds are valuated as a portfolio of zero-coupon bonds that, in the event of insolvency, pay a recovery rate at the end of their term. However, when it comes to valuations, the German insolvency law differs in certain respects. To find out whether a model adapted to the German insolvency law will prove to be more empirically robust, an empirical study of 103 corporate bonds was carried out over more than 800 trading days.

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Liu, Jian, Jihong Xiao, Lizhao Yan, and Fenghua Wen. "Valuing Catastrophe Bonds Involving Credit Risks." Mathematical Problems in Engineering 2014 (2014): 1–6. http://dx.doi.org/10.1155/2014/563086.

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Catastrophe bonds are the most important products in catastrophe risk securitization market. For the operating mechanism, CAT bonds may have a credit risk, so in this paper we consider the influence of the credit risk on CAT bonds pricing that is different from the other literature. We employ the Jarrow and Turnbull method to model the credit risks and get access to the general pricing formula using the Extreme Value Theory. Furthermore, we present an empirical pricing study of the Property Claim Services data, where the parameters in the loss function distribution are estimated by the MLE met

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HOOGLAND, J. K., C. D. D. NEUMANN, and M. H. VELLEKOOP. "SYMMETRIES IN JUMP-DIFFUSION MODELS WITH APPLICATIONS IN OPTION PRICING AND CREDIT RISK." International Journal of Theoretical and Applied Finance 06, no. 02 (2003): 135–72. http://dx.doi.org/10.1142/s0219024903001803.

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It is a well known fact that local scale invariance plays a fundamental role in the theory of derivative pricing. Specific applications of this principle have been used quite often under the name of "change of numeraire", but in recent work it was shown that when invoked as a fundamental first principle, it provides a powerful alternative method for the derivation of prices and hedges of derivative securities, when prices of the underlying tradables are driven by Wiener processes. In this article we extend this work to the pricing problem in markets driven not only by Wiener processes but also

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Pinto Suárez, Carlos Javier. "Valoración de credit default swap aplicación del modelo de Jarrow y Turnbull en un bono de deuda privada en Colombia." Revista Lebret, no. 9 (June 22, 2018): 151. http://dx.doi.org/10.15332/rl.v0i9.1954.

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7

Fruhwirth, Manfred, and Leopold Sögner. "The Jarrow/Turnbull Default Risk Model - Evidence from the German Market." SSRN Electronic Journal, 2002. http://dx.doi.org/10.2139/ssrn.301364.

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8

Fruhwirth, Manfred, and Leopold Sögner. "The Jarrow/Turnbull Default Risk Model: Evidence from the German Market." SSRN Electronic Journal, 2001. http://dx.doi.org/10.2139/ssrn.265456.

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9

Dubrana, Ludovic. "A Stochastic Model for Credit Spreads Under a Risk-Neutral Framework Through the Use of an Extended Version of the Jarrow, Lando and Turnbull Model." SSRN Electronic Journal, 2011. http://dx.doi.org/10.2139/ssrn.1964459.

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Dissertations / Theses on the topic "Jarrow-Turnbull model"

1

Oguz, Hatice Dilek. "Pricing Us Corporate Bonds By Jarrow/turnbull (1995) Model." Master's thesis, METU, 2008. http://etd.lib.metu.edu.tr/upload/2/12611174/index.pdf.

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In this study Jarrow Turnbull (1995) Model, which is a reduced form approach for credit risk models, is employed to estimate the default intensity of US corporate bonds conditionally based on a fixed recovery rate. The estimations are performed with respect to the ratings of the bonds and the results were consistent with the ratings. US Treasury Bills are also used to since zero coupon default free prices, modeled by Svensson (1994) are necessary for pricing the default risky coupon bonds.

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2

Sharma, Nikunj. "Review of quantitative models of credit risk for debt instruments, including catastrophe bonds." Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/20172.

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Mestrado em Actuarial Science<br>Os preços de contratos financeiros variam devido a dois principais fatores, nomeadamente o risco de mercado e o risco de crédito. O risco de mercado é o risco do valor de um contrato financeiro diminuir devido a alterações nos fatores do mercado, fatores estes que podem ser reduzidos pela diversificação em classes de ativos alternativas. O risco de crédito é o risco de uma pessoa ou uma organização deixar de efetuar um pagamento que havia prometido. É de consenso geral que uma análise efetiva do risco de crédito é essencial para investidores que procuram deter

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3

Gokgoz, Ismail Hakki. "Stochastic Credit Default Swap Pricing." Master's thesis, METU, 2012. http://etd.lib.metu.edu.tr/upload/12614921/index.pdf.

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Credit risk measurement and management has great importance in credit market. Credit derivative products are the major hedging instruments in this market and credit default swap contracts (CDSs) are the most common type of these instruments. As observed in credit crunch (credit crisis) that has started from the United States and expanded all over the world, especially crisis of Iceland, CDS premiums (prices) are better indicative of credit risk than credit ratings. Therefore, CDSs are important indicators for credit risk of an obligor and thus these products should be understood by market part

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4

Hsieh, Tsung-chih, and 謝宗智. "Jarrow-Lando-Turnbull Model with Discrete Random Recovery Rate." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/50485884668058854482.

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碩士<br>東吳大學<br>財務工程與精算數學系<br>97<br>JLT (Jarrow-Lando-Turnbull) model provides us an important and practical method to value some financial instrument such like the defaultable zero-coupon bonds or other credit derivatives such as credit spread options. But under the JLT model circumstance, the default state has only one default class with a constant recovery rate. This model does not consider the possibility of random recovery rate which occurs often in practice. Millossovich (2003) has dealt with the problem and extended to multiple default classes under the JLT model framework. In this paper,

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Lin, Shu-fang, and 林淑芳. "Project Debt Pricing--the Extension of Jarrow-Turnbull Discrete Model." Thesis, 2000. http://ndltd.ncl.edu.tw/handle/53204996088941087191.

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碩士<br>國立臺灣大學<br>財務金融學研究所<br>88<br>Project Finance is one way to get financing by using the cash flows that the project will generate in the future as the resource of payback. The lending amount is usually enormous and it''s very complicated since it involves many different institutions and companies. Project debts include many instruments, such as commercial bank loans and project bonds. Since there are various kinds of risks in a project, project debts have some unique properties, which make pricing them very difficult. This thesis discusses how to price project debts by

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Book chapters on the topic "Jarrow-Turnbull model"

1

Grundke, Peter. "Bewertung von Kreditderivaten im zeitdiskreten Modell von Jarrow, Lando und Turnbull." In Modellierung und Bewertung von Kreditrisiken. Deutscher Universitätsverlag, 2003. http://dx.doi.org/10.1007/978-3-322-97847-9_4.

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