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WHEN SWAPS ARE DROPPED - What happens to swap rates when default risk is included?
Jarrow, Robert; Turnbull, Stuart - In: Risk : managing risk in the world's financial markets 10 (1997) 5, pp. 70-76
Persistent link: https://www.econbiz.de/10007069834
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The credit rating process and estimation of transition probabilities: A Bayesian approach
Stefanescu, Catalina; Tunaru, Radu; Turnbull, Stuart - In: Journal of empirical finance 16 (2009) 2, pp. 216-234
Persistent link: https://www.econbiz.de/10008172662
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Modeling the Loss Distribution
Chava, Sudheer; Stefanescu, Catalina; Turnbull, Stuart - In: Management science : journal of the Institute for … 57 (2011) 7, pp. 1267-1288
Persistent link: https://www.econbiz.de/10009177057
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The credit rating process and estimation of transition probabilities: A Bayesian approach
Stefanescu, Catalina; Tunaru, Radu; Turnbull, Stuart - In: Journal of empirical finance 16 (2009) 2, pp. 216-235
Persistent link: https://www.econbiz.de/10008896131
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Applications and Case Studies - Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model
Jarrow, Robert; Ruppert, David; Yu, Yan - In: Journal of the American Statistical Association : JASA 99 (2004) 465, pp. 57-66
Persistent link: https://www.econbiz.de/10006610282
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Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model
Jarrow, Robert; Yildirim, Yildiray - In: Journal of financial and quantitative analysis : JFQA 38 (2003) 2, pp. 337-358
Persistent link: https://www.econbiz.de/10006694526
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Testing market efficiency using statistical arbitrage with applications to momentum and value strategies
Hogan, Steve; Jarrow, Robert; Teo, Melvyn; Warachka, Mitch - In: Journal of financial economics 73 (2004) 3, pp. 525-566
Persistent link: https://www.econbiz.de/10006503433
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VALUATION - Default Parameter Estimation Using Market Prices - A new method for estimating recovery rates and default likelihoods explicitly incorporates equity prices and a liquidity premium.
Jarrow, Robert - In: Financial analysts' journal : FAJ 57 (2001) 5, pp. 75-92
Persistent link: https://www.econbiz.de/10006271965
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An Empirical Analysis of the Jarrow-van Deventer Model for Valuing Non-Maturity Demand Deposits
Janosi, Tibor; Jarrow, Robert; Zullo, Ferdinando - In: The journal of derivatives : the official publication … 7 (1999) 1, pp. 8-31
Persistent link: https://www.econbiz.de/10005965390
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Review of John E. Gilster, Jr. "Option Pricing Theory: Is 'Risk-Free' Hedging Feasible?"
Jarrow, Robert - In: Financial management 26 (1997) 1, pp. 106-108
Persistent link: https://www.econbiz.de/10005984240