The intersection of market and credit risk

By Robert A. Jarrow, S. Turnbull. 2000

340 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/19a9a67e6ab5f40e5875dffce8833ae1f3c2ac8a

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Citations in the corpus

What Determines Euro Area Bank CDS Spreads (2010, background): “Many authors have argued that adding variables describing market conditions should improve the fit (e.g. Jarrow & Turnbull (2000)), as it has been documented that credit spreads (Fama & French (1989)), default probabilities and recovery rates vary through the business cycle (Pesaran, Schuermann,…”
Recovery Rates of Commercial Lending: Empirical Evidence for German Companies (2009, neutral): “6 Jarrow and Turnbull (2000) describe the importance of the density function of risk-neutral recovery rates for the evaluation of credit derivatives.”
Default Parameter Estimation Using Market Prices (2001, methodology): “Substituting Equations 27a and 27b into pricing Equation 24 gives the valuation formula in Jarrow and Turnbull (2000).”
The integrated impact of credit and interest rate risk on banks: A dynamic framework and stress testing application (2010, background): “8 example, Jarrow and Turnbull (2000) are among the first to show theoretically how to integrate interest rate (among other market risks) and credit risk using a factor modelling approach.”
Market Conditions, Default Risk and Credit Spreads (2010, positive): “Jarrow and Turnbull (2000) suggest that incorporating macroeconomic variables may improve a reduced-form model of credit spreads.”
Risk in Islamic Banking (2012, background): “However, interest rate lev ls can influence the ability of borrowers to re-pay (Jarrow and Turnbull, 2000; Carling et al., 2007; Drehmann et al., 2010 and Alessandri and Drehmann, 2010) - at higher levels the incentiv to default (moral hazard) increases.”
Stress-testing Financial Systems: An Overview of Current Methodologies (2004, background): “(for more details see for example Artzner, Delbaen, Eber and Heath (1999)) 20 See for example: Jarrow and Turnbull (2000), Jobst and Zenios (2001), Kijima and Muromachi (2000) and Walder (2002).”
The response of real estate investment trust returns to macroeconomic shocks (2005, background): “Jarrow and Turnbull (2000) relate the probability of default to the state of the economy.”
Finance-Growth Nexus and Dual-Banking Systems: Relative Importance of Islamic Banks (2016, background): “adversely affect borrowers’ ability to repay loans (Jarrow and Turnbull, 2000; Carling et al., 2007; Drehmann et al., 2010; and Alessandri and Drehmann, 2010).”