Jarrow-Turnbull model — The Jarrow Turnbull credit risk model was published by Robert A. Jarrow of Kamakura Corporation and Cornell University and Stuart Turnbull, currently at the University of Houston [Robert A. Jarrow and Stuart Turnbull, Pricing Derivatives on… … Wikipedia
Robert A. Jarrow — Robert Alan Jarrow is the Ronald P. and Susan E. Lynch Professor of Investment Management at the Johnson Graduate School of Management, Cornell University. He graduated magna cum laude from Duke University in 1974 with a major in mathematics,… … Wikipedia
Merton Model — The Merton model is a model proposed by Robert C. Merton in 1974 for assessing the credit risk of a company by characterizing the company s equity as a call option on its assets. Put call parity is then used to price the value of a put and this… … Wikipedia
Robert C. Merton — Infobox Scientist name = Robert C. Merton image size = 180px birth date = Birth date and age|1944|7|31|mf=y birth place = New York City, New York, U.S. nationality = United States field = Finance, Economics work places = Harvard University MIT… … Wikipedia
Advanced IRB — The term Advanced IRB or A IRB is an abbreviation of advanced internal rating based approach and it refers to a set of credit risk measurement techniques proposed under Basel II capital adequacy rules for banking institutions.Under this approach… … Wikipedia
List of Cornell University faculty — This list of Cornell University faculty includes notable current and former instructors and administrators of Cornell University, an Ivy League university located in Ithaca, New York. Cornell s faculty for the 2005–06 academic year included three … Wikipedia
Asset liability management — In banking, asset liability management is the practice of managing risks that arise due to mismatches between the assets and liabilities (debts and assets) of the bank.Banks face several risks such as the liquidity risk, interest rate risk,… … Wikipedia
Logistic regression — In statistics, logistic regression is a model used for prediction of the probability of occurrence of an event by fitting data to a logistic curve. It makes use of several predictor variables that may be either numerical or categorical. For… … Wikipedia
Probability of default — Basel II Bank for International Settlements Basel Accords Basel I Basel II Background Banking Monetary policy Central bank Risk … Wikipedia
Default (finance) — Finance Financial markets Bond market … Wikipedia
