• The Jarrow Turnbull model is a credit risk model that measures the likelihood that a borrower will default on a loan.
  • The model was developed by finance professors and experts Robert Jarrow and Stuart Turnbull in the 1990s.
  • The model is a reduced form model and differs from other credit risk models by including the impact of changes in interest rates or borrowing costs.
  • Short form models differ from structural credit risk modeling, which derives the probability of default from the value of a firm’s assets.