The Jarrow Turnbull model is a reduced-form credit risk pricing method, utilizing dynamic analysis of interest rates to calculate default probability.

The empirical results suggest that average asset correlation is a decreasing function of probability of default and an increasing function of asset size. When compared with the average asset ...

Loss given default refers to the estimated credit loss that results if a borrower defaults on their financial obligation.

We develop a mixed-frequency, tree-based, gradient-boosting model designed to assess the default risk of privately held firms in real time. The model uses data from publicly-traded companies to ...