Stuart Turnbull

External Author

Show all

Staff Working Papers

Default Dependence: The Equity Default Relationship

Staff Working Paper 2008-1 Stuart Turnbull, Jun Yang
The paper examines three equity-based structural models to study the nonlinear relationship between equity and credit default swap (CDS) prices. These models differ in the specification of the default barrier.

Modelling the Evolution of Credit Spreads in the United States

Staff Working Paper 2004-45 Stuart Turnbull, Jun Yang
The authors use Jarrow and Turnbull's (1995) reduced-form methodology to model the evolution of the term structure of interest rates in the United States for different credit classes and different industries.