Jarrow–Turnbull model

The Jarrow–Turnbull model is a framework used in finance to assess the credit risk of a firm, specifically focusing on the pricing of defaultable bonds. Developed by Robert Jarrow and Stuart Turnbull in the early 1990s, the model is a structural model of credit risk that incorporates the notion that a firm's default occurs when its asset value falls below a certain threshold, typically a level of liabilities or a debt obligation.