Stuart M. Turnbull

University of Houston - C.T. Bauer College of Business

Bauer Chaired Professor

Houston, TX 77204-6021

United States

  • University of Houston - C.T. Bauer College of Business

SCHOLARLY PAPERS

16

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11,007

SSRN CITATIONS
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SSRN RANKINGS

Top 17,527

in Total Papers Citations

50

CROSSREF CITATIONS

23

Scholarly Papers (16)

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1.

The Subprime Credit Crisis of 07

Number of pages: 56 Posted: 25 Mar 2008 Last Revised: 15 Jun 2016
Stuart M. Turnbull, Michel Crouhy and Robert A. Jarrow
University of Houston - C.T. Bauer College of Business, Natixis and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 9,429 (1,062)
Citation 24

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Subprime mortgages, SIVs, monolines, transparency, valuation

2.

Default Dependence: The Equity Default Relationship

EFA 2008 Athens Meetings Paper
Number of pages: 40 Posted: 31 Jan 2008
Stuart M. Turnbull and Jun Yang
University of Houston - C.T. Bauer College of Business and Bank of Canada
Downloads 432 (117,353)
Citation 2

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credit default swaps, default risk, structural models, jump

3.

On Pricing Credit Default Swaps with Observable Covariates

Number of pages: 49 Posted: 02 Jul 2011 Last Revised: 16 Mar 2012
Hitesh Doshi, Jan Ericsson, Kris Jacobs and Stuart M. Turnbull
University of Houston - C.T. Bauer College of Business, McGill University, University of Houston - C.T. Bauer College of Business and University of Houston - C.T. Bauer College of Business
Downloads 347 (150,172)
Citation 17

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credit default swap, no-arbitrage, observable covariates, volatility, leverage, distance-to-default

4.

Patenting and Licensing of Financial Innovations

Number of pages: 46 Posted: 18 Jul 2006
Praveen Kumar and Stuart M. Turnbull
University of Houston - Department of Finance and University of Houston - C.T. Bauer College of Business
Downloads 283 (186,203)
Citation 4

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Business Methods, Financial Innovations, Patents, Licenses, Real Options

5.

Modeling Expected Loss with Unobservable Heterogeneity

Number of pages: 52 Posted: 20 Mar 2006
Sudheer Chava, Catalina Stefanescu and Stuart M. Turnbull
Georgia Institute of Technology - Scheller College of Business, ESMT European School of Management and Technology and University of Houston - C.T. Bauer College of Business
Downloads 272 (193,902)
Citation 29

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Default, Bankruptcy, Recovery Rate, Frailty, Unobservable Heterogeneity

6.

Pricing Structured Products with Economic Covariates

Number of pages: 52 Posted: 20 Dec 2015 Last Revised: 21 Feb 2019
Yong Seok Choi, Hitesh Doshi, Kris Jacobs and Stuart M. Turnbull
University of Houston - C.T. Bauer College of Business, University of Houston - C.T. Bauer College of Business, University of Houston - C.T. Bauer College of Business and University of Houston - C.T. Bauer College of Business
Downloads 244 (215,921)
Citation 1

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structured product, collateralized debt obligation, tranche pricing, economic determinants, risk premiums

7.

Estimating the Impact of Climate Change on Credit Risk

Journal of Risk, Vol. 26, No. 1, 2023
Number of pages: 26 Posted: 03 Oct 2023
Stuart M. Turnbull
University of Houston - C.T. Bauer College of Business
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corporate governance, risk identification and management, credit risk

8.

Primary-Firm-Driven Portfolio Loss

Journal of Credit Risk, Vol. 13, No. 2, 2017
Number of pages: 20 Posted: 23 Jun 2017
Stuart M. Turnbull
University of Houston - C.T. Bauer College of Business
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Primary and Secondary Firms, Gaussian Latent-Factor Model, Expected Loss, Value-At-Risk (VaR), Expected Shortfall (ES)

9.

Counterparty Risk: A Review

Annual Review of Financial Economics, Vol. 6, pp. 241-258, 2014
Posted: 25 Nov 2014
Stuart M. Turnbull
University of Houston - C.T. Bauer College of Business

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10.

Optimal Patenting and Licensing of Financial Innovations

Management Science, Forthcoming
Posted: 22 Apr 2008
Praveen Kumar and Stuart M. Turnbull
University of Houston - Department of Finance and University of Houston - C.T. Bauer College of Business

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Business Methods, Financial Innovations, Patents, Licenses, Real Options

11.

The Pricing Implications of Counterparty Risk for Non-Linear Credit Products

Journal of Credit Risk, Vol. 1, No. 4, Fall 2005
Posted: 10 May 2006
Stuart M. Turnbull
University of Houston - C.T. Bauer College of Business

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upper and lower loss, P&L, counterparty risk, structural credit models, reduced-form credit models, mark-to-market exposure

12.

Capital Allocation and Risk Performance Measurement in a Financial Institution

Posted: 15 Mar 2001
Stuart M. Turnbull
University of Houston - C.T. Bauer College of Business

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13.

Pricing Derivatives on Financial Securities Subject to Credit Risk

JOURNAL OF FINANCE, VOL. 50, NO. 1, MARCH 1995
Posted: 10 May 2000
Robert A. Jarrow and Stuart M. Turnbull
Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Houston - C.T. Bauer College of Business

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14.

Interest Rate Digital Options and Range Notes

THE JOURNAL OF DERIVATIVES, Fall 1995
Posted: 22 Aug 1998
Stuart M. Turnbull
University of Houston - C.T. Bauer College of Business

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15.

An Integrated Approach to the Hedging and Pricing of Eurodollar Derivatives

WFIC 96-25
Posted: 08 May 1998
Robert A. Jarrow and Stuart M. Turnbull
Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Houston - C.T. Bauer College of Business

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16.

A Markov Model for the Term Structure of Credit Risk Spreads

Downloads 0 (1,060,134)

A Markov Model for the Term Structure of Credit Risk Spreads

REVIEW OF FINANCIAL STUDIES, Vol. 10, No. 2
Posted: 02 Apr 1997
Robert A. Jarrow, David Lando and Stuart M. Turnbull
Cornell University - Samuel Curtis Johnson Graduate School of Management, Copenhagen Business School - Department of Finance and University of Houston - C.T. Bauer College of Business

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A Markov Model for the Term Structure of Credit Risk Spreads

Posted: 22 Sep 1995
Robert A. Jarrow, David Lando and Stuart M. Turnbull
Cornell University - Samuel Curtis Johnson Graduate School of Management, Copenhagen Business School - Department of Finance and University of Houston - C.T. Bauer College of Business

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