Stuart M. Turnbull

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

Bauer Chaired Professor

Houston, TX 77204-6021

United States

SCHOLARLY PAPERS

15

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CITATIONS
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SSRN RANKINGS

Top 9,195

in Total Papers Citations

48

Scholarly Papers (15)

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 8,634 (400)
Citation 34

Abstract:

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 386 (60,561)
Citation 1

Abstract:

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 239 (95,286)
Citation 3

Abstract:

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 222 (109,114)
Citation 6

Abstract:

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 160 (130,982)
Citation 4

Abstract:

Default, Bankruptcy, Recovery Rate, Frailty, Unobservable Heterogeneity

6.

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
Downloads 0 (557,049)

Abstract:

Primary and Secondary Firms, Gaussian Latent-Factor Model, Expected Loss, Value-At-Risk (VaR), Expected Shortfall (ES)

7.

Pricing Structured Products with Economic Covariates

Number of pages: 48 Posted: 20 Dec 2015 Last Revised: 12 May 2016
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 0 (246,239)

Abstract:

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

8.

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

Abstract:

9.

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

Abstract:

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

10.

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

Abstract:

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

11.

Capital Allocation and Risk Performance Measurement in a Financial Institution

Financial Markets, Institutions and Instruments, Vol. 9, No. 5, December 2000
Posted: 15 Mar 2001
Stuart M. Turnbull
University of Houston - C.T. Bauer College of Business

Abstract:

12.

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

Abstract:

13.

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

Abstract:

14.

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

Abstract:

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

Abstract:

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

Abstract: