A Markov Model for the Term Structure of Credit Risk Spreads

Abstract

Journal Article A Markov Model for the Term Structure of Credit Risk Spreads Get access Robert A. Jarrow, Robert A. Jarrow Cornell University correspondence to Robert A. Jarrow, Johnson Graduate School of Management, Cornell University, Ithaca, NY 14853. Search for other works by this author on: Oxford Academic Google Scholar David Lando, David Lando University of Copenhagen Search for other works by this author on: Oxford Academic Google Scholar Stuart M. Turnbull Stuart M. Turnbull Queen’s University Search for other works by this author on: Oxford Academic Google Scholar The Review of Financial Studies, Volume 10, Issue 2, April 1997, Pages 481–523, https://doi.org/10.1093/rfs/10.2.481 Published: 04 June 2015