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

15

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10,625

SSRN CITATIONS
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SSRN RANKINGS

Top 19,767

in Total Papers Citations

29

CROSSREF CITATIONS

22

Scholarly Papers (15)

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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 9,266 (657)
Citation 22

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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 400 (87,488)
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 298 (121,566)
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 256 (142,285)
Citation 3

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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 227 (159,928)
Citation 17

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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 178 (200,017)
Citation 1

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

7.

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)

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

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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

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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

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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

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

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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

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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

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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

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15.

A Markov Model for the Term Structure of Credit Risk Spreads

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

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