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Stuart M. Turnbull


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Stuart Turnbull

Stuart M. Turnbull

University of Houston
Bauer College of Business
344 Melcher Hall
Houston, TX 77204
United States

  • University of British Columbia, Ph. D.  (Financial Economics) (1974)
  • Stuart M. Turnbull has authored over fifty academic papers in the areas of financial economics, law and economics, and the general area of derivatives. He is currently an Associate Editor of the Journal of Mathematical Finance, International Journal of Theoretical and Applied Finance, and the Journal of Derivatives. He is one of the foremost derivative security pricing experts in the world. He has published two books on derivatives. His book with Robert A. Jarrow, Derivative Securities, is a standard in the industry, providing a simple, unified approach to the world of derivative securities. Their paper, "Pricing Derivatives on Financial Securities Subject to Credit Risk," is cited repeatedly in credit modeling research and is the second most viewed abstract on The Jarrow-Turnbull reduced form pricing methodology is the standard framework used for pricing credit derivatives and for credit risk management.
  • Most recently as Senior Vice President, Fixed Income Research, Lehman Brothers, New York, Dr. Turnbull worked on counterparty risk modeling, pricing CDS tranches, forward default premiums, and risk modeling.

Dr. Stuart Turnbull is developing the next generation of credit and market risk management models at the Canadian Imperial Bank of Commerce. Prior to his present position, he was an academic and a consultant to many financial institutions in North America and Europe.

Contact:   Email address secured by Enkoder.
Phone +1 (713) 743-4767


External links for Stuart M. Turnbull and his worksOfficial Page "Personal" Page
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Publications: that are posted on

Credit Pricing

Jarrow, Robert A. and Stuart M. Turnbull, " Pricing Derivatives on Financial Securities Subject to Credit Risk", Journal of Finance, Vol. 50, No. 1, (March 1995), pp. 53-85.

Credit Modeling

Modeling the Loss Distribution
by Sudheer Chava of Texas A&M University,
Catalina Stefanescu of the London Business School, and
Stuart Turnbull of the University of Houston
(537K PDF) -- 53 pages -- April 21, 2008

A Markov Model for the Term Structure of Credit Risk Spreads
by Robert A. Jarrow of Cornell University,
David Lando of the University of Copenhagen, and
Stuart M. Turnbull of Queen's University
(467K PDF) -- 43 pages -- Summer 1997

Jarrow, Robert A. and Stuart M. Turnbull, " The Intersection of Market and Credit Risk", Journal of Banking & Finance, Vol. 24, No. 1-2, (January 2000), pp. 271-299.

Other Credit

Stefanescu, Catalina, Radu Tunaru, Stuart M. Turnbull, "The Credit Rating Process and Estimation of Transition Probabilities: A Bayesian approach", Journal of Empirical Finance, Vol. 16, No. 2, (March 2009), pp. 216-234.

The Pricing Implications of Counterparty Risk for Non-linear Credit Products
by Stuart M. Turnbull of the University of Houston
(200K PDF) -- 39 pages -- October 21, 2005

Books & Book Chapters:

Encyclopedia of Quantitative Finance (4-Volume Set) Encyclopedia of Quantitative Finance (4-Volume Set)
Editor in Chief: Rama Cont
Wiley, (April 26, 2010), Hardcover, 2194 pages
Derivative Securities

Derivative Securities: The Complete Investor's Guide
by Robert Jarrow and Stuart Turnbull,
South-Western Publications, July 1, 1999, Book & Disk edition, 602 pages

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