Stuart M. Turnbull
Stuart M. Turnbull has authored over sixty 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 International Journal of Theoretical and Applied Finance, and the Journal of Derivatives. He is a member of the advisory board for the International Review of Applied Financial Issues and Economics and the International Review of Banking and Financial Studies. 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. The Jarrow-Turnbull reduced form pricing methodology is the standard framework used for pricing credit derivatives and for credit risk management. Current research is focused on (a) pricing credit risky securities, (b) the pricing of counterparty risk and (c) the impact of news on risky assets.
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. Prior to joining Lehman Brothers, he was Vice President, Risk Management Division, Canadian Imperial Bank of Commerce, Toronto, Ontario, where he worked on developing the next generation of credit and market risk management models.
He was the Bank of Montreal Chair of Banking and Finance and Professor of Economics at Queen's University and Professor of Economics at the University of Toronto.