Malz, Financial Risk Management: Models, History & Institutions, Chapter 7: Spread Risk and Default Intensity Models is a one-hour instructional video analyzing the following concepts:
* Compare the different ways of representing credit spreads.
* Compute one credit spread given others when possible.
* Define and compute the Spread ‘01.
* Explain how default risk for a single company can be modeled as a Bernoulli trial.
* Explain the relationship between exponential and Poisson distributions.
* Define the hazard rate and use it to define probability functions for default time and conditional default probabilities.
* Calculate the unconditional default probability and the conditional default probability given the hazard rate.
* Distinguish between cumulative and marginal default probabilities.
* Calculate risk-neutral default rates from spreads.
* Describe advantages of using the CDS market to estimate hazard rates.
* Explain how a CDS spread can be used to derive a hazard rate curve.
* Explain how the default distribution is affected by the sloping of the spread curve.
* Define spread risk and its measurement using the mark-to-market and spread volatility.