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This document defines key concepts for modeling default probabilities and calculating credit spreads. It discusses: 1) The cumulative default probability function F(u) which gives the probability of default up to time u. The marginal default probability q(t1,t2) is the probability of default between times t1 and t2. 2) If default is a Poisson process with constant intensity h, the cumulative probability is F(u)=1-exp(-hu). The instantaneous probability is h*exp(-hu). 3) The fair credit default swap (CD

Author

vini

Language

EN