Malz, Financial Risk Management: Models, History & Institutions, Chapter 7: Spread Risk and Default Intensity Models is a 44 minute 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 conditional default probability given the hazard rate.

* 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 MtMand spread volatility.