<br/>Contents<br/>1 Hazard Function of a Random Time 3<br/>2 Hazard Process of a Random Time 19<br/>3 Poisson Process and Conditional Poisson Process 27<br/>4 Defaultable Claims 37<br/>5 Merton’s (1974) Model of Corporate Debt 43<br/>6 Zhou’s (1996) Model 49<br/>7 Properties of First Passage Times 53<br/>8 Black and Cox (1976) Model 62<br/>9 Black and Cox Model with Random Interest Rates 70<br/>10 Intensity-Based Valuation of Defaultable Claims 78<br/>11 Various Recovery Schemes 88<br/>Textbook: Tomasz Bielecki and Marek Rutkowski: Credit Risk: Modeling, Valuation and Hedging.<br/>Springer-Verlag, Berlin Heidelberg New York, 2002.