Hazard rate vs probability of default
default swap by supposing that the hazard rate is a Gaussian model with time- it has a serious defect of taking negative value with a positive probability. @'B' pays an amount of the difference between the notional (we set 1) and the. 1 Mar 2017 Default probability distributions are often defined in terms of their conditional default probability distribution, or their hazard rate. By their Remark 8.2. (Risk-neutral versus objective probabilities of default; cf. The relation between hazard rate and the cumulative distribution function (or cdf) of τ is