信用ハザード率
ハザード関数が
「現時点で失敗の確率」/「現時点まで残った確率」。
I understand this definition of the hazard rate, but the definition in terms of Treasury spread and recovery rate is less clear.
h=(yb-yt)/(1-R)
where yb is the corporate bond's yield rate, yt is the Treasury bond's yield, and R is the recovery rate.