Statistical inference of default probability in credit risk models

In studies of credit risk, reduced model is very important and useful. Default probability is the most important quantity in order to apply the reduced model. In reduced model, we suggest that default is exogenous, so that we can easily use many statistical methods to compute default probability. In this paper we propose some hazard rate models to analyze default risk by some methods of statistics. These models can take into account various risk factors and excellently explain the effect of those factors on the default probability. Meanwhile, these models can deal with dynamic effect and interaction.