One of the factors needed to assess the price of any non-risk free security is the credit risk of the obligor. This may require several parameters to specify, but a simple and fairly widely used model is based on the Poisson Probability of Default Model. This model specifies a default hazard rate, {% \lambda %} which encapsulates the credit risk. {% \lambda %} is then added to the function that evaluates the value of the fixed income securities and becomes a factor in the sensitivity analysis.
{% value = f(\lambda, ...) %}