Abstract
While the bond issue markets are growing all over the world, the bond credit risk becomes more and more important. Studying bond credit risk can help not only the prediction the default probability, but also the management and pricing of credit risk. This paper studies the corporate bond credit risk of some companies in America, using Vasicek model to model both short rate and hazard rate, whose parameters are calibrated by market data from Treasury.gov and Bloomberg. Moreover, this paper compare the credit spread between different companies and in different years, and explain the result with historical events.