concentrate on modeling the conditional mean. However, financial time series exhibit certain stylized features such as volatility … to address this issue and to gain insights on the volatility patterns of CDS spreads, bond yield spreads and stock prices … creditworthiness of debtors more reliably. The obtained findings suggest that volatility takes a significant higher level in times of …

In this article, we test the implied volatility of a credit risk of a bond, an interest rate swap and a swaption of … from significant fluctuations in the FOREX and Treasury bill interest rates. We find that the implied volatility is too … volatility decrease when we use a swaption …