swap (CDS) spread as our measure of credit risk. Also, we control for the variation in the fair-value spread that combines …. Furthermore, we empirically find that the swap interest rate variables convey material information about CDS spread movements … a typical bank's credit portfolio …

dates. It shows lending rates and it is used from the Federal Reserve Bank to predict changes in output and economic growth …

Bermudan cancelable features. We consider a three-factor pricing model with FX volatility skew which results in a time … divide the pricing of a Bermudan cancelable PRDC swap into two independent pricing subproblems, each of which can efficiently …