RT Journal Article SR Electronic T1 An Exact Structural Model for Evaluating Credit Default Swaps: Theory and Empirical Evidence JF The Journal of Fixed Income FD Institutional Investor Journals SP jfi.2022.1.149 DO 10.3905/jfi.2022.1.149 A1 Ren-Raw Chen A1 Pei-Lin Hsieh YR 2022 UL https://pm-research.com/content/early/2022/11/29/jfi.2022.1.149.abstract AB Using structural models for credit default swaps (CDS) has been difficult. Existing models all adopt short-cuts as approximations. In this article, we provide an accurate and efficient solution to the price of the credit default swap. The main result is a Theorem in Section 2. In an empirical study, we show how our model can properly capture CDS (credit default swap) exposure to interest rate volatility and asset volatility. Furthermore, we apply the new model to study: (1) the interactions among market, credit, and interest risks, (2) the consistency with the reduced-form credit risk models, and (3) implications to capital structure arbitrage.