... termstructure of interest rates and of credit default swaps (CDS’s). Moreover, themodel retains free dynamics parameters that can be used to calibrate optiondata, such as caps for the interest rate market ... evaluation with the interest rate model that is used for default-free derivatives.This separate automatic calibration no longer holds if we introduce ρ, since now thedynamics of interest rates is also ... annoying, since the attractive feature of the model is the separateand semi-automatic calibration of the interest- rate part to interest- rate data and ofthe intensity part to credit market data....