Fig. 6.

Rolling window calibrations for the CDS pricing formula (21) using daily observations of the CDS spreads written on debt issued by Dailmer AG. Time window from 1-1-2018 to 29-1-2021. a empirical 5-year CDS spreads (blue line) and theoretical 5-year CDS spreads (black and dashed line). b calibrated values of the intensity of default $\left(\lambda \right)$. c calibrated values of the ration between signaling variable and default barrier $\left(\frac{x_0}{x_L}\right)$. d calibrated values of the drift parameter of the signaling variable $\left(\alpha \right)$. e calibrated values of the short-term volatility of the signaling variable $\left({\sigma }_x\right)$