  In this paper we develop a tractable structural model with analytical default
probabilities depending on some dynamics parameters, and we show how to
calibrate the model using a chosen number of Credit Default Swap (CDS) market
quotes. We essentially show how to use structural models with a calibration
capability that is typical of the much more tractable credit-spread based
intensity models. We apply the structural model to a concrete calibration case
and observe what happens to the calibrated dynamics when the CDS-implied credit
quality deteriorates as the firm approaches default. Finally we provide a
typical example of a case where the calibrated structural model can be used for
credit pricing in a much more convenient way than a calibrated reduced form
model: The pricing of counterparty risk in an equity swap.
