Industry organizations place a great deal of emphasis on credit risk. The American Academy of Actuaries Actuarial Standards of Practice, while not recommending any particular models, require the actuary to consider the impact on cash flow associated with asset quality and the risk of asset default. The SOA exam syllabus includes knowledge of both structural and reduced form models, loss given default, correlation, and credit derivatives. The National Association of Insurance Commissioners (NAIC) has hired third parties to provide risk-based capital factors for structured products and published their methodologies. Historically, there has not been much credit risk research in the North American Actuarial Journal, as discussed in an editorial by Li (2006). However, this appears to be changing. In 2008, two papers were published, "The Pricing of Credit Default Swaps under a Markov-Modulated Merton's Structural Model" (Sui et al., 2008) and "Computation of Multivariate Barrier Crossing Probability and Its Applications in Credit Risk Models" (Huh and Kolkiewicz, 2008). In Sui, the authors relax assumptions regarding fixed interest rates, fixed volatilities and fixed leverage from the Merton model for the valuation of CDS contracts. In Huh and Kolkiewicz, the authors demonstrate a computationally efficient way of pricing CDS contracts with several reference entities using a structural model.