Abstract
We propose an alternative method for finding the kth default time distribution in a homogeneous portfolio with dependency. Analysing order statistics of default times with a one-factor Gaussian copula model, we explicitly derive the probability distribution. Moreover, we compute the prices of basket default swaps such as the kth to default swaps and m out of n default swaps within our framework. To test the efficiency and accuracy of our method we compare the theoretical prediction with existing methods.
Acknowledgement
The authors wish to thank the referees for valuable suggestions.