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(pn.(1-pn).p1.(1-p1))^0.5 r.(pn.(1-pn).p2.(1-p2))^0.5 ... 1 Of course, r can not be too extreme, it must make all the probability positive. When r is 0, the case is specialized as independent group case. An application Suppose we have a first-to-default credit default swap for a basket of 100 names.