http://k3qu5kyz6zhz5w64m5ez22iqcrw7rci7dccmjuofmoilhpx3gqfip4ad.onion?page_id=MultiVariateBernoulli
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. Event probability for first-to-default is P[X1=1 or X2=1 or ... X100=1]
=1 - P[X1=0, X2=0, ..., X100=0]
=1 - (Product[1-pi , {i=1..n}] + Sum[r.Sqrt[pi.(1-pi).pj.(1-pj)/2^(n-2)] , {i,j=1..n, i<j}])
=1 - (Product[1-pi , {i=1..n}] + r/2^(n-2).Sum[Sqrt[pi.(1-pi).pj.(1-pj)] , {i,j=1..n, i<j}]) Once the correlation r...