Abstract: The development of copulas resolves the problem of description of correlation,and it is a real practicable method to construct multivariate probability distribution function. Based on the characteristic of copulas,this paper founds the pricing model of Basket Credit Default Swap,and creates the pricing framework. The worth of this paper is that it shows an operable way to solve the worrying problems of bad debts and the Surplus Liquidity. This paper also gives satisfactory simulation in order to show the effectiveness of the pricing framework.

Key words: Basket CDS, copula, pricing of basket credit risk, multivariate pdf