There exists correlation between assets. In most of the models, people assume that the correlation is deterministic. However, correlation varies in response to the market conditions. Therefore, in this paper, we proposes a correlation model with stochastic process. Also, the jump diffusion process which includes asset correlation has been adjusted in this model. In this paper, we attempt to show the probability of $n$th-to-default within multiple assets and basket credit default swaps spread by using the stochastic correlation model.
