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Abstract: This paper presents and numerically implements a methodology to price credit derivative products referencing a portfolio of underlying assets. We develop a copula based framework to model the default dependency among obligors and offer algorithms for pricing Basket Default Swaps and Collateralized Debt Obligations. A risk neutral methodology by which [we] calibrate copula parameters to market quotes is taken into account, and different methods of calibration are illustrated and implemented. We numerically calculate the sensitivity of prices to the main state variables affecting their values, namely recovery rates, default correlation and credit quality of the underlying portfolio. By assuming two alternative specifications (Gaussian and Student