I am a new to credit risk , could anyone advise to me the classic papers I should refer to for the following:1. Obtaining default probabiliities/distributions and pricing of vanilla CDS2. Obtaining default probabiliities/distributions and pricing of n-th default CDSdefinition of nth to default CDS:payment of the premium by the buyer of the protection occurs till the nth default occurs and then the seller pays up.(doesnt matter if n-1 defaults occured before that).I have checked out H&W paper on valuation of nth to default CDS without monte carlo, could you please point out a paper which uses monte carlo simulation to do the same job.Also all literature , advice and general banter on the subject is invited.

see www.quarchome.org for MC pricing of credit derivatives

Thanks Mark..the paper is awesome!!!I had one question though valuation of the nth to default swaps assumes that marginal probability distributions are known, and in general we get the marginal probabilities by comparing the security issuer's bond prices with comparable govt. bonds. What if a similar bond is unavailable , then what would the technique be to calculate the marginal default probability distributions of the individual securities in the baslet.Thanks again,Raj

i think people first use vanilla CDSs, then bonds, then map according to rating,