Before revision:  We present realization of our approach in two and three dimensional cases, i. e. compute joint survival probabilities Q of two or three counterparties. We also extend the model by taking into account mutual liabilities of the counterparties and demonstrate their influence on Q. The latter, however, requires a more detailed analysis which will be published elsewhere .
After revision:  We present realization of our approach in two and three dimensional cases, i. e. compute joint survival probabilities for two and three banks with mutual liabilities are computed. The effects of mutual liabilities are discussed, and numerical examples are given to illustrate these effects .