Before revision:  We apply this multivariate model to the study of the counterparty credit risk , with regard to correlation in a CDS contract. The financial crisis has stressed the importance of the study of the correlation in the financial market .
After revision:  We apply this multivariate model to the study of the counterparty credit risk in credit rating migration problem. For this financial problem different multivariate Markov chain models were proposed. However the markovian assumption may be inappropriate for the study of the correlation in the financial market .