On last FRM exam, there was a question like:

**Portfolio of 68 bond equally weighted, each 2 million worth. 6 defaults were expected and defaults were independent.**

What is 95% Credit VaR?

What is 95% Credit VaR?

The answer I have found was:

**6*2 - 2*68*0.04 = 6.56mil**

I suppose the binomial model is used here but... could someone please explain me how does it work under this particular example?