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Hi!

On last FRM exam, there was a question like:

The answer I have found was:

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

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?

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