portfolio-credit-risk

Don't get example 7.2 in the books: Consider a portfolio containing five positions: A five-year senior secured bond issued by Ford Motor Company A five-year subordinatte unsecured bond issued by Ford Motor Company Long protection in a five-year CDS on Ford Motor Credit Company A five-year...

Dear David, Regarding AIM: Assess the effects of correlation on a credit portfolio and its Credit VaR in Malz Chpater 8, could you kindly explain how the number of defaults are calculated in the example provided? Many thanks, Karine