老师看一下这个过程是正确的吗？

问题如下：

Suppose there is a $1,000,000 portfolio with n credits that each have a default probability, π = 2% and a zero recovery rate. The default correlation is 0 and n = 1,000. There is a probability of 28 defaults at the 95th percentile based on the binomial distribution with the parameters of n = 1,000 and π = 0.02. What is the credit VaR at the 95% confidence level based on these parameters?

选项：

A.

$7,000

B.

$8,000

C.

$9,000

D.

$10,000

解释：

The 95th percentile of the credit loss distribution is $28,000 (28 × $1,000,000/1,000). The expected loss is $20,000 ($1,000,000 × 0.02). The credit VaR is then $8,000 ($28,000 - $20,000).