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  • 07-06-2023
  • Business
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Consider a BB-rated $100 face valued zero coupon debt security with one year to maturity and zero recovery rate. Assume that the annual risk-free rate is 5% and the traded price is $80. The probability of default (PD) is closest to
a.
None of the other answers provided is correct.
b.
8.00%
c.
84.30%
d.
16.00%
e.
19.04%

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