Question: Given a 1 year bond issued at par, with a 0.5% probability of default and zero recovery rate, what is the expected risk-neutral yield given

Given a 1 year bond issued at par, with a 0.5% probability of default and zero recovery rate, what is the expected risk-neutral yield given an identical default- free bond with a 4% yield? What is the credit spread for the risky bond?

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