Problem 7 Conditional default distributions in the single-factor credit risk model 2 points Consider an obligor described in the first parts of this problem, with a one- period default probability of 0.0175 (1.75 percent), a recovery rate of zero, and a correlation between the firm's asset return and the market factor B = 10.3. Suppose further that it suffers a severe adverse idiosyncratic shock of e = -1.5. . What is the obligor's distance to default before the idiosyncratic shock? . What is the probability of an adverse market shock sufficient to trig- ger a default by the obligor also occurring? . What is the obligor's distance to default following the idiosyncratic shock