Question: Suppose I own a zero coupon bond with one year to maturity. I believe that the issuer has a 20% probability of default and that

Suppose I own a zero coupon bond with one year to maturity. I believe that the issuer has a 20% probability of default and that the loss rate in the event of default is 40%. If the yield to maturity for this bond is 13%, what is my expected return?

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