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The price of a one-year Treasury bill is 95% of the par. The price of a one-year zero coupon senior

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The price of a one-year Treasury bill is 95% of the par. The price of a one-year zero coupon senior unsecured corporate debt is 80% of the par. The recovery rate of this corporate debt is 0.6 in case of the default. What is the market consensus on the risk-neutral probability of default for the corporate debt?

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Financial Reporting and Analysis

Financial Reporting and Analysis

ISBN: 978-0078025679

6th edition

Authors: Flawrence Revsine, Daniel Collins, Bruce, Mittelstaedt, Leon

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Posted Date: September 12, 2023 23:51:01
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