Question: The yield on 3 - month T bill is 4 . 3 7 % . The yield on 3 - month Banker's acceptance is 5

The yield on 3-month T bill is 4.37%. The yield on 3-month Banker's acceptance is 5.1867%. Assume that investors get 30% of the face value when commercial paper defaults. What is the probability of default of the Banker's acceptance?

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