47. Consider a 2 year zero-coupon corporate bond which will default with probability 0.5%. In the event of default, there is a 60% chance bondholders will recoup 50% of the principal and a 40% chance they receive nothing. If the expected 2 year zero rate on this bond is 4.4% pa, what is its price per $100 of face value? $41.290 a. b. $91.427 $59.632 C. d. $77.650 None of the above e