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A firm has issued 5 - year bonds that have a continuously compounded YTM of 4 . 3 0 % and an expected recovery rate

A firm has issued 5-year bonds that have a continuously compounded YTM of 4.30% and an expected recovery rate of 42% in case of default. The continuously compounded risk-free interest rate is 2.65%. What is the implied risk-neutral default probability for these bonds in year 4?

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