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A firm issues a one-year bond with face value 1000 at time T and the firms assets value is 1,500 and the volatility of the

A firm issues a one-year bond with face value 1000 at time T and the firms assets value is 1,500 and the volatility of the firms assets is 0.3. What is the distance to default of this firm in KMV model? What is the probability of default?

A. 13.4%

B. 86.7%

C. 4.7%

D. 6.68%

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