A one-year zero-coupon bond X will pay either $1,000 (par value) or $450 (default value) at maturity. You observe that this bond currently trades at $890. Assuming risk-free rate of return to be zero, you have INSUFFICIENT information to calculate which of the following?

a.

The risk-neutral probability of default

b.

The physical probability of default

c.

The bond's promised yield to maturity

d.

The percentage of par value recovered in default

Given the following information for a three-year bond, which of the following can you calculate?

Year	U.S. Treasury yields	Risk-neutral probability of default	Loss Given Default
1	2%	0.50%	60%
2	2.50%	1%	60%
3	3%	1.50%	60%

	a.	Expected loss from default
	b.	Present value of expected loss from default
	c.	The value of Credit Default Swap protecting the investor from default
	d.	All the above