Assume the interest rate in the market for one-year zero-coupon government bonds is i = 7% and the rate for one-year zero-coupon grade BB bonds is k = 11.5%. What is the implied probability of default on the corporate bond (round to two decimals)?

Group of answer choices

a.95.96%

b.4.04%

c.94.95%

d.5.05%

e.3.24%