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Calculate the term structure of default probabilities over three years using the following spot rates from the Treasury strip and corporate bond (pure discount) yield

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Calculate the term structure of default probabilities over three years using the following spot rates from the Treasury strip and corporate bond (pure discount) yield curves. Be sure to calculate both the annual marginal and the cumulative default probabilities. Spot 1 Year Spot 2 Year Spot 3 Year Treasury strips 5.0% 6.1% BBB-rated bonds7.0 8.2 9.3

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