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Consider a BB-rated $100 face valued zero coupon debt security with one year to maturity and zero recovery rate. Assume that the annual risk-free rate

Consider a BB-rated $100 face valued zero coupon debt security with one year to maturity and zero recovery rate. Assume that the annual risk-free rate is 5% and the traded price is $80. The probability of default (PD) is closest to

None of the other answers provided is correct.

8.00%

84.30%

16.00%

19.04%

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