Credit Risk Estimation: Suppose a two$-$year corporate bond has a face value of $$100,$

and provides a coupon of $6\%$ per annum payable semi$-$annually. The term structure of

risk$-$free bonds is flat, with a yield of $2\%$ per annum $($continuous compounding$).$

Assume that defaults can only occur immediately before coupon payments and the

recovery rate is $40\%.$ If the bond$$s expected loss is equal to $3\mathrm{.}2,$ what is the default

probability of the bond.