1. Credit risk measures using the structural model: assume a company has the following characteristics. Time t value of the firms assets: At = $3,000 Expected return on assets: u = 0.05 per year Risk-free rate: r = 0.02 per year Face value of the firms debt: K = $2,000 Time to maturity of the debt (tenor): T t = 1 year Asset return volatility: = 0.35 per year What is the expected loss? (Select the answer that most closely matches the results of your calculations.)

   	A.	$39.525
   	B.	$47.612
   	C.	$35.520