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6. In 2000 Standard and Poor's reported the default probabilities for BBB bonds shown in the table below. Assuming a recovery rate of 40%
6. In 2000 Standard and Poor's reported the default probabilities for BBB bonds shown in the table below. Assuming a recovery rate of 40% calculate the price (as a percent of par) of a 5-year 5% annual-pay bond in a 5% yield environment. Year: 4 1 2 3 Marginal default probability (Vc): 0.21 0.27 0.29 0.51 5 0.53
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