Given the following information: 1-year zero-coupon Corporate yield: 12% 2-year zero-coupon Corporate yield: 15% 1-year zero-coupon Treasury bonds yield: 7% 2-year zero-coupon Treasury bonds yield: 10% Investor expect to recover nothing if the Corporate Bond defaults. What is this firms implied cumulative probability of default (in percentage)? NOTICE: Round ALL calculations to 4 decimal places. Only round what you input in the blank to 2 decimal places. If you get 1.2345 then write 1.23.

GUIDE: Refer back to example 6 (Links to an external site.) if you are not sure what to do. Now try to fill out the intermediate steps (round to 4 decimal places):

P of default 1st year
P of no default 1st year
Forward Corporate Yield
Forward Treasury Yield
P of default 2nd year
P of no default 2nd year

The firms implied cumulative probability of default is (in decimals).

The final answer should be % (in percentage).