[Merton's Model] Intercontinental USA has 10 million shares outstanding and its stock is currently trading at $11.25 per share. The stock's volatility is 42.5% per annum (p.a.). Its debt has a maturity of three years and a face value of $385 million. The risk- free rate is 6% (continuous compounding). (25 Marks) A) What is the default probability? B) What is the distance to default? C) What is the implied recover rate? D) What is the annual yield on the bond? E) What is the annualized credit spread? F) Keeping everything else the same, but vary the stock volatility from 20% to 60% (with a 5% increment) and recalculate the yield on the bond and the credit spread. Then keeping everything else the same, but vary the debt's value from $200 million to $600 million (with a 50 million increment). Tabulate the results. What can you conclude?