Problem $24-14$ Predicting default probability

Upsilon's assets have a current market value of $$100.$ Its debt has a face value of $$60,$ and it matures in one year. Assume a risk$-$free rate of interest is $5\%.$ Suppose that the standard deviation of the return on Upsilon's assets is $50\%.$

Calculate the probability that the company will default.

Note: Do not round intermediate calculations. Enter your answer as a percent rounded to $2$ decimal places.

Probability

$\%$