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Suppose the risk-free rate yield curve is flat at 2% with annual compounding. 1-year, 2-year, 3-year bonds yield are 3.00%, 3.50%, 3.9% respectively with annual

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Suppose the risk-free rate yield curve is flat at 2% with annual compounding. 1-year, 2-year, 3-year bonds yield are 3.00%, 3.50%, 3.9% respectively with annual compounding. All of the bonds pay 4% annual coupons. Assume that in case of default, the recovery rate is 30% of principal, with no payment of accrued interest. Find the risk-neutral probability of default during each year

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