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Use the Merton (1974) model to solve the approximate probability of default for a corporate debt issuer that has: current assets value = $14M, outstanding

Use the Merton (1974) model to solve the approximate probability of default for a corporate debt issuer that has: current assets value = $14M, outstanding debt at maturity = $19M, there are 6 more months until debt maturity, risk free interest rate = 5.75%, assets volatility (standard deviation) = 30% per annum.

34%

92%

11%

99%

78%

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