You are the newly appointed Credit Risk Analyst at Banking Corp. Australia. Your task is to evaluate the credit risk of SIA, a commercial obligor, using the Merton/KMV model. SIAs equity is valued at $5 million. Equity volatility is 45%. SIAs debt is $10 million and is expected to be paid in one year. The risk-free interest rate is 6% per annum. The numerical solution from Solver in Excel yields the following values for Mertons model: V0=14.4158 and V=0.1564. (Note: as the numerical solution is provided, you do not need to use Excel, you just have to do the calculations corresponding to the question). The probability of default is Select one: a. 0.67% b. 0.03% c. None of the other answers provided is correct. d. 0.015% e. 0.41%