Your credit risk manager at Monash Bank has provided you with the following information about market yield curves. The 1 year risk free Treasury Bonds is 0.9% and the 2 year risk free Treasury Bonds is 2.2%. The 1 year Corporate BBB Bonds is 4.2% and the 2 year Corporate BBB Bonds is 5.6%. Using your understanding of the term structure derivation of credit risk calculate the probability of default of a one year BBB Corporate Bond in percent?

Note: Do not write any % symbol in your answer. For example: if your answer is 55% probability, then simply write 55 NOT as 0.55 or 55%

Question 10 Not yet answered Marked out of 2.00 P Flag question Your credit risk manager at Monash Bank has provided you with the following information about market yield curves. The 1 year risk free Treasury Bonds is 0.9% and the 2 year risk free Treasury Bonds is 2.2%. The 1 year Corporate "BBB" Bonds is 4.2% and the 2 year Corporate BBB" Bonds is 5.6%. Using your understanding of the term structure derivation of credit risk calculate the probability of default of a one year "BBB" Corporate Bond in percent? Note: Do not write any % symbol in your answer. For example: if your answer is 55% probability, then simply write 55 NOT as 0.55 or 55% Answer: Question 10 Not yet answered Marked out of 2.00 P Flag question Your credit risk manager at Monash Bank has provided you with the following information about market yield curves. The 1 year risk free Treasury Bonds is 0.9% and the 2 year risk free Treasury Bonds is 2.2%. The 1 year Corporate "BBB" Bonds is 4.2% and the 2 year Corporate BBB" Bonds is 5.6%. Using your understanding of the term structure derivation of credit risk calculate the probability of default of a one year "BBB" Corporate Bond in percent? Note: Do not write any % symbol in your answer. For example: if your answer is 55% probability, then simply write 55 NOT as 0.55 or 55%