] / 1.03, where PD = 1 − ($92 × 1.03 / $100) = 0.0524, or 5.24%.</p>
<p>To calculate yield:</p>
<p>(1 + risk-free rate) = (1 − PD) × (1 + y)</p>
<p>1.03 = (1 − 0.0524) × (1 + yield), where yield = (1.03 / 0.9476) − 1 = 0.087, or 8.7%.</p></span>
<p></p></div></div></td></tr>
</table>
</div>
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<li><em>统 计：</em>共计<span class=)
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An investor owns a zero-coupon corporate bond with 1 year to maturity and loss given default (LGD) of 100%. Compute the bond’s probability of default (PD) and bond yield, respectively, if the risk-free rate is 3% and the bond currently sells for $92. A. 11.96% and 16.99%. B. 92% and 8.51%. C. 5.24% and 8.7%. D. 100% and 2.76%. |
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