Question

Given the following information: 1-year zero-coupon Corporate yield: 11.6% 2-year zero-coupon Corporate yield: 23.2% 1-year zero-coupon...

Given the following information:

1-year zero-coupon Corporate yield: 11.6%
2-year zero-coupon Corporate yield: 23.2%
1-year zero-coupon Treasury bonds yield: 8.6%
2-year zero-coupon Treasury bonds yield: 17.2%
Recovery rate of Corporate Bond: 0.58

What is this firm’s implied cumulative probability of default (in percentage)?

NOTE: Round all calculations to 4 decimal places. If your final number is 0.1234 then write 12.34

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