NO.PZ201812310200000304
问题如下：
选项：
Based on Exhibit 1, the risk-neutral default probability for Bond I is closest to:
A. 2.000%.
B. 3.175%.
C. 4.762%.
解释：
B is correct. The risk-neutral default probability, P*, is calculated using the current price, the expected receipt at maturity with no default (that is, 100 + 5 = 105), the expected receipt at maturity in the event of a default (that is, 0.40 × 105 = 42), and the risk-free rate of interest (0.03): 100=[105×(1-P*)+(42×P*)]/1.03
Solving for P* gives 0.031746, or 3.1746%.
