想问下这个知识点的经典题的一题

问题如下：

The risk-free rate is 5% per year and a corporate bond yields 6% per year. Assuming a recovery rate of 75% on the corporate bond, what is the approximate market-implied one-year probability of default of the corporate bond?

选项：

1.33%

4.00%

8.00%

1.60%

解释：

ANSWER: B

The spread is 6%-5%=1%. Dividing by the loss given default of $\;{(1-f)}=0.25$, we get $\pi=\frac{y\ast-y}{1-f}=4\%$.