We take into consideration a company, whose equity is 11 million euros.
The company’s debt is equal to 18 million euros and it must be paid in one year.
The risk-free rate on the market is 6% per annum.
The observed instantaneous volatility of equity is 0.7.What is the probability of default (PD, in % but without the % symbol; round off to the 2nd decimal, e.g. 2.33) if the company's debt decreases to 15 million euros?