Consider Two Firms,each of Which Has a Distance-To-Default of 1 $$\rho = 0.5$$

Multiple Choice

Consider two firms,each of which has a distance-to-default of 1.The correlation of default of the two firms is $$\rho = 0.5$$ .Assuming bivariate normality,what is the probability that both firms default?

A) 4.50%
B) 6.25%
C) 8.75%
D) 10.25%