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金融民工阿聪 · 2021年03月06日

其实这里可不可以这样理解

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2016082406000040

问题如下：

You have a large position of bonds of firm XYZ. You hedge these bonds with equity using Merton’s debt valuation model. The value of the debt falls unexpectedly, but the value of equity does not fall, so you make a loss. Consider the following statements:

I. Interest rates increased.

II. Volatility fell.

III. Volatility increased.

IV. A liquidity crisis increased the liquidity component of the credit spreads.

Which statements are possible explanations for why your hedge did not work out?

选项：

A.

I and II only

B.

I and III only

C.

I, III, and IV only

D.

Ill and IV only

解释：

ANSWER: B

We need to identify shocks that decrease the value of debt but not that of equity. An increase in the risk-free rate will decrease the value of the debt but not the equity (because this decreases leverage). An increase in volatility will have the opposite effect on debt and equity. Finally, a liquidity crisis cannot explain the divergent behavior, because, as we have seen during 2008, it would affect both corporate bonds and equity adversely. Answers I and III are correct.

就是sta4里面说流动性危机的情况，但是莫顿模型假设就是资产可以流畅地交易，所以不符合假设其实都不用考虑了？

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小刘_品职助教 · 2021年03月06日

同学你好，

建议你不要这么理解，还是需要去挨个判断选项对于debt 和 equity 的value影响。因为二者的value如果按照merton模型变化，那就不会出现hedge失效的情况，所以出现了这些情况，都可以推断出merton模型失效了。

对于4中描述的流动性危机情况，debt 和 equity 的value都会下降，所以描述错误。

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