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hillock1122 · 2021年03月07日

关于波动率

  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.

II 单词fell是不是有问题，应该fall？另外，此题目的波动率是指什么的波动率？股票价格么？

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1 个答案

小刘_品职助教 · 2021年03月07日

同学你好，

1）单词没有问题，我个人理解这是虚拟语气，所以每个选项用的都是过去式，fell 是 fall的过去式，所以不错；

2）波动率确实是指股票价格的波动率。

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