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： I
and II only
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.
这题根据MORTON的定义可以清楚知道EQUITY和Debt价值是怎么变化的，但是有个问题：
因为像利率和σ变化对e和d的影响可以说是反向的，这样其实用equity来对冲bond，其实是不是不太好？
