问题如下图：
选项：
A. 
B. 
C. 
D. 
解释：
两个问题：
1，题目中说的hedge using Merton's model是用什么方式hedge的？是指持有bonds的同时又long了put来hedge吗？
2，volatility上升的时候equity value increase, debt decrease这个可以理解，但问题问的是为什么hedge doesn't work，这个不懂怎么理解
orange品职答疑助手 · 2018年09月10日
同学你好。1、本题是通过卖股票来对冲，也就是说它的投资组合将是 long bonds + short equity. 当债券价格下跌时，只要equity价格跟着下跌，那么就可以通过short equity来赚钱，cover部分或者全部的损失。 using Merton Model只是用来定价的，也就是说把股票看成是公司的看涨期权，债券也看成是与期权相关的那个比较复杂的表达式。
2、volatility上升的时候equity value increase, debt decrease，这样一来他的投资组合正好全亏，所以hedge doesn't work
陈晓昭 · 2019年10月07日
我想问一下，long bond不是本来就是等于short put，那这个组合不就变成了short put +short equity…怎样也hedge不成功吧？
orange品职答疑助手 · 2019年10月09日
对的，你说的没错，这题这种对冲方式是有点奇怪，我也觉得不太合理。只能根据它题目来吧，选一个能够使得债券价格下降，股票价格不下降的选项
Roseline · 2020年02月13日
老师好，long bond + Short equity这个头寸能理解，但是long bond相当于short put，lon过equity 相当于long call，那么short equity是相当于short call吗？如果是的话，当volatility上升时，short put和short call的value都应该是降低的，也就是手头上的bond和equity的头寸都应该下降呀
NO.PZ2016082406000040 You have a large position of bon of firm XYZ. You hee these bon with equity using Merton’s valuation mol. The value of the falls unexpectey, but the value of equity es not fall, so you make a loss. Consir the following statements: I. Interest rates increase II. Volatility fell. III. Volatility increase IV. A liquity crisis increasethe liquity component of the cret sprea. Whistatements are possible explanations for why your hee not work out? I anII only I anIII only I, III, anIV only Ill anIV only ANSWER: B We neeto intify shocks thcrease the value of but not thof equity. increase in the risk-free rate will crease the value of the but not the equity (because this creases leverage). increase in volatility will have the opposite effeon anequity. Finally, a liquity crisis cannot explain the vergent behavior, because, we have seen ring 2008, it woulaffeboth corporate bon anequity aersely. Answers I anIII are correct. 这题根据MORTON的定义可以清楚知道EQUITY和bt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和影响可以说是反向的，这样其实用equity来对冲bon其实是不是不太好？
NO.PZ2016082406000040 You have a large position of bon of firm XYZ. You hee these bon with equity using Merton’s valuation mol. The value of the falls unexpectey, but the value of equity es not fall, so you make a loss. Consir the following statements: I. Interest rates increase II. Volatility fell. III. Volatility increase IV. A liquity crisis increasethe liquity component of the cret sprea. Whistatements are possible explanations for why your hee not work out? I anII only I anIII only I, III, anIV only Ill anIV only ANSWER: B We neeto intify shocks thcrease the value of but not thof equity. increase in the risk-free rate will crease the value of the but not the equity (because this creases leverage). increase in volatility will have the opposite effeon anequity. Finally, a liquity crisis cannot explain the vergent behavior, because, we have seen ring 2008, it woulaffeboth corporate bon anequity aersely. Answers I anIII 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？
NO.PZ2016082406000040 You have a large position of bon of firm XYZ. You hee these bon with equity using Merton’s valuation mol. The value of the falls unexpectey, but the value of equity es not fall, so you make a loss. Consir the following statements: I. Interest rates increase II. Volatility fell. III. Volatility increase IV. A liquity crisis increasethe liquity component of the cret sprea. Whistatements are possible explanations for why your hee not work out? I anII only I anIII only I, III, anIV only Ill anIV only ANSWER: B We neeto intify shocks thcrease the value of but not thof equity. increase in the risk-free rate will crease the value of the but not the equity (because this creases leverage). increase in volatility will have the opposite effeon anequity. Finally, a liquity crisis cannot explain the vergent behavior, because, we have seen ring 2008, it woulaffeboth corporate bon anequity aersely. Answers I anIII 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？
You have a large position of bon of firm XYZ. You hee these bon with equity using Merton’s valuation mol. The value of the falls unexpectey, but the value of equity es not fall, so you make a loss. Consir the following statements: I. Interest rates increase II. Volatility fell. III. Volatility increase IV. A liquity crisis increasethe liquity component of the cret sprea. Whistatements are possible explanations for why your hee not work out? I anII only I anIII only I, III, anIV only Ill anIV only ANSWER: B We neeto intify shocks thcrease the value of but not thof equity. increase in the risk-free rate will crease the value of the but not the equity (because this creases leverage). increase in volatility will have the opposite effeon anequity. Finally, a liquity crisis cannot explain the vergent behavior, because, we have seen ring 2008, it woulaffeboth corporate bon anequity aersely. Answers I anIII are correct. 老师这题说的是long bon short put t（x=) 对冲这个头寸用short equity =short call on assets t（x=) 利率上涨short 方肯定是亏钱的，I肯定是坑了 V下跌，实际liangshort 是个做空波动率的头寸，应该是赚钱的 V上涨肯定坑了吧 流动性危机的时候肯定是spre大 V大，和三的情况一样，对于这个做空波动率的头寸肯定是坑了。。 我当时只寄了个结论，说rf 上升，long call 标的资产的未来期望值变大，long call价值是上升的，rf 上升，long put 给赚钱 啊，为什么？
You have a large position of bon of firm XYZ. You hee these bon with equity using Merton’s valuation mol. The value of the falls unexpectey, but the value of equity es not fall, so you make a loss. Consir the following statements: I. Interest rates increase II. Volatility fell. III. Volatility increase IV. A liquity crisis increasethe liquity component of the cret sprea. Whistatements are possible explanations for why your hee not work out? I anII only I anIII only I, III, anIV only Ill anIV only ANSWER: B We neeto intify shocks thcrease the value of but not thof equity. increase in the risk-free rate will crease the value of the but not the equity (because this creases leverage). increase in volatility will have the opposite effeon anequity. Finally, a liquity crisis cannot explain the vergent behavior, because, we have seen ring 2008, it woulaffeboth corporate bon anequity aersely. Answers I anIII are correct. 老师您好，能帮说下这道题再考什么吗？实在不太理解，谢谢