问题如下图:
选项:
A.
B.
C.
D.
解释:
请问老师,对于波动率,您讲到波动率升高对于债券和股票有相反的影响(the oppposite effect)。所以应该是波动率降低才会有与选项一相同的效果。为什么波动率相机没有相反的影响呢?
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