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朵朵0927 · 2020年03月07日

问一道题：NO.PZ2016082406000040

  1. FRM II
  2. Credit Risk Measurement And Management

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.

老师您好，能帮说下这道题再考什么吗？实在不太理解，谢谢

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1 个答案

小刘_品职助教 · 2020年03月07日

同学你好，这道题的考察重点是Merton模型中公司股票和公司债券价格的影响因素。

在Merton模型中持有股票相当于是持有公司的call option，持有债券相当于是卖出了公司的put option，那题目就可以改成以下哪种情况会造成put option上涨，call option的价格没有下跌（也上涨）：

I：利率上升，debt价格下跌，call option上涨。

II：波动性下降：put option和call option均下降；

III：波动性上升：put option和call option均上涨；

IV：流动性危机：put option和call option均下降；

所以答案选I和III，也就是B。

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