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.
老师这题说的是long bond= short put at t（x=Dt)
对冲这个头寸用short equity =short call on assets at t（x=Dt)
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spread 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？
