When you decline Gehrman’s “mercy”, you will then have to engage in one of the toughest battles in the game—and that is to fight Gehrman, the first hunter. Gehrman moves extremely fast, while wielding his Burial Blade and Blunderbuss at the same time. Being a hunter himself, his moves are pretty much like yours. Aside from the Blunderbuss and Blade, Gehrman may also attack you with his large scythe that has a pretty wide reach.
Once you have successfully damaged Gehrman enough and brought down his HP to half, Gehrman will now be able to teleport right infront of you to attack you, so keep dodging and moving all the time.
If you ever have successfully beaten Gehrman, the Great One will appear: the Moon Presence. Since you’ve killed the hunter’s Dream’s guardian, the Moon Presence shall cripple you and make you the Dream’s new watcher—trapped forever in the Hunter’s Dream.