Risk Assessment Techniques for Split Capital Investment Trusts

A. T. Adams and J. B. Clunie

Annals of Actuarial Science, 2006, vol. 1, issue 1, 7-36

Abstract: The split capital investment trust crisis brought into focus the need for more reliable risk assessment techniques for shares in the sector. We discuss the strengths and weaknesses of traditional pricing and risk description measures for split capital investment trusts (e.g. gross redemption yield, cover, hurdle rates) and ways of making these more useful. We then examine the application of traditional option pricing techniques and discuss the problems encountered in this approach. Finally, we propose the use of stochastic modelling to deal more effectively with the complexities involved in both pricing shares and understanding their risks.

Date: 2006
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cup:anacsi:v:1:y:2006:i:01:p:7-36_00

Access Statistics for this article

More articles in Annals of Actuarial Science from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Kirk Stebbing ().