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Risk Assessment Techniques for Split Capital Investment Trusts
(Management School and Economics. The University of Edinburgh, 2003)
The split capital investment trust crisis has 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 ...
Hidden Risks In The CDO - Squared Market
(Management School and Economics. The University of Edinburgh, 2005)
We show that there are risks (default location risk and overlap risk) unique to CDO-squared structures. These risks may not be well-understood by investors and credit rating agencies. As a result, the tranche of a CDO-squared ...
Developing short-selling on the mainland Chinese equity markets
(Management School and Economics. The University of Edinburgh, 2006)
We review the theory and evidence on liquidity, price discovery and market efficiency associated with securities lending and short-selling. We also study the efforts by the Hong Kong and Taiwan stock exchanges to develop ...