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Type Dissertation
Scope Discipline-based scholarship
Title Assessing and managing operational risk with a special emphasis on terrorism risk
Organization Unit
Authors
  • Ganna Reshetar
Supervisors
  • Marc Chesney
  • Rajna Gibson
Language
  • English
Institution University of Zurich
Faculty Faculty of Economics, Business Administration and Information Technology
Number of Pages 155
Date 2008
Abstract Text The objective of this thesis is to consider different risk management issues in relation to operational risk with a special emphasis on terrorism risk. Our motivation to implement research in this particularly challenging area of risk management is due to the increasing magnitude of operational losses over the last decade and their negative effect on financial industry. This thesis contributes to the existing research on operational risk in several ways. First, our research suggests a model that addresses the issue of dependence between operational losses and how it can be accounted for in the value of capital charge for operational risk. Second, we provide a better understanding of the impact of a particular type of operational risk event, specifically of terrorist attacks . As evidenced by the 9/11 attacks, this risk can be catastrophic and can have negative consequences on the behavior of financial markets. We implement empirical analysis of the impact of terrorist attacks on stock, bond and commodity markets and suggest possible diversification strategies of terrorism risk. Finally, we contribute to the area of operational risk transfer, by developing a model for pricing of a multiple-event coupon paying CAT bond. The bond that we consider covers exposure to catastrophic risk such as natural and man-made disasters, including terrorist events.
Other Identification Number urn:nbn:ch:bel-294556; merlin-id:545
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Additional Information Dissertation for the Faculty of Economics, Business Administration and Information Technology of the University of Zurich