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- W2786700171 abstract "The objective of this thesis is to consider different riskmanagement 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 contributesto 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." @default.
- W2786700171 created "2018-02-23" @default.
- W2786700171 creator A5087186591 @default.
- W2786700171 date "2008-04-01" @default.
- W2786700171 modified "2023-09-24" @default.
- W2786700171 title "Assessing and managing operational risk with a special emphasis on terrorism risk" @default.
- W2786700171 doi "https://doi.org/10.5167/uzh-11587" @default.
- W2786700171 hasPublicationYear "2008" @default.
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