Work detail

Terrorism and market risk assessment

Author: Mgr. Jean Lacroix
Year: 2015 - summer
Leaders:
Consultants:
Work type: Masters
Language: English
Pages: 77
Awards and prizes:
Link: https://is.cuni.cz/webapps/zzp/detail/146172/
Abstract: Terrorist attacks are one of the best examples of fast evolving
institutional framework. In that context investors are impacted by
a lot of pieces of information in a limited period of time. This
disturbs the trading behavior and consequently the distribution of
returns on the period following the attack (the information was
not predicted and directly affects the investment choices). The
present thesis focuses on the risk aspect of such disturbances. If
terrorist attacks reshape the distribution of returns, it may modify
the risk measures (multivariate and univariate). The particularity
of the change in distribution implies that the observed translation
into financial measures of risk will not be equal among all
indicators. First a distinction exists between univariate and
multivariate measures but also among univariate measures (as
some of them better report the impact of kurtosis or skewness in
the sample). Finally observations of these evolutions of risks
measures are useful tools to determine a nomenclature of
countries with respect to their reactions towards terrorist risk and
more globally fast changing geopolitical framework. Such a
comparison also allows for studying the particularity of returns’
distribution after a terrorist attack.

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