Terrorism and market risk assessment

Abstract

Charles University in Prague Faculty of Social Sciences Institute of Economic Studies Bibliographic Record of a an Academic Thesis Title in the language of the thesis (as recorded in SIS) Terrorism and market risk assessment Subtitle Translation of the title into English/Czech (as recorded in SIS) Terrorism and market risk assessment Type of the Thesis Master's thesis Author: Bc. Jean Lacroix Year 2015 Advisor of the thesis Mgr Magdalena Patakova Number of pages 77 Awards Specialization Economics (CFS) Abstract in Czech Abstract in English 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...