Despite mandatory capital charges under the Solvency II framework, this thesis examines whether operational risk events are value-relevant for equity investors in large, diversified insurance groups. Using a triangulation strategy across three information channels, it tests whether equity markets respond to publicly disclosed loss settlements, confidential internal loss realisations, or adverse media coverage. Study A conducts an event study of 36 operational loss disclosures across eight global insurers (1998–2024), finding no statistically significant abnormal returns (CAR[−1, +1] = −0.238%, p = 0.295) and no cross-sectional relationship between loss size and market reaction. Study B tests whether Allianz SE’s quarterly internal losses correlate with its idiosyncratic equity returns across 116 quarters (1996–2024), finding no relationship in any specification. Study C finds no effect of adverse media coverage on Allianz’s idiosyncratic volatility; the single significant result, that regulatory news reduces conditional variance, reflects uncertainty resolution rather than new information. A Monte Carlo power analysis confirms that each null is statistically informative. Had effects of economically meaningful magnitude existed, the tests would have detected them with 80% probability. The unifying explanation is structural: the events in the sample are idiosyncratic and consistent with a stationary loss process the market has already priced, yielding a signal-to-noise ratio of 0.003, approximately 350 times smaller than the normal quarterly fluctuation in earnings the losses would need to move. Two anomalous events involving criminal prosecution and active management concealment demonstrate that markets can react to operational risk, but only when an event signals a departure from the expected loss regime rather than a draw from it. The thesis makes three contributions. First, triangulating across all three information channels for the same firm enables a clean test: a null in public disclosures alone could reflect information asymmetry, but a null across all three channels points to aggregate immateriality. Second, a signal-to-noise framework provides a mathematical account of why the market’s apparent indifference is structurally rational. Third, a formal Monte Carlo power analysis converts each null into an upper bound on the true effect, establishing the findings as evidence of absence rather than absence of evidence.     «

Despite mandatory capital charges under the Solvency II framework, this thesis examines whether operational risk events are value-relevant for equity investors in large, diversified insurance groups. Using a triangulation strategy across three information channels, it tests whether equity markets respond to publicly disclosed loss settlements, confidential internal loss realisations, or adverse media coverage. Study A conducts an event study of 36 operational loss disclosures across eight global...     »