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National Repository of Grey Literature 2 records found  Search took 0.00 seconds. 
Analysis of impact of Fundamental news on movement of index VIX
 Koráb, Pavel ; Fičura, Milan (advisor) ; Vacek, Vladislav (referee)
The thesis investigates the impact of the fundamental news announcements on the movements of the VIX volatility index and the VIX Futures prices. The theoretical part of the thesis explains the construction of the VIX Index and the VIX Futures, describes the most important fundamental news for the US economy and presents a methodology for the modelling of the relationship between the news announcements and the VIX index movements with a simple linear regression model. In the empirical part of the thesis, we analyze the impact of 105 US fundamental news, from the Reuters Eikon database, on the VIX Index movements on theday of the news announcements as well as on the subsequent day. We find a strong relationship between the surprise component of the news and the VIX Index movements on the day of the news announcement, with the statistically significant news explaining 5-10% of the total return variance (for news with small number of observations up to 30-50%) on the announcement day. In the second part of the empirical study, simple trading system is proposed in order to utilize the possible impact of the economic news on the next-day (after announcement) returns of VIX futures in order to achieve speculative profits. Although the models seem to possess some limited out-sample profitability for some of the news, the results are for most of the cases statistically insignificant and the potential profits from the news trading seem to be relatively low.
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Catastrophic risk in the insurance and new financial products and derivates for it´s solution
 Koráb, Pavel ; Daňhel, Jaroslav (advisor) ; Hanzlík, Karel (referee)
Focus of this thesis is on catastrophic events in the world in the last two decades, on large economic losses they had caused and it examines the issue of insurance and reinsurance market. The first part is focused on the definition of disaster in insurance, basic risk management methods and role of insurance and reinsurance companies. In the second part is examined the development of catastrophes number, extent of their impact and the development in the year 2011. There is also described run through and impact of several significant events in last ten years. The third part examines the area of alternate risk transfer to capital markets by catastrophe risk-linked securities.
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1 Koráb, Petr
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