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Use of Interest Rate Models for Interest Rate Risk Management in the Czech Financial Market Environment
Cíchová Králová, Dana ; Arlt, Josef (advisor) ; Cipra, Tomáš (referee) ; Witzany, Jiří (referee)
The main goal of this thesis is to suggest an appropriate approach to interest rate risk modeling in the Czech financial market environment in various situations. Three distinct periods are analyzed. These periods, which are the period before the global financial crisis, period during the financial crisis and in the aftermath of the global financial crisis and calming subsequent debt crisis in the eurozone, are characterized by different evaluation of liquidity and credit risk, different relationship between financial variables and market participants and different degree of market regulations. Within this goal, an application of the BGM model in the Czech financial market environment is crucial. Use of the BGM model for the purpose of predicting a dynamics of a yield curve is not very common. This is firstly due to the fact that primary use of this model is a valuation of interest rate derivatives while ensuring the absence of arbitrage and secondly its application is relatively difficult. Nevertheless, I apply the BGM model to obtain predictions of the probability distributions of interest rates in the Czech and eurozone market environment, because its complexity, direct modeling of a yield curve based on market rates and especially a possibility of parameter estimation based on current swaptions volatilities quotations may lead to a significant improvement of predictions. This improvement was also confirmed in this thesis. Use of swaptions volatilities market quotations is especially useful in the period of unprecedented mone- tary easing and increased number of central banks and other regulators interventions into financial markets that occur after the financial crisis, because it reflects current market expectations which also include future interventions. As a consequence of underdevelopment of the Czech financial market there are no market quotations of Czech koruna denominated swaptions volatilities. I suggest their approximations based on quotations of euro denominated swaptions volatilities and also using volatilities of koruna and euro forward rates. Use of this approach ensures that predictions of the Czech yield curve dynamics contain current market expectations. To my knowledge, any other author has not presented similar application of the BGM model in the Czech financial market environment. In this thesis I further predict a Czech and Euro area money market yield curve dynamics using the CIR and the GP models as representatives of various types of interest rates models to compare these predictions with BGM predictions. I suggest a comprehensive system of three criteria, based on comparison of predicti- ons with reality, to describe a predictive power of selected models and an appropria- teness of their use in the Czech market environment during different situations in the market. This analysis shows that predictions of the Czech money market yield curve dynamics based on the BGM model demonstrate high predictive power and the best 8 quality in comparison with other models. GP model also produces relatively good qua- lity predictions. Conversely, predictions based on the CIR model as a representative of short rate model family completely failed when describing reality. In a situation when the economy allows negative rates and there is simultaneously a significant likelihood of their implementation, I recommend to obtain predictions of Czech money market yield curve dynamics using GP model which allows existence of negative interest rates. This analysis also contains a statistical test for validating the predictive power of each model and information on other tests. Berkowitz test rejects a hypothesis of accurate predictions for each model. However, this fact is common in real data testing even when using relatively good model. This fact is especially caused by difficult fulfilment of test conditions in real world. To my knowledge, such an analysis of the predictive power of selected interest rate models moreover in the Czech financial market environment has not been published yet. The last goal of this thesis is to suggest an appropriate approach to obtaining pre- dictions of Czech government bonds risk premium dynamics. I define this risk premium as a difference between government bond yields and fixed rate of CZK IRS with the same length. I apply the GP model to describe the dynamics of this indicator of the Czech Republic credit risk. In order to obtain a time series of the risk premium which are necessary for estimation of GP model parameters I firstly estimate yield curves of Czech government bonds using Svensson model for each trading day since 2005. Resulting si- mulations of risk premium show that the GP model predicts the real development of risk premiums of all maturities relatively well. Hence, the proposed approach is suitable for modeling of Czech Republic credit risk based on the use of information extracted from financial markets. I have not registered proposed approach to risk premium modeling moreover in the Czech financial market environment in other publications.
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Progress, outcome, future scenarios and threats of multilateral trading system (WTO)
Kozáková, Michaela ; Štěrbová, Ludmila (advisor) ; Trojanová, Kamila (referee)
This diploma thesis aims to set a complex view on the current process of multilateral trade agreements under the World Trade Organization and point out the direction of DOHA negotiations. The emphasis is put on the Tenth Ministerial Conference, which took place in Nairobi in December 2015. Stances and demands of the WTO member are analysed step by step. The thesis considers threats that possibly come from plurilateral, bilateral and regional agreements and evaluate a potential risk for the multilateral trading system. For this purpose, the thesis is divided into four chapters. First chapter examine theoretical introduction to WTO and particularly to Development Doha Agenda, which is important for subsequent understanding of actual issues. Second part analyses in detail the negotiations in main negotiating parts of DDA before and after a summer break. Following chapter fluently continues with analyse of the progress after summer break and points out some current questions about preparations for MC10 and expectations. Space is also given to the MC10 and its outcomes. Finally, the last chapter gives a thought to future scenarios concerning function of the WTO.
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Analysing company's behaviour and communication on social networks
Němec, Milan ; Molnár, Zdeněk (advisor) ; Jelínek, Ivan (referee)
This thesis focuses on measuring company´s communication and behaviour on social networks. To capture the interaction between the company and its users the thesis uses web analytics tools. Therefore, the main objective of the thesis is analysis of these tools. To achieve this goal, the thesis characterizes social networks and their marketing opportunities for business promotion. Thanks to this, needs of using these tools is identified. The needs are: competitive analysis, optimizing communication, measuring achievement of objectives or detection competitive viral content. Research questions were determined and then analysis tools found answers to research questions. It was found that the tools provide various views of data and create a complete system for measuring and analysing behaviour and communication companies on social networks. The results were validated in a case study focused on the Facebook profile of the University of Economics in Prague. The study analysed the interaction profile of the school and its users and compared with others schools. In the results the analysis tools are validated and it is designed recommendation for improve engagement. This thesis revealed strengths and weaknesses of tools for measuring company´s communication and behaviour on social networks. It was found that these tools have wide range of use. They can be used for understanding the company's profile, its users, for purposes of competitive analysis, monitor corporate goals and optimize communications on social networks.
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Supported Emplayment from the Perspective of Emplayers
MYŠÁKOVÁ, Hana
The philosophy of supported employment in the Czech Republic has been developing for over than twenty years. Nevertheless this service is still neglected and only a few non-profit organizations put it into practice. The service is not legislatively based and also the society does not have a clear opinion on employment of people with disabilities. Current labour market situation is not advantageous at all. Therefore some support of disabled people looking for a job is becoming more necessary and required. The employers are an important part of the whole problems, because their attitude to the idea of supported employment plays a significant role. The bachelor's thesis "Supported Employment from the Perspective of Employers" has pretentions to look into supported employment from the employers' point of view. They are not active initiators of the service, but they are important participants for its successful realization. The theoretical part of the thesis tries to describe the basic problems. It covers the service of supported employment from historical development to its importance. It focuses on special characteristics of disabilities and their social impact on human beings. The closing part is dedicated to working opportunities for people with disabilities in the circumstances of current legislative and economic situation. The practical part is written in the form of a qualitative research. The method of questioning and semi-structured interviews were used for the purposes of the research. Eight people were chosen intentionally for the survey. The data gained from the interviews were analysed with the method of open coding. The main aim of the thesis was to map out empoyers' experience with the service of supported employment. Motivation of employers to put this service into practice was the next part of the research. The question was: "What reasons for realization of supported employment do predominate by employers?" The research showed the most frequent facts, which predestine the integration possibility of disabled people in open labour market fundamentally. After the interviews and answering the questions of the research, it was possible to describe the employers' experience with the supported employment service and also their main incentives for its realization. It was found out that employers' experience with the supported employment service is quite limited. Employers often get to know it through the agency for supported employment, which is not only the initiator of cooperation, but it also plays an important role when a disabled person is being employed. An important point of successful employment is often how the emploeyer is satisfied with the agency. The employment of disabled people often brings certain risks connected with the limits of disabilities. Employers, who enable disabled people to work, are aware of that. The impulse for employment can vary from financial advantages, company philantrophy to personal solidarity of the employer. Social responsibility of the company is becoming a trend, that many employers start to know. But it can be presumed to influence the employment of more people with disabilities and at the same time the looking up the supported employment service by the employers. This bachelor's thesis can be contributive to understanding the importance of employment for disabled people's living. It brings information about the employers' experience with the realization of supported employment and motivation to the realization. It can also help to uncover integration obstacles of people with disabilities in open labour market.
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Effect of snowpack on runoff generation during rain on snow event.
Juras, Roman ; Máca, Petr (advisor) ; Ladislav , Ladislav (referee)
During a winter season, when snow covers the watershed, the frequency of rain-on-snow (ROS) events is still raising. ROS can cause severe natural hazards like floods or wet avalanches. Prediction of ROS effects is linked to better understanding of snowpack runoff dynamics and its composition. Deploying rainfall simulation together with hydrological tracers was tested as a convenient tool for this purpose. Overall 18 sprinkling experiments were conducted on snow featuring different initial conditions in mountainous regions over middle and western Europe.
Dye tracer brilliant blue (FCF) was used for flow regime determination, because it enables to visualise preferential paths and layers interface. Snowpack runoff composition was assessed by hydrograph separation method, which provided appropriate results with acceptable uncertainty. It was not possible to use concurrently these two techniques because of technical reasons, however it would extend our gained knowledge. Snowmelt water amount in the snowpack runoff was estimated by energy balance (EB) equation, which is very efficient but quality inputs demanding. This was also the reason, why EB was deployed within only single experiment.
Timing of snowpack runoff onset decrease mainly with the rain intensity. Initial snowpack properties like bulk density or wetness are less important for time of runoff generation compared to the rain intensity. On the other het when same rain intensity was applied, non-ripe snowpack featuring less bulk density created runoff faster than the ripe snowpack featuring higher bulk density. Snowpack runoff magnitude mainly depends on the snowpack initial saturation. Ripe snowpack with higher saturation enabled to generate higher cumulative runoff where contributed by max 50 %. In contrary, rainwater travelled through the non-ripe snowpack relatively fast and contributed runoff by approx. 80 %.
Runoff prediction was tested by deploying Richards equation included in SNOWPACK model. The model was modified using a dual-domain approach to better simulate snowpack runoff under preferential flow conditions. Presented approach demonstrated an improvement in all simulated aspects compared to the more traditional method when only matrix flow is considered.
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Arctic tundra dendrochronology
Lehejček, Jiří ; Svoboda, Miroslav (advisor) ; Monika, Monika (referee)
Historically unprecedented environmental change in the Arctic ecosystems is often given into the context of its past and possible future development. In the region where instrumental meteorological observations are scarce archives need to be investigated in order to address this issues. The comprehensive synthesis one of the archives: long-live circumpolar evergreen Juniperus communis L. shrub is presented here. 20 individuals from southwest Greenland were investigated at the cell anatomy level to understand the ecology of the species and unhide its potential for environmental and climate reconstructions. The findings are as follows:
i) Stop of exponential cross-sectional conduit-lumen widening with increasing age is in contrast with conduit-lumen nature of trees. This indicates that shrubs do not need to saturate their water and nutrient demands via traits of classical hydraulic conductivity law but rather developed different mechanisms. Extreme weather conditions result in prostrate growth form. However, different weather factors probably influence shrub growth differently: While snow and wind act mechanically (a), temperature influences the form of growth physiologically (b). a) So long as the young shrub stem has high resilience to bend back to an upright position after snow melt and so long as it can withstand the wind during the vegetation season it most likely grows upright and the conduit-lumens widen. b) Temperature, resp. freeze-thaw events are responsible for the shrubs preference of safety (finite size of conduit-lumens) over hydraulic efficiency, thus not allowing for more primary growth. All of these (and other) factors are apparently working together and the transition of vertical to more horizontal growth is gradual. As a consequence, the conduit-lumen sizes may not have to be further increased (due to ecophysiological restrictions possibly also must not) because water is no longer transported against gravity.
ii) Observed age/growth trend has to be taken into consideration for further employment of the wood anatomical parameter in paleoenvironmental studies. That is, shrub cell parameters can only be used for this purposes if correctly detrended. This allows for more accurate as well as longer reconstructions because youth trend was often neglected in reconstructions based on shrub annual-rings.
iii) The south-western Greenland Ice-Sheet (GrIS) melt rates reconstruction is presented for the whole 20th century. This part of GrIS is considered as the most active. According to the presented reconstruction current GrIS melt rates are not uncommon for the last century being comparable to first decades of 20th century. This finding is particularly important contribution to the debate on Atlantic meridional overturning circulation (AMOC). Too high fresh water inputs into the Northern Atlantic from GrIS melting may slow down or even stop the AMOC which would result in more continental climate in Europe. Presented results indicate that this threshold lies higher than observed current melt rates of GrIS.
Fascinating Juniperus comunnis species has shown to be able to address many ecological as well as environmental open questions and due to its longevity and abundant distribution has a great potential to become an important player in the Arctic research.
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Non-invasive methods for sex and steroid homones determination in gibbons of the genus Nomascus
Bolechová, Petra ; Bartoš, Luděk (advisor) ; Pavel, Pavel (referee)
The gibbon primates of the family Nomascus are classified as critically endangered species, and, to date, basic understanding and information about their biology is missing. With regard to the status of these animals in the wild and captive populations in zoos, being familiar with their reproduction, may improve captive breeding programs. Data collection in this study was to be carried out by the practical use of non-invasive methods (polymerase chain reaction for DNA extraction and enzyme immunoassays), using faecal samples for analysis. The first method, polymerase chain reaction, was used for sex determination in juveniles, because of their coat colour and visual similarity of secondary sex characteristic in both sexes; it is not possible to determinate sex without handling the animal. Another main purpose of this study is to try and answer the hypothesis regarding the ovarian cycle of females, factors influencing their hormone concentration and also the onset of sexual maturity in females and the timing of their fur colour change. Hypotheses were checked by monitoring the concentration of progesterone and oestrogen faecal metabolites and by evaluation of the composition of breeding groups of gibbons with the ZOO influence. During a four year period (from 2010 till 2014), there were a total of 51 animals analysed from 16 different zoos with a faecal sample count totalling 1618 samples. The results confirmed the use of noninvasive methods for sex determination, and thus ensuring the maximum welfare standards. Endocrinological analysis confirmed the hypothesis of the influence of the environment (ZOO) to the hormone concentrations and female´s pregnancy effect in conjunction with her age on the final results of the male - father hormone concentrations. The initial information in this study is the confirmation of the onset of ovarian cycle in young females without connection to their fur colour change and a significant factor of a mother´s impact and her territoriality. This study is the first to present a long term monitoring of ovarian cycles in females and hormone concentrations of other individuals, both male and female, and from various age groups. The results allow us to understand the possible impact of zoo environments on the reproductive status of these gibbons and contribute to the general improvement of breeding management.
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New Methods for Increasing Efficiency and Speed of Functional Verification
Zachariášová, Marcela ; Dohnal, Jan (referee) ; Steininger, Andreas (referee) ; Kotásek, Zdeněk (advisor)
Při vývoji současných číslicových systémů, např. vestavěných systému a počítačového hardware, je nutné hledat postupy, jak zvýšit jejich spolehlivost. Jednou z možností je zvyšování efektivity a rychlosti verifikačních procesů, které se provádějí v raných fázích návrhu. V této dizertační práci se pozornost věnuje verifikačnímu přístupu s názvem funkční verifikace. Je identifikováno několik výzev a problému týkajících se efektivity a rychlosti funkční verifikace a ty jsou následně řešeny v cílech dizertační práce. První cíl se zaměřuje na redukci simulačního času v průběhu verifikace komplexních systémů. Důvodem je, že simulace inherentně paralelního hardwarového systému trvá velmi dlouho v porovnání s během v skutečném hardware. Je proto navrhnuta optimalizační technika, která umisťuje verifikovaný systém do FPGA akcelerátoru, zatím co část verifikačního prostředí stále běží v simulaci. Tímto přemístěním je možné výrazně zredukovat simulační režii. Druhý cíl se zabývá ručně připravovanými verifikačními prostředími, která představují výrazné omezení ve verifikační produktivitě. Tato režie však není nutná, protože většina verifikačních prostředí má velice podobnou strukturu, jelikož využívají komponenty standardních verifikačních metodik. Tyto komponenty se jen upravují s ohledem na verifikovaný systém. Proto druhá optimalizační technika analyzuje popis systému na vyšší úrovni abstrakce a automatizuje tvorbu verifikačních prostředí tím, že je automaticky generuje z tohoto vysoko-úrovňového popisu. Třetí cíl zkoumá, jak je možné docílit úplnost verifikace pomocí inteligentní automatizace. Úplnost verifikace se typicky měří pomocí různých metrik pokrytí a verifikace je ukončena, když je dosažena právě vysoká úroveň pokrytí. Proto je navržena třetí optimalizační technika, která řídí generování vstupů pro verifikovaný systém tak, aby tyto vstupy aktivovali současně co nejvíc bodů pokrytí a aby byla rychlost konvergence k maximálnímu pokrytí co nejvyšší. Jako hlavní optimalizační prostředek se používá genetický algoritmus, který je přizpůsoben pro funkční verifikaci a jeho parametry jsou vyladěny pro tuto doménu. Běží na pozadí verifikačního procesu, analyzuje dosažené pokrytí a na základě toho dynamicky upravuje omezující podmínky pro generátor vstupů. Tyto podmínky jsou reprezentovány pravděpodobnostmi, které určují výběr vhodných hodnot ze vstupní domény. Čtvrtý cíl diskutuje, zda je možné znovu použít vstupy z funkční verifikace pro účely regresního testování a optimalizovat je tak, aby byla rychlost testování co nejvyšší. Ve funkční verifikaci je totiž běžné, že vstupy jsou značně redundantní, jelikož jsou produkovány generátorem. Pro regresní testy ale tato redundance není potřebná a proto může být eliminována. Zároveň je ale nutné dbát na to, aby úroveň pokrytí dosáhnutá optimalizovanou sadou byla stejná, jako u té původní. Čtvrtá optimalizační technika toto reflektuje a opět používá genetický algoritmus jako optimalizační prostředek. Tentokrát ale není integrován do procesu verifikace, ale je použit až po její ukončení. Velmi rychle odstraňuje redundanci z původní sady vstupů a výsledná doba simulace je tak značně optimalizována.
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Packet Classification Algorithms
Puš, Viktor ; Lhotka,, Ladislav (referee) ; Dvořák, Václav (advisor)
Tato práce se zabývá klasifikací paketů v počítačových sítích. Klasifikace paketů je klíčovou úlohou mnoha síťových zařízení, především paketových filtrů - firewallů. Práce se tedy týká oblasti počítačové bezpečnosti. Práce je zaměřena na vysokorychlostní sítě s přenosovou rychlostí 100 Gb/s a více. V těchto případech nelze použít pro klasifikaci obecné procesory, které svým výkonem zdaleka nevyhovují požadavkům na rychlost. Proto se využívají specializované technické prostředky, především obvody ASIC a FPGA. Neméně důležitý je také samotný algoritmus klasifikace. Existuje mnoho algoritmů klasifikace paketů předpokládajících hardwarovou implementaci, přesto však tyto přístupy nejsou připraveny pro velmi rychlé sítě. Dizertační práce se proto zabývá návrhem nových algoritmů klasifikace paketů se zaměřením na vysokorychlostní implementaci ve specializovaném hardware. Je navržen algoritmus, který dělí problém klasifikace na jednodušší podproblémy. Prvním krokem je operace vyhledání nejdelšího shodného prefixu, používaná také při směrování paketů v IP sítích. Tato práce předpokládá využití některého existujícího přístupu, neboť již byly prezentovány algoritmy s dostatečnou rychlostí. Následujícím krokem je mapování nalezených prefixů na číslo pravidla. V této části práce přináší vylepšení využitím na míru vytvořené hashovací funkce. Díky použití hashovací funkce lze mapování provést v konstantním čase a využít při tom pouze jednu paměť s úzkým datovým rozhraním. Rychlost tohoto algoritmu lze určit analyticky a nezávisí na počtu pravidel ani na charakteru síťového provozu. S využitím dostupných součástek lze dosáhnout propustnosti 266 milionů paketů za sekundu. Následující tři algoritmy uvedené v této práci snižují paměťové nároky prvního algoritmu, aniž by ovlivňovaly rychlost. Druhý algoritmus snižuje velikost paměti o 11 % až 96 % v závislosti na sadě pravidel. Nevýhodu nízké stability odstraňuje třetí algoritmus, který v porovnání s prvním zmenšuje paměťové nároky o 31 % až 84 %. Čtvrtý algoritmus kombinuje třetí algoritmus se starším přístupem a díky využití několika technik zmenšuje paměťové nároky o 73 % až 99 %.
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Test Application Methodology Based On the Identification of Testable blocks
Herrman, Tomáš ; Plíva, Zdeněk (referee) ; Racek, Stanislav (referee) ; Kotásek, Zdeněk (advisor)
The PhD thesis deals with the analysis of digital systems described on RT level. The methodology of data paths analysis is decribed, the data path controller analysis is not solved in the thesis. The methodology is built on the concept of Testable Block (TB) which allows to divide digital component to such segments which can be tested through their inputs/outputs, border registers and primary inputs/outputs are used for this purpose. As a result, lower number of registers is needed to be included into scan chain - border registers are the only ones which are scanned. The segmentation allows also to reduce the volume of test vectors, tests are generated for segments, not for the complete component. To identify TBs, two evolutionary algorithms are used, they operate on TB formal model which is also defined in the thesis.
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