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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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Communications Intercultural Aspect in Working Environment of a chosen Firm
Jenšovský, Šimon ; Hiršová, Miloslava (advisor) ; Balgová, Dagmar (referee)
The thesis covers cultural differences among employees of a multi-national corporation in relation to communication and task execution. Thesis aims to construct a theoretical framework to map these cultural differences and apply gathered insights in practical research targeting the effect of cultural differences on communication and task execution. Research questionnaire replicates Hofstede's work and also builds on practical application of Hofstede's work by several authors. Research data were gathered via digital questionnaire. Data refinement and evaluation was conducted using frequency description and statistical methods of structure comparison. The thesis provides a set of practical recommendations as a result. These are aimed to help reduce or possibly eliminate negative effects of cultural differences in the workplace.
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Czech administrative justice from the viewpoint of comparison with French and German system
Kukačová, Sára ; Matula, Miloš (advisor) ; Louda, Tomáš (referee)
Diploma thesis is devoted to the theme of Czech administrative justice, its current form and comparison with chosen models of European administrative justice, that is with French and German model. Goal of the thesis is on the basis of description and analysis of these models of administrative justice to get the comparison and evaluation of the differences and positive and negative elements of chosen models in relation to Czech system of administrative justice. The first part focuses on rather theoretical side and the introduction to this problem. Fundamental terms and characteristics are described and the concept of administrative justice is put to a broader scope. There is also mentioned the historical development of administrative justice in the Czech lands from year 1848 until the present day. The second part is devoted to the study of specific current legislation of chosen countries - Czech Republic, France and Germany. On this foundation is in the closing part accomplished the analysis and comparison of particular systems of administrative justice together with stating their mutual positives and negatives.
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Profile and reflections of dance department of the Juilliard school
Červinka, Marek ; JANEČEK, Václav (advisor) ; KŘENKOVÁ, Mahulena (referee)
This bachelor thesis, called Profile and Reflection of Juilliard School’s Dance Division, first of all briefly touches the key events in history of both classical and modern dance in the first half of the twentieth century and then approaches the history of The Bennington School of the Dance which is considered to be the Juilliard’s predecessor. After a general historical overview, descriptions of the educational goals and study programs, is the rest of the work focussing on Juilliard’s Dance Division in detail. Its past accomplishments, famous teachers, study programs and the admission procedures are discussed. All these information, including the interviews with Jarek Cemerek, a Czech choreographer and dance teacher, and with Brennan Clost, a current student of the fourth year at The Juilliard School, were used as a final reflection of Juilliard’s Dance Division. The comparison of Czech dance schools with The Juilliard School is comprised in this section.
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Animal learning
Macková, Emilie ; Chmelíková, Eva (advisor)
The Work is Summary of the Overal of Animal Learning. Overwiev of Learning Methods and Comparison of Different Methods. Summary of Available Information on Animal Learning. Most Detailed Methodology in Processed Work with Mammals.
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Comparison of the Views and Attitudes of Pupils at Secondary Vocational Schools in the Field of Substance Abuse
Mazánková, Michaela ; Jirsáková, Jitka (advisor) ; Miroslava, Miroslava (referee)
Bachelor thesis entitled Comparison of the views and attitudes of pupils at secondary vocational schools in the field of substance abuse deals with a comparison of opinions and attitudes of pupils at secondary schools and vocational schools Obchodní akademie a Hotelová škola Havlíčkův Brod. The first part is devoted to general characteristics of risky behavior, causes of its origin, different types and prevention of risk behaviors . Analytical part is devoted to evaluation of the questionnaire and the results are compared opinions and attitudes of students of graduation schools and vocational schools, and point to the simultaneous occurrence of risk behavior studied in high school. Based on data evaluation are at the end of the work proposed specific preventive measures specifically for students of graduation schools and vocational schools.
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Stability and convergence of numerical computations
Sehnalová, Pavla ; Dalík, Josef (referee) ; Horová, Ivana (referee) ; Kunovský, Jiří (advisor)
Tato disertační práce se zabývá analýzou stability a konvergence klasických numerických metod pro řešení obyčejných diferenciálních rovnic. Jsou představeny klasické jednokrokové metody, jako je Eulerova metoda, Runge-Kuttovy metody a nepříliš známá, ale rychlá a přesná metoda Taylorovy řady. V práci uvažujeme zobecnění jednokrokových metod do vícekrokových metod, jako jsou Adamsovy metody, a jejich implementaci ve dvojicích prediktor-korektor. Dále uvádíme generalizaci do vícekrokových metod vyšších derivací, jako jsou např. Obreshkovovy metody. Dvojice prediktor-korektor jsou často implementovány v kombinacích modů, v práci uvažujeme tzv. módy PEC a PECE. Hlavním cílem a přínosem této práce je nová metoda čtvrtého řádu, která se skládá z dvoukrokového prediktoru a jednokrokového korektoru, jejichž formule využívají druhých derivací. V práci je diskutována Nordsieckova reprezentace, algoritmus pro výběr proměnlivého integračního kroku nebo odhad lokálních a globálních chyb. Navržený přístup je vhodně upraven pro použití proměnlivého integračního kroku s přístupe vyšších derivací. Uvádíme srovnání s klasickými metodami a provedené experimenty pro lineární a nelineární problémy.
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On-line Data Analysis Based on Visual Codebooks
Beran, Vítězslav ; Honec, Jozef (referee) ; Sojka, Eduard (referee) ; Zemčík, Pavel (advisor)
Práce představuje novou adaptabilní metodu pro on-line vyhledávání videa v reálném čase pomocí vizuálních slovníků. Nová metoda se zaměřuje na nízkou výpočetní náročnost a přesnost vyhledání při on-line použití. Metoda vychází z technik využitých u statických vizuálních slovníků. Tyto běžné techniky jsou upraveny tak, aby byly schopné se adaptovat na proměnlivá data. Postupy, které toto u nové metody řeší, jsou - dynamická inverzní frekvence dokumentů, adaptabilní vizuální slovník a proměnlivý invertovaný index. Navržený postup byl vyhodnocen na úloze vyhledávání videa a prezentované výsledky ukazují, jaké vlastnosti má adaptabilní metoda ve srovnání se statickým přístupem. Nová adaptabilní metoda je založena na konceptu plovoucího okna, který definuje, jakým způsobem se vybírají data pro adaptaci a ke zpracování. Společně s konceptem je definován i matematický aparát, který umožňuje vyhodnotit, jak koncept nejlépe využít pro různé metody zpracování videa. Praktické využití adaptabilní metody je konkrétně u systémů pro zpracování videa, kde se očekává změna v charakteru vizuálních dat nebo tam, kde není předem známo, jakého charakteru vizuální data budou.
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Characteristics of the working behavior of Czechs and Ukrainians
BYKOVA, Sofia
The aim of this work is to create a transparent and comparable characteristics of the work behavior phenomenon within the cultures of those states - what is common and what is different between them, or maybe incompatible .It is supposed to have some analysis of possible conflicts and their connection with the mentality. The primary reason of this aim choosing is the specialty I study. My work contains information that could be interesting and useful not only for me and my future job, but also for managers and other employees. Overview of examined issues contains specific points, such as the fundamentals of economic psychology and behavioral economics (symbiosis of psychological and economic opinion on motivation and rationality of individuals), theories of motivation and reaction to different occurrence, characteristic of the term "mentality", general points about the human impact of the world economy. For realizing the goals of my work the following hypotheses have been proposed - Czech and Ukrainian mentality have significant differences, though these cultures are close. - Ukrainian and Czech employees are able to work effectively in a team and find a "common language" in the workplace. The difference in mentality does not obstruct on it. - Employers could be interested in the Ukrainian employees taking into account their high concernment and motivation. All three of the hypotheses were confirmed by observed data and comparison of mentality characteristics. Czechs are often tolerant to other cultures, moreover Ukrainian culture is not much different and does not create difficulties in the working relationship. Based on the fact that the chosen company has no conflicts associated with work behavior and differences in mentality, it's hard to define my contribution to this organization work.
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Tool to assess the landscape connectivity in different area units and dispersal distances
Chrumko, Adam ; Šímová, Petra (advisor) ; Krčílková, Šárka (referee)
The purpose of this diploma thesis is to introduce a basic summary of landscape connectivity calculations mainly focusing on the Conefor program and the effect of input parameters on output landscape connectivity indices. One of the main goals is to create an ArcMap Toolbox to simplify the calculation of landscape connectivity indices for many areas of interest. Basic squares that cover the whole Czech Republic were chosen as main areas of interest. These units are used for example for mapping the abundance of flora and fauna. The same indices were calculated for NUTS3 and LAU1 areas in order to compare effect of size of input areas. This thesis provides a simple solution in the form of a Python Toolbox for Esri ArcMap to calculate overall indices of landscape connectivity through a Conefor command line application for a large number of input areas. Forest connectivity for different dispersal distances and input areas of interest was calculated with this Toolbox. As an input vector layer of forests, CORINE land cover data from mapping period 1990, 2000, 2006 and 2012 were used. Input dispersal distances were chosen in the range from 50 to 50.000 meters in order to comprehensively describe their effects on indices. Resultant forest and connectivity changes are represented by cartograms; the effect of input data on output indices is shown in graphs.
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