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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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Support for Unemployed People Aged Under 30 Years at Entry to the Labor Market
ŠABARTOVÁ, Alžběta
The Bachelor Thesis deals with the problems of unemployment benefits for people at the age up to 30 when entering the employment market. Unemployment is currently one of the serious problems in the world. The reduction in the number of unemployed people is one of the political priorities. The meaning of work as a job is taking an irreplaceable position for the life within our culture. Job loss has a considerable influence on social as well as personal life of an individual. The age is playing a significant role when seeking a job. Especially the time connected with the beginning of the career. School leavers who apply for their first job are concerned. They have no working experience, no practice, and they have so far had no possibility to acquire the basic work habits. A disharmony between zero experience and excessive earnings demands belongs to other root causes of the lack of interest in giving work opportunity to school leavers. Employment Office plays an irreplaceable role for the mediation of job and the consultancy. To solve unemployment within each target group, active and passive labour policies are available. The situation of the specific target group is stimulated especially through single programs and projects. The theoretical part pays attention to the definition and objectification of the unemployment-related terms and the analysis of labour market in Ceske Budejovice. Observations of a number of authors who are dealing with these problems and the related issues are summarized herein. The empirical part is formed by observations from own investigation. Two job-related targets have been set. The first target is to analyse the ideas the young people aged up to thirty, living in the district of Ceske Budejovice, have of their employment. The other target is to analyse the employers´ ideas of giving work to school leavers and young people. In order to fulfil the above targets, two investigative questions have been put: 1: Young peoples´ ideas of earning possibilities are unrealistic. 2: Employers find the European Social Fund helpful in giving work to young people. For the purpose of answering the investigative questions a qualitative research method, namely a case study the study of a few cases was selected. Interviewing was chosen as the most suitable method of data gathering. Initially, ten participants aged up to thirty were interviewed. At the time of interviewing, all of the participants were registered at the Employment Office in Ceske Budejovice and were taking part in a retraining scheme arranged by the Employment Office. When talking with young people I found that their gross commencing salary is expected to amount to approx. 16 200 CZK. The other selective group comprised five employers in Ceske Budejovice. It emerged from the interviews that one of the companies does not utilize the programs and projects announced by the European Social Fund at all. Two of the companies complain about excessive administration. One of the employers must always carefully consider its ability to satisfy the involvement conditions. Some negative feelings also appeared about the frequent changing the blank forms, a low number of announced projects for a particular business branch. The programs being related to deepening knowledge and staff training were most appreciated. The results of the Thesis will give the Employment Office a feedback on the utilization of the European Social Fund by employers and will help in adjusting the conditions for further projects being prepared.
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Post-penitentiary treatment and prevention of recidivism
Hrnčíř, Luděk ; Vokoun, Rudolf (advisor) ; Vanduchová, Marie (referee)
RÉSUMÉ The work presented is a Master thesis completed at the Criminal law department under theLaw faculty of the Charles' University. It deals with recidivism, its causes and prerequisites of its occurrence. Preventive activities in the Czech republic are also a part of this project. Emphasis is put especially ontertiary preventive activities, namely working with people who have commited crime before. Postpenitential care plays an important role here, especially the problems of returning the convicted person into normal life. For synoptic reasons, the text also contains the overview of the Czech legal regulations, especially the standards of the criminal law. The standards of the social security law, which determine the system made by the state for people exposed to social exclusion, are also dealt with here. Apart from the national legislative, the international regulations are also mentioned here, although they are rather informal recommendations of the EU. A special chapter is devoted to Czech prison system. Conditions in Czech jails are described as well as programme set up for dealing with prisoners and also the difficulties of so called exit departments. The most important part of the thesis contains information about the state and opportunities of the postpenitential care. These problems occur in...
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Case Study - Divorce and its conditions
Kopecká, Veronika ; Spirit, Michal (advisor) ; Jansa, Viktor (referee)
This bachelor thesis centers around divorce issues and its circumstances, which is illustratively demostrated on a real life scenario. For meeting my aims, that is to introduce and characterise divorce as a phenomenon with huge amount of negative social-economical and social-psychological results including causes and mechanisms of divorced family and breakup of marriage, I used a literature that examines this area, followed by comparison of acquired data with a case study. In this thesis, an assumption of negative results of a divorce has been comfirmed, but so has the work of a state to effectively separate a married couple. The benefit of this thesis lies in an opportunity to get acquinted with requisities of a divorced marriage and should the reader be in similar situation when a divorce is imminent or planned for, he can take proper steps by familiarizing with circumstances and results of a divorce.
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Urban development of the town of Lomnice nad Popelkou
Musilová, Barbora ; Kouba, Vojtěch (advisor) ; Lindner, Milan (referee)
This thesis deals with the urban development of Lomnice nad Popelkou and conservation areas within its territory. Describes the history of the city and examines causes of the current condition of the monument fund. Describes the efforts of the city representatives in buildings restoration, through the City Development Strategy for period of 2016 - 2023. This thesis assesses the extent to which this strategic document managed to respond to the condition of historic buildings and also the needs of city residents.
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Diversity and intercultural aspects of the functioning of a company
Tetenková, Pavla ; Filipová, Alena (advisor) ; Zeman, Jiří (referee)
The thesis concentrates on culture, its levels and characteristics, including business culture. The first part focuses on cultural diversity and management of diversity in business culture, with emphasis on the related incorrect tendencies, caused by various culturally conditioned biases. The following part considers different aspects of intercultural communication, its possible barriers and the question of intercultural training. The practical part analyses an existing multinational corporation, particularly with regards to its corporate values, practices, corporate diversity and intercultural training. Furthermore, this part is complemented with a study of the culturally conditioned difficulties within the company, the influence of existing cultural differences on employee communication and cooperation, as well as on intercultural training. The outcome of the study are recommendations, which serve as a base for potential modifications of the corresponding company processes.
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Hippotherapy
Pouchová, Lucie ; Havránková, Olga (advisor) ; Vodáčková, Daniela (referee)
The work is divided into two main chapters. The field of hipporehabilitation is defined in the theoretical part. There are explained the terms of pedagogical-psychological riding, hippotherapy and disabled sport. Furthermore, there are discussed conditions which must be satisfied that the hipporehabilitation could carry out in practice. The fundamental part of the work lies in the practical part. There is presented hipporehabilitative Czech company which is in a dominant position and sees to the maintenance and implementation of the method. The following is a summary of hipporehabilitative facilities in the Czech Republic. Attention is paid to 3 organizations where I underwent my scholarship - mental home Bohnice, Activity and Gym unity Orion. I describe services they offer. The greatest attention is paid to the methodology for the most common diagnosis - mental disability, Rett syndrome, autism, hearing disability, cerebrospinal multiple sclerosis, motion apparatus and addiction. The target group and methodology are defined in each chapter . As the empirical method I chose casuistries in which I describe the course and rationale of the therapy.
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Pedagogic Model of Teen Challenge
Láník, David ; Dočkal, Jan (advisor) ; Klimešová, Anna (referee)
This work is trying to describe a pedagogic model of Teen Challenge organization. The program is focused on helping drug addicted people. In the process after a man becomes addicted his personality could become completely disintegrated. A journey back from this condition of bond is really difficult but not impossible. Teen Challenge declares the necessity of renewing a spiritual aspect of personality and furthermore to keep focused on personal relationship with Jesus Christ. That is a way how to bring change which should be visible in other aspects of life as well. Further more education and pedagogic help is needed, too. Education and pedagogy should form the individual to reach positive results. The target of this work is to find our to what extend Teen Challenge pedagogic model influences an individual in the process of learning skills necessary to be able to live new lifestyle without drugs, alcohol and destruction and other unwanted elements. Since I consider "living the good values" a key factor in the therapy of the drug addicted, the work is focused on estimating a list of values necessary after finishing the program, its manifestations and ways the program contributed to it. Powered by TCPDF (www.tcpdf.org)
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Removal of residual stress in thin sheets by tension leveling
Dymáček, Martin ; Návrat, Tomáš (referee) ; Petruška, Jindřich (advisor)
Tension leveling is a process used in the steel industry in order to eliminate any shape imperfections of cold-rolled thin strips. The master thesis deals with developing a computer program that generates basic parameters of tension leveling line. The theoretical part of the thesis summarizes the types of the shape imperfections in strips, their causes and the principles of their elimination. This part also presents the mechanism of tension leveling and describes the present-day design of tension levelers. The practical part of the thesis starts with an analytical description of stress-strain behaviour of strip during tension leveling (supposing the simplified conditions). A computer program that allows devising basic parameters of tension leveling line is created on the basis of these analytical relations. The program results are successfully verified by numerical model based on the finite element method (FEM) created in the program ANSYS. Then the interdependencies of certain input and output parameters of created program are determined. These interdependencies can be used as effective design of tension leveling lines.
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Determinanty úspěšnosti zahraničních studentů na českých vysokých školách
Do, Viet Anh ; Koblovský, Petr (advisor) ; Potužák, Pavel (referee)
This study analyzes determinants of students' success using various of perspectives (sociological, psychological, economic, cultural, organizational) in order to find out related influences. Our theoretical framework predominantly base on personal insights and experience as the author himself was able to spend a lot of time with immigrant students. This research was delimitated to baccalaureate students. The reason is that the linguistic, institutional, cultural and other effects are more distinct and might change enrollment conditions and requirements ex tunc. Our study data collection was empirically analyzed and result into varied findings. Basically, both studied immigrant students groups (Vietnamese and post-Soviet) are academically considerably weaker. This should be caused by their study limited barriers, which were theoretically assumed by an author. Therefore, this study is conceptualized to explore specific limitations.
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