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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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Collaboration nurse and family members of patiens with brain injury
LIŠKOVÁ, Sandra
The bachelor thesis deals with the cooperation of nurses and family members of patients with brain injuries. Brain damage is among the most serious injuries a person can have. Brain injuries are the second highest cause of death after abdominal trauma. People often confuse the term head injury with brain injuries. The lasting consequences of these injuries are very severe and often fatal. The skin on the scalp can indeed bleed, but we can only talk about brain injury if there is any actual damage or suppression of the brain issue, which can have many causes.The theoretical part describes the most common injuries of the brain; changes in behavior and fatic disorder in a patient with a brain injury, nursing care of patients with brain injury, communication between the nurse, the patient and his family, and also notes the importance of the nurse patient relationship and the significance of the patient's family. In the theoretical part, we have tried to give comprehensive and understandable information about the cooperation of nurses and family members of patients with brain injuries.For the empirical part of this thesis, a qualitative investigation was chosen. We used the method of data collection in the form of semi-structured interview . The survey was carried out in February 2014. Interviews with correspondents were videotaped and subsequently transcribed and processed by categorization of data. For the process the main category and subcategories were established which are, for clarity, shown in the diagrams . The interviews with correspondents were running at the University Hospital in Motol. After the approval of the matron the research investigation was initiated . Correspondents were asked prepared questions , depending on how the conversation developed, supplementary questions were considered. Interviews with nurses and family members were done separately because of the possible influence the nurses could have upon the family members. All interviews with the nurses and the family members were conducted at the University Hospital in Motol. The duration of the interview was approximately 45 minutes. At the beginning of the meeting with the correspondent, the basis of the interview was outlined and the reason for the interview was explained. None of the corcorrespondents minded the interview being recorded. Each interview was obtained with oral consent and explanation of anonymity.During the processing of the interviews, the method of open coding was used. Each sister and family was assigned a number. Then the answers of the nurses and the family members were numbered in the interviews. The rows have been numbered due to the possibility of referring to them. This method is called "paper and pencil" because of a synoptical process. For example, a nurse said line 3 and it is displayed as N1/3. A total of one main category and seven subcategories were established in both groups of corcorrespondents . The created categories and subcategories can be seen in the diagram one and four. The individual subcategories were depicted in the empirical investigation with the addition of interviews and quotes. The interviews were recorded on a CD, which is part of the thesis.The research sample consisted of two groups. The first group of correspondents consisted of nine nurses aged 24-50 years. Six nurses of all the interviewed completed tertiary education, two correspondents studied at a college and one respondent reached secondary education. Four correspondents were from the Neurosurgical Department, two correspondents from the Department of Anesthesiology and Resuscitation (ARO) and three correspondents from the Department of Chronic Resuscitation and Intensive Care (OCHRIP). The second group of the researched sample were relatives. The second group of the study sample was made up of four relatives, in varying relation to the patient, the families were in the age range from 30 years to 68 years.
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Usage of unstructured data in Business Intelligence
Rakhmanova, Malika ; Šperková, Lucie (advisor) ; Karkošková, Soňa (referee)
The aim of the thesis is to identify the main trends that are occurring in the market of Business Intelligence and related to unstructured data, to describe the possibilities for integrating unstructured data, to clarify what the impact on the company have the results that can be obtained using these solutions and how generally incorporate an analysis of unstructured data into BI. Another aim is to show the current situation of processing unstructured data on the example of BI system. The thesis is divided into several parts. First part is describing of the Business Intelligence area and the basic components of Business Intelligence, as well as identifying market trends. Then, there is the next part: separating the data into structured and unstructured. Here is the part about how you can access and analyse unstructured data and what is their place in BI systems. This is the end of a block of unstructured data and the beginning of a description of the enhanced version of BI. Finally, the current market situation and BI tools, which include unstructured data, are introduced. This section provides an overview of how BI tools approach to analyse unstructured data. Existed literature, professional and freely available Internet resources are used for writing the work. The purpose is to serve as a source of information for quickly orienting in the current situation, to serve as a guide to the world of BI solutions and to show potential users what are the options and functionality of these BI solutions.
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Application of Monte Carlo simulations in banking
Boruta, Matěj ; Teplý, Petr (advisor) ; Fučík, Vojtěch (referee)
Currently, banking is exposed to huge market risks. One of those risks is occurrence of negative interest rates in the EU. Nowadays, it is important to use sophisticated and modern measurement tools and approaches to measure and manage banking risks. One of those methods is Monte Carlo simulation. This bachelor thesis is aimed at analysis and prediction of 3-month maturity Prague Interest Offer Rate (PRIBOR) for 3, 6 and 12 months with using Monte Carlo simulations. It was found that this method is suitable for prediction market variables with low volatility. If anybody uses this method, it is necessity to have in mind all pitfalls and assumptions, that this method includes, as an adequate random generated number of scenarios, approximation of correct probability distribution, independence of dataset and not least, as far as possible, to focus on factors generating randomness of market variable and not the prices, that express rather consequences of randomness than its cause. Further, the Monte Carlo prediction was compared with prognosis of the Czech Nation Bank and it was found that Monte Carlo prediction is more accurate for short term predictions. 12-month prediction of Monte Carlo simulation discovered also possible occurrence of negative interest rate at 0,05% level of probability in compare to the Czech National Bank prognosis, where was no negative interest rate predicted.
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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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Philosophy of sport
Pilátová, Lucie ; Hogenová, Anna (advisor) ; Blažková, Miloslava (referee)
The thesis focuses on the philosophy of sport and historical analysis concerning the idea of the Olympic Games. Furthermore, the thesis aims to make the reader acknowledged with the historical beginnings of sport and evaluates various attitudes and changes concerning the initial sport philosophy and the perception of "Olympism" nowadays. More specifically we are trying to find the answer for the question how is sport in Antique different from its modern perception. In addition, the matter whether the change enables to imply the differences between the role of sport in the period of Antiquity and contemporary society, is being further discussed. The thesis is based on historical events and philosophical ideas of the origin of Antique Olympic tradition together with facts which led to the downfall and attenuation of sport in the medieval era. Moreover, it describes the birth of modern sport in its cradle in England and its revival in 19th and 20th century.
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Etienne Decroux and his method Le Mime Corporel
Šimon, Lukáš ; VIZVÁRY, Radim (advisor) ; SOPROVÁ, Jana (referee)
This thesis discusses the life and work of Etienne Decroux, one of France's most important reformers of the theater and his method of Le Mime Corporel, which still forms the basis of modern pantomime. Decroux is known worldwide as an excellent mime, director, teacher, theorist and reformer of the theater. His contribution to the development of the European theater in the last century is very significant, especially for mime theatre. The work presents Decroux's personality and his contribution to the creation of the new method of mime theatre - Le Mime Corporel. Another task of this thesis is to explore the effects of different important personalities in the artistic development of Etienne Decroux, to describe the basic elements forming the method Le Mime Corporel and to compare it to other genres of movement theater.
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Use of inhalation systems with asthma in connection with nursing
KLEINOVÁ, Irena
Asthma bronchiale is a chronic inflammatory disease of the airways, connected to bronchial hyperactivity leading to shortness of breath, wheezing, chest tightness and cough. It effects people of all age categories and cannot be efficiently cured nor prevented. The incidence ranks this disease among the most common children´s chronic diseases. It affects a significant part of the global population - records say about 300 million people. Its prevalence has dramatically increased over the last 20 years. It is estimated that in 2025 about 400 million people will suffer from asthma. Cornerstones of asthma control are based on early diagnostics, efficient treatment, adherence to lifestyle changes and proper use of inhalation devices. Once the treatment is effective and check-ups and the use of inhalation therapy are regular, the prognosis of asthma is very favourable and it is possible to improve the patient´s quality of life. The control over asthma and its maintenance is the main objective of treatment. This can be achieved by using anti-inflammatory therapy, especially in inhalation form. This Bachelor´s thesis focuses on mapping inhalation systems with patients with asthma bronchiale. To a large extent it deals with the issue of use of inhalation systems, keeping to lifestyle changes and the role of the nurse in asthma-specialized outpatient´s departments. We see the relevance of this topic in the fact that, despite all available literature and medical advice, many asthmatics still make mistakes in the inhalation technique. Wrongly selected inhalation systems or wrongly selected inhalation techniques results in therapeutic failures and problems of patients get worse. This does not maintain control over asthma. The fact that many asthmatics do not know their exact diagnosis and underestimate some symptoms is very alarming. In the introduction, the theoretical part focuses on the definition of the disease. Other chapters include causes and symptoms of asthma, its classification, diagnostics and treatment. It also provides information about the treatment of acute asthma attacks - exacerbation and the role of the nurse in examination of an asthmatic patient. A great part of the thesis deals with inhalation systems, their types and effects. The preparation for the use of manual handheld inhalers and nursing care for the asthmatic patient in outpatient and inpatient care is developed at the end of the theoretical part. The objective of this part was to summarize the current knowledge about this issue. The objective of the Bachelor´s thesis was to map the use of inhalation systems in patients with asthma bronchiale. The following research questions were used: How do nurses inform patients about the use of inhalation systems? What type of inhaler do patients like? What is the nurse´s involvement in the examination of asthmatic patients? What are the most common mistakes in the application with an inhaler? How do asthmatics keep to lifestyle changes? The practical part of the thesis contains the results of qualitative research which was made on the basis of the semi-structured interview. Final interviews were transcribed and subsequently processed by the technique of open coding. The research sample was made of 12 asthmatics and 9 nurses working in selected asthma-specialized outpatient´s departments. With respect to the results found, an information brochure was created - see Annex 7 - which is intended for use by asthmatics. We believe that the results of this thesis will be helpful for asthmatics and increase the interest of experts in this issue and will also address other people willing to take part in its solution.
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Sorption and Stabilization of Metals/Mettalloids by Innovative Synthesized Sorbent Amochar.
Ouředníček, P. ; Trakal, L. ; Komárek, M. ; Pohořelý, Michael
Remediation of contaminated soil which is based on stabilization and immobilization of potential\nhazardous substance by sorption materials has been studied intensively nowadays. Biochar – activated organic carbon belongs to this group of stabilizing agents which can adsorb wide range of contaminants, including metals/metalloids. Surface area of the biochars is quite large in general and functional groups (e.g. COO–) can form chelates or alkaline elements on the surface, which is represented by cation exchange capacity. Altogether with the high pH values (7.00 – 10.00), biochars are quite effective sorbents and can adsorb metals/metalloids from the solution (ground water), especially in acidic soils (in the environments affected by intensive mining activities). Sorption\neffectiveness can be increased (especially for As (V) or Cr (VI) sorption) by modification of biochar by various types of secondary oxides. Innovative sorbent AMOchar (AMO + biochar) has been synthesized currently. The product was prepared by adding of biochar to the reaction solution during amorphous manganese oxide (AMO) synthesis. The AMOchar was formed mainly by Mn-oxalates which had coated surface of the pristine biochar. AMOchar composite was able to remove significantly higher amounts of various metal(loid)s from the solution despite the rather high pH of the material. Sorption effectiveness was high not only in case of Pb (II) sorption (almost 99%), and Cd(II) (51.2%), but also a very high amount of As(V), 91.4%. Additionally, both AMOchar composite was able to reduce Mn leaching. This can avoid potential post-contamination caused by the dissolution of less stable Mn-oxalates as observed in the pure AMO.
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Plný tet: SKMBT_22316111113040 - PDF
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