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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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Aspects of the virtualization of higher education and its comparison in the CZ and US
Dlauhá, Dominika ; Šedivá, Zuzana (advisor) ; Pour, Jan (referee)
The topic of this thesis is the evolution of online higher education in the CZ and US, from its beginnings to its current state. Emphasis is placed on describing MOOCs and virtualization in education, ranging from technological, pedagogical and didactic aspects to legislature and finance. A survey was conducted to determine the interest in online courses at the University of Economics, Prague and experience with online learning, resulting in an outline of the future development in this area.
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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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Application of creditor´s claim in insolvency proceeding
Vyškovská, Vendula ; Hásová, Jiřina (advisor) ; Kříž, Radim (referee)
This diploma thesis deals with topic called Application of creditor´s claim in to the insolvency proceeding. Attention is paid on handling with this debt in the time between registration and review procedure, on which is this debt validated or rejected. This thesis is also focused on characteristics of each type of debt and their registration. The main focus of this thesis is on analysis of the topic - defects of registrations and its consequences on the creditors claim in insolvency proceeding. Part of this thesis is also detailed analysis of each disclaiming act and each person which can do this act. After that are studied consequences of these disclaiming acts. There is also compared current legislation with the old one and used jurisprudence for law interpretation.
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Comparison of Business Intelligence implementation using open source solutions for middle size companies
Schmidt, Róbert ; Maryška, Miloš (advisor) ; Sládek, Pavel (referee)
The main goal of master thesis is to analyze and propose possible low cost Business Intelligence solution with open source technologies and comparison of available tools for implementation in middle size company. We compare Pentaho and Jaspersoft tools implemented on local hardware and cloud environment with Microsoft Azure services. The theoretical part focuses mainly on understanding the business intelligence and its architecture, because architecture is an important part of the work. Actual tools are designed as stand alone modules for specific activities in the business intelligence lifecycle. Low cost tools are often connected with open source technologies and cloud computing. This part of the work contains explanation of these terms and their advantages and disadvantages for our chosen target group of companies. The analytical part includes defined parameters by which it is conducted analysis of tools and their comparison. Business Intelligence solutions are divided according to arcitectural layers. The evaluation criteria are divided into financial, technical and user category. In conclusion, chosen tools are compared and evaluated. The main contribution of this thesis is comparison of open source business intelligence tools for implementation in middle size company. According to the EU directive, middle size company does not exceed 250 employees or profit is less than 50 million euros. The reader can compare the different solutions and their pitfalls or shortcomings that could be critical for the implementation.
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Turkey as a destination of international tourism
Kořínková, Kateřina ; Abrhám, Josef (advisor) ; Kalábová, Markéta (referee)
The subject matter of my research is Turkey as a destination of international tourism. The main aim of my diploma thesis is to assess the overall standing of Turkey as a destination on the international tourism market with respect to both positive and negative externalities. The first chapter is dedicated to a theoretical definition of international tourism including the conditions of its development. The second chapter presents basic information on Turkey, current economic situation and effects of tourism on Turkish economy. In the last chapter, an international comparison is made to analyse Turkish tourism itself.
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Finanční analýza společnosti United Parcel Service Czech Republic, s. r. o. a srovnání s konkurenty
Roudnická, Markéta ; Staňková, Anna (advisor) ; Marek, Petr (referee)
This thesis is focused on the financial analysis of United Parcel Service Czech Republic, s. r. o. during the period from 2010 to 2014 and the subsequent comparison of its results with selected comparable companies. The thesis is divided into two parts. In the theoretical part the methods of the financial analysis are defined and the optimal values of each financial indicator are determined. In the second part the company is introduced and the specific values of the described indicators are calculated as well as there is an intercompany comparison realized. The conclusion of this thesis is dedicated to an accurate description of the current situation of the company in the context of both optimal values and values which are usually achieved by comparable companies.
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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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