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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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Differences between men and women in the Czech labour market
Stroukal, Dominik ; Kadeřábková, Božena (advisor) ; Pavelka, Tomáš (referee) ; Němec, Otakar (referee)
This thesis consists of five articles that apply current world research on labor economics at the Czech Republic and confirms the significant differences between men and women in this market. It shows that gender has a significant influence on the preference on the labor market and, consequently, on employment and health. First, the thesis shows that preferences are relevant determinant of career and then we study the difference in preference of salary for men and women. Subsequently it shows that gender plays a significant role in explaining the relationship between homeownership, and unemployment, as well as unemployment and health. The first chapter was able to demonstrate that the preference for a career has a positive influence on the choice of career. The influence of higher education on prioritizing career proved to be positive and significant. Probability of a career choice is reduced by the presence of children, however, is not dependent on their number, which is contrary to the theory of preferences. The second chapter shows that Czech women prefer more non-monetary rewards than men. It has also been shown that people with university education are same in the preferences of non-monetary rewards regardless of the gender of the respondents, however, compared to the world's research, the Czech higher education increases this preference. It turned out that women prefer risk less than men. The third chapter demonstrates that although the housing market undermines labor mobility and employment in the Czech Republic at the regional level, therefore, that in regions with a higher rate of home ownership is higher unemployment, at the individual level, the owners of housing are unemployed are less likely. The estimates are significantly different for men and women. Men living in owner-occupied housing have a higher likelihood of employment than women. At regional level, however, this thesis shows that the high rate of home ownership increases unemployment for both men and women, in the long run only to women. The fourth chapter showed that men transition to homeownership reduces the likelihood of unemployment next year. For women, this relationship has proved to be insignificant. In addition, as insignificant showed the opposite relationship, the transition from unemployment to the newly acquired home ownership. The last chapter shows that the change in the working status to unemployment will increase in the future probability of worse health. Influence in less than two years, however, proved to be significant. An important conclusion is that men have a significantly stronger relationship between health and unemployment than women.
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The impact of South China Sea dispute on trade relations between China and Vietnam
Nguyen Hong, Viet ; Vlčková, Jana (advisor) ; Hasík, Gabriel (referee)
This bachelor thesis investigates the impact of South China Sea dispute on mutual relations between China and Socialist Republic of Vietnam. Thesis lays great emphasis on the analysis of mutual trading relations. The goal of this work is to find out if the dispute over territory has negative influence on mutual relations and to what extent. Therefore, thesis is divided into 3 main chapters. The introductory chapter describes position and development of each country. Second chapter uses findings from the introductory part for the analysis of political and trade relations of both countries. It focuses on the history of mutual relations and mainly it lays emphasis on current mutual relations. Last chapter of the thesis is dedicated to the issues regarding South China Sea. Motives and causes of this dispute are described in this chapter. It provides a view on the course of this territorial dispute, and also impacts on mutual relations are analyzed. The output of all three chapters helps to formulate following conclusion. Dispute over South China Sea has impact on mutual relations. Predominantly, it influences political relations between China and Vietnam, therefore, this dispute is often mentioned in media. However, according to available data this dispute has not had major effect on trading relations. Mutual trading between both countries went off in dispute period without any limitations and barriers.
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Analysis of the company environment
Hladík, Ondřej ; Dvořáček, Jiří (advisor) ; Strouhal, Jiří (referee)
This bachelor thesis deals with methods of analysing the company environment and then using these methods on a company Travel Service, a.s. The primary purpose is to determine main factors affecting the market position of this company. Methods used for analyzing the company environment are introduced in theoretical part of the thesis. For analysing the macroenvironment is used PEST analysis and Porter five force model is used for analysing the critical factors of macroenvironment. The thesis include SWOT analysis and recommendations for the company based on the collected informations.
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World Trade in Crude Oil
Benešová, Nela ; Čajka, Radek (advisor) ; Bolotov, Ilya (referee)
This master´s thesis deals with trade with crude oil and its impact on the world economy. Everyone, who wants to start to trade with crude oil, should find out basic terminology and information about crude oil that is characterized in the first chapter. The hunt for oil started many years ago, therefore the history is also mentioned in this master´s thesis. The second chapter focuses on the world trade with crude oil. Territorial structure and trade flows are described in this part of the master´s thesis. Nevertheless, the crude oil also has an impact on the world economy and economies of single states. The third chapter analyses states, where the inhabitants live beyond means of people from other countries but these states are so depended on crude oil that if this trade stopped, these countries would go bankrupt. However, there are also exceptions. Even though, there are states that have huge sources of crude oil, they still have to deal with financial problems. The forth chapter characterizes the trade with crude oil of the Czech Republic because it is a net importer of crude oil and the last chapter focuses on new trends in crude oil such as shale oil and trading at a crude oil market.
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Hemodynamic monitoring in the intensive care - preparation of educational materials for newly hired nurses
MELICHAROVÁ, Jaroslava
This diploma thesis focuses on the monitoring of hemodynamics in intensive care units; the main objective was to create an educational material for newly employed nurses. This educational material should facilitate the adaptation process of nurses at Anaesthesiology-Resuscitation Units (AR) or Intensive Care Units (ICU).The diploma thesis is divided in two parts: theoretical and empirical. The topics covered by the theoretical part include the concept of intensive care, the technical equipment, the scope of work of intensive care nurses, anatomy and physiology of the cardiovascular system, cardiovascular system monitoring, hemodynamic monitoring, adaptation of new nurses at the workplace, and the possibilities of educational methods aimed at newly employed nurses. The empirical part was conducted as qualitative inquiry in the form of interview. The interviews were semi-standardised and they were held at the AR unit in the České Budějovice Hospital. The subjects were the nurses from the RES 1 and RES 2 stations. The first part of the research inquiry consisted in interviews with the nurses at the Anaesthesiology-Resuscitation unit. The interviews were not taped, due to the respondents' request. All the answers were carefully recorded and immediately transcribed and processed to prevent any inaccuracy of information. The results were organised in charts according to the categorisations, in a well-arranged manner. The second phase consisted in creating the educational material for the newly employed nurses and the third phase concluded the project by distributing the educational materials at the hospital unit where the interviews were conducted. The nurses could therefore assess whether the educational material meets their requirements and will be useful in practice. The respondents were interviewed again and the results were subsequently also organised in charts.The results of the research inquiry show that the nurses at the Anaesthesiology-Resuscitation Unit in the České Budějovice Hospital perceive the correct hemodynamic monitoring as important, that they know what hemodynamic monitoring is and are aware of the monitoring possibilities. The nurses of this unit perform both invasive and non-invasive monitoring of hemodynamic parameters. The basic task is measuring the central venous pressure and arterial pressure. Other parameters are monitored by the doctors with the application of the Swan-Ganz catheter. The most frequently used monitors are PICCO, Lidco, Vigileo and Vigilance. All interviewed respondents agreed that their only help during the adaptation process was the manufacturers' materials and the advice from the nurse-trainers. A small part of the respondents was trained directly by the company distributing the monitors. The final phase of the research inquiry revealed that the nurses like the new educational material but they are afraid that it will end up collecting dust as the other materials supplied by students. The interviews established that it is easier to directly communicate the necessary information to the new nurses along with practical demonstration than to recommend an educational material for studying of at least the theoretical part.
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A neuroprotective effect of the 3α5β-pregnanolon glutamate in the animal model of ischemic brain injury
Kletečková, Lenka ; Valeš, Karel (advisor) ; Zach, Petr (referee)
The neuroactive steroid 3α5β-pregnanolon glutamate (3α5βP-Glu) is the synthetic analogue of a naturally-occurring 3α5β-pregnanolon sulfate. Both agents inhibit preferentially tonically activated NMDA receptors by a use-dependent mechanism. The aplication of 3α5βP-Glu could reduce the excitotoxic injury of the brain during ischemic conditions, in which plays role the excessive activation of NMDA receptors. The objectives of this study are to determine the effect of systemic aplication of 3α5βP-Glu on an oxygen saturation and a regional cerebral blood flow in the brain of laboratory rat. Subsequently to establish and critically evaluate the animal model of a global ischemic brain injury. Finally to test the neuroprotective potential of 3α5βP-Glu on cognitive funtions in this model. The oxygen saturation and regional cerebral blood flow were measured in the area of dorsal hippocampus. Both observed parametres were significantly increased after the application of3α5βP-Glu. These findings confirm the assumption that 3α5βP-Glu has a neuroprotective effect. The bilateral occlusions of arteriae carotis communis following placement of the rat into a hypoxic box has been utilized as a model of global ischemic brain injury. The aplication of 3α5βP-Glu increased significantly the rats survival. However,...
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Awareness of vegetarians about deficit of certain nutritions in vegetarian diet and about ways to compensate them
VORLÍČKOVÁ, Markéta
This thesis deals with vegetarians' awareness of the lack of specific nutritional substances in the vegetarian diet and their compensation. The aim is to explore whether vegetarians have sufficient information about the nutritional composition of their diet, whether they are interested in researching this information and whether the information is available and sufficient. I also looked at whether people with this eating preference are preventing potential nutritional deficits and subsequent health problems. There were designated the following three research questions: "How often and where do most vegetarians get information about a meatless diet?", "How can you achieve a full fledged vegetarian diet?" and "What is vegan awareness on the potential deficiencies in their diet, and how do they try avoid these?". In the theoretical part I deal with vegetarianism as a lifestyle, vegetarianism and its subgroups, the reasons for going to this way of life, the composition of a vegetarian diet with a focus on nutrients that may be deficient, vegetarianism and its impact on the body at different stages of development and ultimately the impact of a meatless diet on human health. The practical section is an elaborated form of qualitative research, specifically I chose semi-structured interviews. I collected the data from the interviews. The interview contained fourteen or fifteen questions, and women were also questioned about the pregnancy period. I asked questions regarding the issue of vegetarianism, veganism or raw foodism. I was interested in individual eating habits, nutrition knowledge and personal experience of the respondents. The data was collected between January 2014 and March 2014. The research group consisted of 6 respondents. The group was made up of women and men in the age range from 20 to 30 years. Among respondents there were vegetarians, vegans and raw foodists and the period of time in which they have been eating this way is different for every person. All respondents were familiar with the purpose of providing an interview and agreed to the publication. The interviews I conducted in person and were recorded on a dictaphone mobile phone. The results of my work show that most respondents do research about a meatless diet. They logically state that most intensive research took place while they were switching their eating habits, but now they still keep finding out new information. The most commonly used way was the Internet, specifically through websites such as www.soucitne.cz or www.vegan-fighter.com. Other sources used are books, articles, studies, and information received from friends or family members. The respondents argue that because the information was obtained this way, their diet is balanced. They are often trying to maintain diversity in their diet, for example, consume legumes and combine various foods such as legumes with cereals. Raw foodists state that they often consume sprouts, seeds, nuts, and of course a large amount of raw vegetables and fruits. All Vegans and Raw foodists know about the possible lack of vitamin B12, and some for this reason, use supplements. Also mentioned are supplements or protein complex supplements designed specifically for vegans.
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Comparison of old and current cine lenses in combination with modern digital camera
Jakubec, František ; HOJDA, Petr (advisor) ; MIKŠ, Antonín (referee)
A Director of Photography has many artistic possibilities when working with cine lenses. Today, we can produce many optical effects in digital post-productions; however, working with lenses and with their defects (aberrations) is very interesting when you use them with modern recording technology. This thesis examines a small part of these issues. The theoretical part is about general qualities of optical systems, their aberrations, and measurement of picture quality. Furthermore, there is also a description of the movie camera and lenses, which were used for testing. The analytical part is about analyzing real footage from tests.
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Giuseppe Verdi: "Don Carlos" - opera complex scenographic project
Heřmánková, Lucie ; DAVID, Milan (advisor) ; TEMPÍR, Nikola (referee)
This bachelor’s thesis aims to find complex scenographic solution of Don Carlos opera composed by Italian author Giuseppe Verdi. Apart from my own creative solution I also present theoretical chapters of authors biography, relation to his work and I compare several Don Carlos productions by Josef Jelínek who designed six unique costume variations.
During process of making the set design I came up with lots of topics to think about. I chose freedom as main topic by studying past productions, libretto and musical part. This topic is one of the key elements of the creative solution and therefore I defined it further in part of this thesis. I am also looking for artistic ways that would be the most suitable and adequate for the opera, musical-dramatic genre, in which music could be more important than libretto. I am trying to find connections to contemporary society and keep the story up to date.
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