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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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Expected development of Business Intelligence applications in the coming years
Aschmann, Jakub ; Pour, Jan (advisor) ; Fortinová, Jana (referee)
This thesis focuses on the development of Business Intelligence applications. The main area is the potential development in the coming years, history of business intelligence and individual components. To acquire the necessary knowledge, I studied educational materials and electronic publications. In Chapter 3 I focus on the definition of BI, in the following chapter I analyse individual components and the last chapter is dedicated to the development in the future. This thesis will provide comprehensive knowledge and trends in business intelligence to readers who are interested in this area and are looking for complex information.
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The Use of Data Analytics in Internal and External Audit
Tecáková, Andrea ; Říhová, Zora (advisor) ; Kadochová, Lucie (referee)
Data Analytics is one of the fast-developing applications of IT in organizations worldwide. This Master's thesis examines data analytics in the context of internal and external audit. Principal aim of the thesis is to identify the opportunities for data analytics application in both audit disciplines. Secondary goal is to design a data-analytical procedure, apply it to actual business data and thus demonstrate the benefits of employing data analytics. The thesis builds on a summary of theoretical sources of the relevant area, followed by a survey conducted by the author. The survey maps current state of data analytics usage in both internal and external audit in the Czech Republic. The added value of this thesis is, apart from the identification of audit areas in which it is beneficial to use data analytics, the design of an analytical procedure and its application. Another benefit is the survey revealing current state of the art and the insights of interviewed auditors, pointing to both benefits and problems of data analytics application to the performance of the audit profession.
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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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STRAIN ENGINEERING OF THE ELECTRONIC STRUCTURE OF 2D MATERIALS
del Corro, Elena ; Peňa-Alvarez, M. ; Morales-García, A. ; Bouša, Milan ; Řáhová, Jaroslava ; Kavan, Ladislav ; Kalbáč, Martin ; Frank, Otakar
The research on graphene has attracted much attention since its first successful preparation in 2004. It possesses many unique properties, such as an extreme stiffness and strength, high electron mobility, ballistic transport even at room temperature, superior thermal conductivity and many others. The affection for graphene was followed swiftly by a keen interest in other two dimensional materials like transition metal dichalcogenides. As has been predicted and in part proven experimentally, the electronic properties of these materials can be modified by various means. The most common ones include covalent or non-covalent chemistry, electrochemical, gate or atomic doping, or quantum confinement. None of these methods has proven universal enough in terms of the devices' characteristics or scalability. However, another approach is known mechanical strain/stress, but experiments in that direction are scarce, in spite of their high promises.\nThe primary challenge consists in the understanding of the mechanical properties of 2D materials and in the ability to quantify the lattice deformation. Several techniques can be then used to apply strain to the specimens and thus to induce changes in their electronic structure. We will review their basic concepts and some of the examples so far documented experimentally and/or theoretically.
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Food supplements and iodine supplementation in pregnancy
VAVROUŠKOVÁ, Edita
Iodine is a trace element tremendously important for thyroid gland hormone production. It affects normal evolution of brain, especially in the time of intrauterine development and in the first year of child's life. Deficiency of iodine can lead to creation of pregnancy goiter, it also decrease the probability of carrying fetus to term and increase the probability of disorder in psycho-motoric evolution of child. Czech Republic is geographically lined up among the regions with lack of iodine in natural sources and food. However, nowadays the iodine deficiency is considered to be managed. But risk groups of population still exists, especially pregnant women can be endangered by lack of iodine, because the need of iodine intake in pregnancy increases to 200 250 ug per day and this level must be ensured. Consumption of food rich in iodine can cover the increased need of iodine. Significant source of iodine is milk and milk products. Another source is table salt enriched with iodine, but its daily intake is limited. Rich sources of iodine like sea fish, sea products and seaweed rarely occur in our diet. The goal of thesis was to evaluate intake of dietary supplements with iodine by pregnant women and evaluate women's awareness of higher iodine need and iodine food sources. Quantitative research in form of questionnaires was chosen for getting information from higher number of individuals. The questionnaire consists of 15 questions. Answers were gained from 118 respondents living in Central Bohemia, Moravia-Silesia region, Liberec region, region Highlands and South Bohemia. Questionnaire was distributed to gynecological ambulances by employees of State health institution. I visited gynecological ambulances in South Bohemia personally. By evaluation of questionnaire was found out that dietary supplement with iodine use 63 % pregnant women in researched population. All respondents always use only one type of dietary supplement. Among the most used belong "Chytré miminko", "GS mamavit" and "Femibion 800". 68 % of respondents know the importance of higher iodine intake in time of pregnancy. Question about daily recommended dosage was correctly answered only by 35 % of respondents. As a food sources of iodine the pregnant women know sea fishes, sea products, seaweed and table salt enriched with iodine. But 90 % of respondents are not familiar with milk and milk products as important source of iodine. Pregnant women should be better informed about importance of sufficient supply of iodine and about sources of iodine by gynecological ambulances. Information about mentioned issues should occur in magazines, education materials and internet articles more often. Respondents were notified of issues and important role of iodine in time of pregnancy by questionnaire. It is very probable that women found correct answers on the internet or in publication for expectant mothers after filling in the questionnaire.
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Relationship between electronic music and film
Švarcová, Johana ; BENDOVÁ, Helena (advisor) ; MAREK, Petr (referee)
In this work the mutual relationship between film and electronic music with particular focus on early sci-fi movies is discussed. This work is coming out from a phenomenal relationship between music and sound effects not often found outside of this genre. This topic is the rich source of an interdisciplinary overlaps and the cultural contexts, however not so much interest has been put yet to this field neither from Film or history of Electronic Music.
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San Minn (or) An Artist who prefer creating and paintings than his life
Zeya, Pyin Nyar ; JANEČEK, Vít (advisor) ; VOJTĚCHOVSKÝ, Miloš (referee)
No one can control a painter artist’s freely thoughts and ideas and although his paintings were under the high pressure and banned by force, the artistic value of his materials never go down. So that I am writing this paper.
He, San Minn has broken out the mainstream of Burmese painting field, he never made business paintings as well. He keeps his belief on the art of paints and he is always finding for the new way to make his paintings. His materials are very different from other Burmese painter artists’ materials. His style is unique in Burmese paintings. So I can get a chance to study of his style, ideas, ways of thinking and his determination on the art works.
My paper can show a painter artist’s life who grew up under the military rule for 50 years and the situation and history of Burmese painting field. Then not only people who are studying the painting subject, but also other people can know about the subject of Burmese painting and field of artists. I dare say that my paper must be colorful and fruitful.
As a painter artist, it seems that he wants his audience to feel his materials but he rare to show his real life behind the pictures. For me, I can get a chance to know about his real life for my thesis paper.
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Thesis Statement
My thesis can be useful for everybody who is interested in Burmese contemporary art field.
This is the biggest chance to read about one of the most famous, important and significant artists and art movements of Burma. His paintings are reflecting his journey through over 40 years of censorship, but he was not afraid to tackle political and social issues.
Many of San Minn's art works are based on autobiographical, making sharp social commentary on the popular culture, social values and scenario circumstances where he has lived in.
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Activities and functioning of New web organization
Tyl, Jan ; PROKOP, Petr (advisor) ; SULŽENKO, Jiří (referee)
Abstract
Bachelor thesis Activities and functioning of New Web organisation aims to detailed analysis of this culture network. What paths choose, how fulfills its visions, etc. Describe the formation of the organization, motivations and partial steps, which New web takes for its funcioning. How partial sections of this organism thinks and how cooperate.
Also this thesis deals with organization structure of New web. Collectively write an overview of activities this network. Uncover sources of funding. All in relation with functioning of another culture networks in Europe. Concretely IETM, Trans Europe Halles and IN SITU organizations. In conclusion wants to outline future direction of New web organization.
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