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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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Evaluation of State Employment Policy in the Countryside Prachaticko
ZÁHORKOVÁ, Adéla
The region of Prachaticko belongs without doubts, with its small density of population and absence of big centres, to countryside regions. Changes after November 1989 caused essential turn in structure of employment on countryside. Huge amount of inhabitants was released from agricultural production and they remained unemployed. At the same time there was not expected restoration of family farms, which were supposed to continue with tradition of Czech agricultural production. On the countryside also arose a question about investors, who had no interest to invest there, which caused another absence of working positions. Major part of countryside inhabitants is now forced to travel to work to the cities every day. These and another factors often decreases chances of countryside inhabitants to gain a job (opposite to inhabitants of cities) which could cause to the countryside inhabitants impression, that they are somehow handicapped on the labour market. The state should (as part of employment policy) accept targeted steps against issue of increasing unemployment and the countryside should have been one of the places, where these steps should have been realised with priority. In theoretical part of my bachelor Thesis I define actual state of problematic of unemployment on the Prachatice countryside. For the collection of data was used quantitative research in form of questionnaire research. Secondary was analysis of data and half-structured dialogues with people interested in the issue. The goal of questionnaire research was confirmation following hypotheses: Unemployed town people from Prachaticko region are more satisfied with state employment policy than unemployed inhabitants of Prachaticko region. Bigger dissatisfaction with state employment policy was proved within unemployed countryside inhabitants of Prachatice by 3 of 5 questions. However differences between both groups are not very big and none of the question ended with conclusive result. Secondary analysis of data showed, that the most problematic area by the point of view of unemployment is on south-east of region. There are also minor amount of working positions on the Prachaticko countryside than in the regional towns. In the context of average amount of unemployed people in Czech Republic is Prachatice region in relatively good position, but against town areas of Prachaticko region is Prachaticko countryside without doubts handicapped. Respondents most commonly think that interventions of state policy lead to the decreasing of unemployment, but not sufficiently.
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Analysis of Financing Research and Development in the Czech Republic
Vacek, Jan ; Hnilica, Jiří (advisor) ; Sieber, Patrik (referee)
The topic of this bachelor Thesis is an Analysis of Financing Research and Development in the Czech Republic. Research and Development (R&D) plays an important role in improving the competitive ability of the Czech Republic, for it constitutes a source for increasing productivity, economic growth and employment. The results of R&D lead to creation of new products and services, which in return increases the quality of life of the Czech citizens. This bachelor thesis focuses on analysis of financing R&D in the Czech Republic. The objective is to find out who finances R&D in the Czech Republic, where do these funds go to, and what they are used on. This thesis also focuses on R&D employees and R&D departments in which they work. The bachelor thesis is concluded by comparison between the R&D data for Czech Republic and other countries form the Europian Union.
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Strategy of Corporate Social Responsibility in Hilton Worlwide company and its application in local conditions
Švábová, Kateřina ; Mokrejšová, Veronika (advisor) ; Filipová, Alena (referee)
This bachelor thesis focuses on strategy of corporate social responsibility (CSR) in company Hilton Worldwide. The bachelor thesis is divided into two parts. The theoretical part deals with concept of corporate social responsibility, with the philosophy of CSR, its history and the present. This part also defines key words related to corporate social responsibility like CSR, stakeholders, corporate philanthropy, sustainable development, business ethics and corporate citizenship. It also focuses on the important role of communication in general and also in CSR. The practical part introduces the concept and strategy of CSR in the company Hilton Worldwide. This part also presents hotels Hilton Prague and Hilton Prague Old Town and their activities within the CSR. SWOT analysis as strategy tool was used to evaluate the concept and communication of CSR in both hotels. The final results of analyses showed problems in internal and external communication. Based on results of SWOT analysis are suggested solutions and recommendations that should improve understanding and perception of CSR concept in both hotels, improve internal communication for employees, and use all modern communication tools and channels for communicating information about CSR activities. These measures will lead to increased loyalty and strengthening the company's competitiveness.
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Motivation and evaluation of empolyees
Sinkulová, Anna ; Legnerová, Kateřina (advisor) ; Šmíd, David (referee)
My bachelor thesis is focused on motivation and assessment of employees in the company. The aim of this thesis is to investigate the influence of team building and benefits on employees' motivation. Literature based theoretical part of my thesis describes and investigates the real meaning and purpose of motivation and basic motivational concepts. Furthermore, I outlined the basics behind employee benefits, team building and also stated the current given trends in these areas. The practical part is focused on benefit and workplace research and their impact on the general motivation to work and the relations between the employees of the Czechoslovak Commercial Bank (ČSOB). In order to collect the best results, I used the method of questionnaires. Respondents were asked to answer questions considering their satisfaction with the system of employee benefits and the importance of teamwork. Based on the survey results I propose certain changes that should lead to motivation improvement and better job performance.
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Improving logistics operations in the warehouse of Stroj Servis Plus
Feklistov, Maxim ; Vinš, Marek (advisor) ; Mervart, Michal (referee)
This bachelor thesis is focusing on the logistic operations in the warehouse of a particular organization. The objective of the thesis is to analyze logistics operations in the warehouse of Stroj Servis Plus and propose certain measures, based on selected methods, which might lead to improvement in the efficiency of the current logistics operations. This bachelor thesis is divided into two parts. In first part, theoretical part, is describing the basic theoretical concepts and principles, connected with the main field of the interest. The second part, practical part, begins with the introduction of the company Stroj Servis Plus and analyzing of the logistics operations in the warehouse. Based on the facts, discovered in the intercompany documents, own practice in the firm and theoretical knowledge propose solutions that would eliminate any disadvantages and improve logistics operations in warehouse of the selected company.
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Optimalization of material flow in automotive industry
Kolář, Tomáš ; Jirsák, Petr (advisor) ; Vinš, Marek (referee)
This master thesis is focussed on optimalization of material flow in an automotive company. First part introduce theoretical background. Automotive industry and its actual trends on global markets. Follows short introduction of the company where project of this thesis was executed. Main theoretical part describes concept of lean management, its tools in practical examples, but it is also focussed on philosophical approach to the work and mindset of the company. Follows the aplication part based on theoretical background. The whole project of this master thesis is focussed on specific area called PC store. At first this area is showed in context of overall material flow. Shortly there are introduced processes and areas where full material packaging flows. Follows deeper analysis and optimalization of PC store itself. There are three approaches of stock and lead time reduction applied. Last part shows the comparison of initial and future state including performed changes.
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Awareness of Volunteering in the Czech Republic and Abroad among Students of the Faculty of Health and Social Studies of South Bohemia University
MARKOVÁ, Marcela
My work is focused on the volunteering. It aims to introduce the Healthy Social Faculty of the Southern Bohemian University in České Budějovice (ZSF JU) and its faculty volunteering. It describes where the volunteers can involve themselves (Czech Republic and abroad) and also the condition of volunteering at the faculty (regarding how many students are involved and informed). My work is supposed to be a study material for students of ZSF JU. It can be used as an information source for the faculty management and it can also be an inspiration for the future concept about volunteering. It has two parts; theoretical and practical (experimental) one. The structure of ZSF JU and the history of the volunteering at the faculty are described in the first part. Moreover there are definitions of: volunteering, volunteer, types of volunteering and its legislation base including the brief Czech history of volunteering. Following part informs about benefits of volunteering and particular fields where we can find volunteers. Theoretical part is finished with a chapter about international volunteering. The aim of the practical part is to analyze how students are informed about possibilities and benefits of volunteering in the Czech Republic and in the world. The aim of my work is set up there and also the hypothesis which have been confirmed or uprooted. Moreover the methodology of the practical part is explained there. I have used a questionnaire method via server "Vyplnto.cz". The questionnaire itself was send using collective correspondence to all student´s email addresses at ZSF JU. There were 478 valid responds from the students of ZSF JU both distance and daily study. Following chapter presents research results gained through statistics of graphs and charts. You can see results of each question in context with other parameters as age, sex, form of study or field of study. The hypotheses were tested via statistics methodology of good matching, called "Chi-square distribution". The results show that students of ZSF JU are informed about possibilities of volunteering in CZ. However they lack information about possibilities abroad. Students of distance study are better informed and more involved than students from daily study. Another part is a chapter called Discussion, where particular results are interpreted and compared with results of similar researches. In the final part you can find the resume of the results and the evaluation of the aim. Students from ZSF JU have quite a good knowledge about volunteering. However, in some concrete parts there is a space for improvement. The conclusion of the work offers some solutions.
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Association of Idependent Theatres of the Czech Republic – Analysis and Description of the Current State
Bodoríková, Markéta ; KAŠPAR, David (advisor) ; PROKOP, Petr (referee)
The thesis is focused on newly established Association of Independent Theaters of the Czech Republic, officially using the abbreviation AND ČR. The aim of the thesis is to describe formation of the association, its current state, future plans and its functioning. The first part examines the term “independent professional theater” and briefly characterizes selected organizations from the Czech Republic and Europe with the potential to meet with the AND ČR in the cultural area in future. In the following parts were researched needs of independent professional scene in Prague and was described the needs analysis for the field of “independent” theater from the year 2013. The thesis describes the development of AND ČR, its activities up to current stage, organizational structure and future short-term plans. In the final part of the thesis, there is defined the management system of the association and established its possible improvements so the AND ČR would become the leading organization representing independent professional theaters in the Czech Republic.
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FAUST AND JOB´S
Slezáková, Kateřina ; ULLRICHOVÁ, Daria (advisor) ; SÍLOVÁ, Zuzana (referee)
This thesis examins the nature of Faust’s inner ambivalence in the context of modern times. It tries to identify the basic traits leading to the feeling of emptiness. The authoress uses comparing the dramatic character of Faust with his biblical prototype of Job and one of the most successful entrepreneurs today Steve Jobs. Based on the comparison she contemplates the validity or mutation of the drawing theses nowadays. In the second part the authoress reflects the production of the project of Faust. Due to her specialization in the field of dramaturgy she pursues especially the process of the selection of particular dramatic situations, adjustments of dramatic text and the choice of suitable staging means.
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