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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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Determinants of Industrialization in sub-Saharan Africa and Possibilities for their Development
Sejkora, Jiří ; Jiránková, Martina (advisor) ; Šaroch, Stanislav (referee) ; Fárek, Jiří (referee) ; Adamcová, Lenka (referee)
Sub-Saharan economies need structural changes that would enhance their productivity, increase economic growth and development. In this regard, industrialization plays a key role. Using regression analysis, the aim of this dissertation thesis is to identify main factors (determinants) of industrialization in sub-Saharan Africa. The results indicate that infrastructure and economy size (measured by population size) represent main determinants of industrialization in the region. The thesis also deals with possibilities for development of those determinants. Case study of infrastructure development in Mauritius emphasizes privatization, cooperation with external subjects etc. Negative consequences of small economy size can be overcome by preferential trade agreements (under certain circumstances), as shown by analysis of the three smallest economies in the region.
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The analysis of an impact of realised projects of the OP Prague - the competitiveness of program period 2007-2013
Kellnerová, Markéta ; Wokoun, René (advisor) ; Krejčová, Nikola (referee)
The purpose of this dissertation is to evaluate an impact of realized projects of Prague operating program The competitiveness on a development of the Prague region. Theoretical part is dedicated to formation and development of regional politics, consequent establishment of the EU and its dividing into the program periods including given aims. Subsequently, the dissertation examines the possibilities of using the funds of the EU, after, these possibilities are discussed, specifically for the CZ. Due to the fact, that it is the OP which is referred only to the capital city Prague, one chapter is given to this issue. The last section of the theoretical part is an implementation of the OP. The practical part is concerned about quantitative and financial analysis of the OP, which is divided into the program years. In the end of the practical part, an effect of the OP is totally evaluated, mainly its impact on the development of Prague through horizontal subjects and achieving of set indicators. Finally, the effect on the region of Prague is evaluated, in terms of applicants for funds.
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Spain as a tourist destination
Zbořilová, Kristýna ; Abrhám, Josef (advisor) ; Havlíčková, Blanka (referee)
This Bachelor's Thesis deals with tourism in Spain. The topic is quite broad so the main aim of the thesis is to evaluate tourism in two significantly different regions - Andalusia and Basque Country. The first chapter defines terms related to tourism that are essential to coherently understand this thesis. For example, this part defines the term tourism and its typology. The second chapter focuses on tourism in all of Spain. In particular, Spain is described in terms of history and how tourism is evaluated. In addition, Spain's most attractive places are presented. The second to last, and final chapter are similar in structure in order to perform a comparison of the chapters. The first part of both chapters describes the regions. Then, tourism is evaluated by using statistics from incoming tourists. Finally, SWOT analysis is used to comprehensively evaluate the previously mentioned information.
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The Issue of Nursing Care in Old People's Homes
MARKOVÁ, Štěpánka
The thesis deals with the issue of nursing care in old people's homes. Given the improving medical and nursing care and also the prevention of diseases, the human life extends. This leads to the aging of population. Therefore, it is essential to understand this issue, its interconnection with nursing care, but also to find the right approach to the elderly in residential facilities providing social services. The theoretical part of the thesis deals with old age and aging, behavioural changes in old age, specifics of communication with the elderly, long-term care for the elderly, care for a man in nursing homes. It deals with the work of nurses in old people's homes and with their education. Five objectives were set within the framework of the research. The first objective was to determine areas of nursing care, in which the nurses working in old people's homes have most problems. The second objective was to find out how the nurses manage physical strain. The third objective was to determine how the nurses manage psychical strain. The fourth objective was to find out what theoretical knowledge and practical skills the nurse must have. The fifth objective was to identify possibilities of further training for nurses working in old people's homes. Qualitative research was applied in the empirical part of the thesis. The method of non - standardized interview was used. The research group consisted of 10 nurses who work in residential facilities for the elderly in old people's homes. To process the interviews, the open coding technique was applied - a paper-and-pencil method. To complement psychical resilience of nurses, S.O.C questionnaire by A. Antonovsky was used. There were 42 questionnaires used in the research. The interviews with the respondents showed that the work of a nurse in homes for the elderly is physically and mentally demanding. And it is obvious that nurses feel the mental strain as more damaging. The physical demands are connected with the state of the client and his diseases but also with the space limitations of homes and night shifts. The mental burden is caused by similar factors and also by the family of the client, specifics of the communication with the elderly, cooperation with the hospital, working atmosphere, responsibility and keeping records. Next important factor that negatively influences mental state of the nurses is a lack of prestige and recognition of their work. Even though the nurses feel both types of stress, most of them cope with it without problems and they try to restore their balance in their leisure time. The conclusions of the thesis also point to the high demands and wide range of expertise and skills required from the nurses when providing care. Even specialized procedures are carried out in homes. Nurses must know how to communicate, handle conflict situations, co-operate with colleagues from different fields. Great emphasis is placed on independence in evaluating the health state of the client while ensuring the nursing care. The nurse must have personal qualities for work with the elderly. Another important component of their work is their knowledge and practical skills in the field of social work theoretically backed by the Act 108/2006 Coll.
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Creation of the Enterprise Architecture model according to the TOGAF framework
Čapek, Jan ; Doucek, Petr (advisor) ; Zeman, Petr (referee)
The present diploma thesis aims at introducing the Enterprise Architecture and creating an abstract model of a company. The primary focus is on application and process layers as defined in the architecture framework TOGAF. The thesis is divided into theoretical and practical part. The theoretical chapter starts with a business model analysis which means to describe mission vision and companys values as a part of the strategy framework. Furthermore the business processes are described in the latter part of this section. This chapter attempts to explain how to map a business process and to categorize it by nature and maturity level. Penultimate chapter introduces the Enterprise Architecture in general. This section includes arguments as to why the companies should be concerned with the Enterprise Architecture advantages of the Enterprise Architecture implementation into the companys documentation relationship of companys core business and IT and examples of the Enterprise Architecture frameworks. The last chapter deals with the TOGAF framework where Architecture Development Method is described. This means how Enterprise Architecture model is created and how to implement changes into the layers according to the TOGAF framework. Simultaneously the last section of this chapter describes the reference models which provide graphical overview of all abstractions layers. The practical part of the thesis elaborates on the theoretical part using the Architecture Development Method process in order to create the Enterprise Architecture model according to TOGAF framework. Same as the theoretical part it only focuses on the application and process layer. Firstly the business model is decomposed into vision mission and companys values to the companys strategy and business goals in order to grasp further understanding of business processes detailed description. Subsequently the abovementioned aspects are recomposed to create process map which provides the management overview. The application layer undergoes the same process; nonetheless the process map is replaced by information system description and reference model creation. Once the models are created the thesis compares them with the business and strategic goals. The benefit brought by this thesis is critical evaluation of current status to propose changes to achieve target architacture according business and strategic goals established by management.
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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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Výběr a implementace open source nástroje pro řízení portfolia projektů
Marek, Jan ; Chlapek, Dušan (advisor) ; Kučera, Jan (referee)
Methods and ways of implementation of changes and innovations in companies through project management are in today's society very well established. There exists methodologies, techniques and tools for the management of individual projects. However in a role of project manager, I very often faced the fact that companies are performing the project portfolio management in very intuitive way. This in itself leads to failed and prematurely terminated projects, initiation of the wrong projects or realisation of correct projects, but at the wrong time. Very often I have also recognized, that there is lack of awareness of fact, that there are also Open Source applications that can help with the organization's portfolio. This thesis deals with the definition of requirements, search and selection of proper OSS application and subsequent implementation. In the first part of this thesis I prepare a theoretical framework about PPM, and on that basis then identify and verify a set of requirements for selection of right OSS PPM application. The next section of thesis describes searching for suitable applications from a variety of sources, assessment against the requirements and the final selection. In the last part the implementation project is drafted, which aims to serve other colleagues in project management as one of the possible implementation paths. The outputs are then continuously confronted with experts in matter of projects and project management in the field of IT in order to maximize symbiosis between theory and real life experiences. Virtually every project management methodology defines the collection of already-proven techniques, best practices or lessons learned from the previous similar implementations. The main contribution of this thesis I see in fact that it contains not only the design of the project implementation, but also describes a logical path, what leads to the result. Therefore this thesis could be used as a base or discussed best practice, when a project of implementation of PPM application in place.
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Old or new in the Antonín Dvořák´s Serenade op. 44
Kolátorová, Petra
The paper considers the genre of the orchestral serenade in the context of reflections on “old” and “new”. The serenade form was rediscovered for the 19th century by the German composer Johannes Brahms, who built on the legacy of Viennese classicism. In the case of Antonín Dvořák’s Serenade for Wind Instruments, op. 44, it is also possible, on the basis of analysis and historical connections, to speculate about classicist models, specifically Wolfgang Amadeus Mozart’s Serenade in B Flat Major, KV 361/370a. Dvořák took Brahms’ initiative a step further, with his Serenade op. 44 presaging the trend in development towards neoclassicism, which, however, was to come much later.
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Food supplements and iodine supplementation breastfeeding women
IVANOVÁ, Markéta
Iodine is a trace element that is essential for the production of thyroid hormones triiodothyronine and thyroxine. Iodine deficiency had in the past result in many serious diseases and disorders. At present is in the Czech Republic considered mastered. However, Iodine deficiency are vulnerable to specific groups of the population, including pregnant and nursing women, because of their need and the recommended daily dose of iodine is increased. Breastfeeding women should receive adequate amounts of dietary iodine for optimal saturation for themselves and their child. Otherwise, exposing themselves and their child risk of diseases and disorders of iodine deficiency. Increased supply of iodine can be replaced by eating foods rich in iodine. In the event that you cannot increase intake of iodine - rich food preferences in iodine, there are various supplements that contain iodine. The aim of this thesis was to evaluate the intake of iodine supplements and supplements in nursing women and breast-feeding women to assess the awareness for greater needs of iodine and food iodine sources. There were set up the three research questions: How many nursing women used to supply iodine supplements and supplements?, What is the awareness of breastfeeding women need more iodine? and What is the awareness of breastfeeding women about dietary sources of iodine? A quantitative research strategy was used for the implementation of the research. The method used for data collection was made by an anonymous questionnaire. A questionnaire was handed in a printed copy to pediatricians and gynecologists in the southern Bohemia. With the doctors help were invited nursing women to fulfill the questionnaire. Part of the women was invited to complete the questionnaire directly. The research sample consisted of 117 female respondents. The research shows that 62 % of breastfeeding women know why it is important to increased need for iodine during lactation. But only 9 % of women know all the risks of iodine deficiency on the mother mentioned in the questionnaire and only one new mother knows all risk of iodine deficiency for infants listed in the questionnaire. The recommended daily intake of iodine properly reported or estimated 40.2 % of women. It turned out that 46 % of respondents from the research group used food supplements and supplements containing iodine. Each of these respondents used only one preparation with iodine. The most commonly used products were: GS mamavit, a Smart baby and Femibion 400 and Gravital. 43 % of respondents had used a dietary supplement containing iodine from the beginning of pregnancy and in 57 % of the respondents were informed about food supplements through a doctor (gynecologist, pediatrician). The results showed that awareness of breastfeeding women about food sources of iodine is not good. 67 % of women know that settlement higher needs iodine during lactation is possible by eating foods rich in iodine, but all food sources of iodine in the questionnaires (sea fish, seafood and seaweed, iodized salt, and milk and dairy products) registered only one respondent. 39 % of women known as a rich source of iodine, seafood, seafood and seaweed, iodized salt , but none of them knew that the rich and a good source of iodine is also milk and dairy products. Based on the results of the work would be desirable to issue educational print disabled educational material that could be used to increase awareness of not only women who are breastfeeding, pregnant women as well as the higher of the recommended daily dose of iodine and what foods to include in your diet in order to pay the increased intake of iodine. Provide information on supplements containing iodine, which can add missing quantities of iodine, what products are available and what are the currently preferred by nursing women.
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