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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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Design of processes of business department in IT company and measuring their performance
Schütz, Martin ; Oškrdal, Václav (advisor) ; Bruckner, Tomáš (referee)
The thesis deals with design of new processes of business department in IT company which provides server hosting, web hosting and domain registration services. These processes come from identification and analysis of current processes and the theory of business department management. Key Performance Indicators (KPIs) were set for selected processes which can be used for managing the company as a whole. Models of processes were created due to EPC notation. New processes were designed to continuously create data in CRM information system providing evidential and information support necessary for business department management, including the possibility of measuring its performance. Processes also automatize often repetitive activities and provide relevant information to other affected business units within the company. Contribution of the thesis lies in results of analysis of current identified processes containing solution proposals of discovered problems and newly created process models. Both can be used as a pattern for optimization of current processes in already existing organization or for designing new process models in new organization in the same or similar field of business.
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Marketing strategy of the company 3M in social media
Němec, Tomáš ; Halík, Jaroslav (advisor) ; Luňáčková, Michaela (referee)
Diploma thesis focus on social media as a phenomenon of modern times and their use in a marketing. I will introduce four most frequently used social media - Facebook, Instagram, Twitter and YouTube as well as an outline the possibility of their use in marketing. Marketing strategy in social media I decided to introduce through a concrete example - an international company 3M. This company I chose mainly because it operates in the market of industrial products, where online marketing is not as much used and also because it cooperates with University of Economics. After introducing the basic marketing theories and explanations of basic terms I will analyze an existing 3M marketing strategy in social media and on the basis of the analysis and obtained data I will suggest my own possible marketing strategy for the company 3M, which connects all the aforementioned social media.
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Possibilities of Big Data use for Competitive Intelligence
Verníček, Marek ; Molnár, Zdeněk (advisor) ; Šperková, Lucie (referee)
The main purpose of this thesis is to investigate the use of Big Data for the methods and procedures of Competitive Intelligence. Among the goals of the work is a toolkit for small and large businesses which is supposed to support their work with the whole process of Big Data work. Another goal is to design an effective solution of processing Big Data to gain a competitive advantage in business. The theoretical part of the work processes available scientific literature in the Czech Republic and abroad as well as describes the current state of Competitive Intelligence, and Big Data as one of its possible sources. Subsequently, the work deals with the characteristics of Big Data, the differences from working with common data, the need for a thorough preparation and Big Data applicability for the methods of Competitive Intelligence. The practical part is focused on analysis of Big Data tools available in the market with regard to the whole process from data collection to the analysis report preparation and integration of the entire solution into an automated state. The outcome of this part is the Big Data software toolkit for small and large businesses based on their budget. The final part of the work is devoted to the classification of the most promising business areas, which can benefit from the use of Big Data the most in order to gain competitive advantages and proposes the most effective solution of working with Big Data. Among other benefits of this work are expansion of the range of resources for Competitive Intelligence and in-depth analysis of possibilities of Big Data usage, designed to help professionals make use of this hitherto untapped potential to improve market position, gain new customers and strengthen the existing user base.
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European funds and their usage for logistics projects in Czech Republic.
Číhalová, Denisa ; Jirsák, Petr (advisor) ; Joura, Adam (referee)
The thesis discusses the issue of freight villages and the possible usage of European funds for their construction. The topic is very actual because by the current program period 2014-2020 has appeared change concerning the financial support of multimodal freight transportation. The aim of this thesis is to determine, whether from the production companies operating in the automotive industry exists demand for such a freight villages. Needed information has been obtained on the basis of in-depths inteviews of manufacturing companies located in the region Vysočina.
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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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The model of adaptive behavior for the development of Czech assessment scales for children
Chadimová, L. ; Urbánek, Tomáš ; Seifert, M. ; Ivanková, K.
We introduce results of cluster analysis conducted during the development of Czech assessment scales of adaptive behavior in children and adolescents. Within the frame of National Institute of Education we organized the group of experts on the topic of adaptive behavior, both from the academical and practical areas. Every member of the expert group obtained 300 items inspired by local or foreign methods of adaptive behavior assessment. The experts were instrued to cathegorize the items, which they found meaningful with regard to the construct of adaptive behavior and its manifestation on the Czech background. Based on results we compiled consequent model of adaptive behavior, that becomes the base structure for newly developed assessment scales. We compare this structure with the model of adaptive behavior used by DSM-V.\n
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Stomacare nurses and their share in the work with self-help groups of patiens.
ŠŤASTNÁ, Olga
Stoma nurses and their contribution to work with self-help groups of patients. The diploma thesis dealt with the cooperation of stoma nurses with self-help groups of stoma patients in ten regions of the Czech Republic. The aim was to find out if stoma nurses recognize the importance of self-help groups for stoma patients, how their work contributes to self-help groups, if stoma nurses cooperate with self-help groups and if they inform stoma patients about the existence of self-help groups. Another objective was to determine the level of significance stoma patients give to self-help groups. The goals of the work were met. The theoretical section addresses the issues of self-help groups, the history, benefits, risks, stoma nurses and their education. Cooperation between doctors, stoma nurses and the club of patients is also mentioned. The contexts of a stoma - preoperative and postoperative care, nursing care complications, the stoma aids - are involved in the conclusion of the thesis. In the practical section an investigation through qualitative in-depth interviews with stoma nurses on the base of five research questions was carried out. Do stoma nurses consider self-help groups important in the life of a stoma patient? What information do stoma patients ask for when stoma nurses participate in self help groups? What is the cooperation of stoma nurses with self-help groups in individual regions? Do stoma patients take part in activities within self-help groups? Which age groups of patients, according to stoma nurses´ opinion, prefer to work in self-help groups? On the basis of a qualitative research hypotheses were established for a quantitative investigation. This quantitative research survey through questionnaires was conducted in patients with a stoma, also in ten regions. H1: Stoma nurses recognize the importance of self-help groups for patients with a stoma. H2: Stoma nurses cooperate with self-help groups of stoma patients. H3: Stoma nurses inform stoma patients about self-help groups. H4: The biggest benefit of stoma nurses for stoma patients in self-help groups is giving information about the use of aids. H5: Stoma patients consider self-help groups very important. All hypotheses were confirmed. Stoma nurses as well as stoma patients consider self-help groups very important in their lives. Currently stoma nurses cooperate with self-help groups in all regions, they inform new stoma patients about opportunities to take part in self-help groups and do not forget to give advice about aids and stoma nursing, which is the most valuable information for the stoma patient especially at the beginning of treatment. The results were consistent in both investigations and will be offered to individual stoma nurses for improvement of mutual cooperation. And in the regions where self-help groups do not exist yet or are being established, I firmly believe that the results of this thesis will help in self-help groups activities. The research survey has proved that the stoma nurses´ work is meaningful owing to its results and goals. Stoma nurses have a large share of the self-help groups work.
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Access to Information and Access to Justice in Environmental Matters in the Republic of Irealand and the Czech Republic
Vítková, Martina ; Stejskal, Vojtěch (advisor) ; Sobotka, Michal (referee)
This diploma thesis deals with access to environmental information and access to justice in environmental matters introduced by Aarhus Convention in the specific conditions of Czech Republic and Ireland. These rights are considered to be very important tools for environmental protection. At a time when people threaten their own existence by negative interference with the environment it is necessary that effective means for its protection exist. These means are access to environmental information and access to justice in environmental matters, which together can be called as environmental procedural rights. The first chapter of this thesis presents the sources of environmental procedural law and observes the development of law at international, European and national level. The most important international document in this field is the Aarhus Convention that was adopted in 1998 by most of the European countries and that provides for access to environmental information, access to justice and public participation in environmental decision-making. This convention has largely affected the law of the European Union, where several directives has been adopted, including most importantly the Directive 2003/4/EC on access to environmental information and the Directive 2003/35/EC on public participation in...
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Mask, Disguise and Role Play in Worldwide Contemporary Self-Portrait
Helfertová, Žofie ; SILVERIO, Robert (advisor) ; DVOŘÁK, Tomáš (referee)
This bachelor thesis deals with the role of mask, disguise and playing with the roles through self-portrait in worldwide contemporary photography. In the first chapters it follows the general development of the self-portrait and a brief history of photography and its forms and tendencies from beginning to the present, it is also focused on the mask in general and role of masks and disguises in the history of photography. Main part of this work is the last chapter, which is devoted to the youngest generation of contemporary photographers. In their self-portraits we can follow tendency which reveals use of mask and disguise for change of their identity. However, they do not create a new identity but takes over, or form the illusion of existing already defined identities. The aim of this thesis is to present the mask as an instrument for role play through a self-portrait.
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