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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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Usage of unstructured data in Business Intelligence
Rakhmanova, Malika ; Šperková, Lucie (advisor) ; Karkošková, Soňa (referee)
The aim of the thesis is to identify the main trends that are occurring in the market of Business Intelligence and related to unstructured data, to describe the possibilities for integrating unstructured data, to clarify what the impact on the company have the results that can be obtained using these solutions and how generally incorporate an analysis of unstructured data into BI. Another aim is to show the current situation of processing unstructured data on the example of BI system. The thesis is divided into several parts. First part is describing of the Business Intelligence area and the basic components of Business Intelligence, as well as identifying market trends. Then, there is the next part: separating the data into structured and unstructured. Here is the part about how you can access and analyse unstructured data and what is their place in BI systems. This is the end of a block of unstructured data and the beginning of a description of the enhanced version of BI. Finally, the current market situation and BI tools, which include unstructured data, are introduced. This section provides an overview of how BI tools approach to analyse unstructured data. Existed literature, professional and freely available Internet resources are used for writing the work. The purpose is to serve as a source of information for quickly orienting in the current situation, to serve as a guide to the world of BI solutions and to show potential users what are the options and functionality of these BI solutions.
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Analysis, design and implementation of CRM solutions for selected company
Ilavský, Dávid ; Pour, Jan (advisor) ; Šedivá, Zuzana (referee)
Bachelor thesis focuses on the area of information systems, which are used to support customer relationship management in companies. The main objective of this work is to provide a sample of solution for CRM system implementation for real customer from the banking sector. The first part defines basic functional areas of any CRM application. Each of these areas is described in more detail in terms of its primary use and tasks that within the CRM as a whole performs. Further is described the analytical area of CRM application (or Customer Intelligence), which is gradually playing a key role in the entire CRM system in past few years. It includes its potential uses in various fields. At the end of the theoretical part, the author compares the fundamental differences between cloud model of deployment and traditional on-premise solution. The practical part focuses on the main objective of the thesis and description of the supplied solution in the form of a module, which extends the existing CRM application with the option for business partners registration of Hypoteční banka, a. s. and ČSOB Pojišťovna, centralized in one system. The requirement is build in Microsoft Dynamics CRM 2011 and as the source system it is used CRM system of Hypoteční banka, a. s..
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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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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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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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Cultural support in Prague's districts
Mokrá, Jolana ; KAŠPAR, David (advisor) ; PROKOP, Petr (referee)
Diploma thesis ”Cultural support in Prague's districts” focuses on a current situation in municipal strategical management and support of culture in all Prague districts. The introduction emphasises the importance of each level of government in the management and support of culture through comparing specific cultural policies. The research is divided into two parts. First one depicts how culture is being understood on the municipal level and presents an overview of existing instruments for support and planning. The second part is focused on a few municipal districts that handle their culture policy with a particular strategy and consider it to be an irreplaceable part of a local development. The second part also examines what tactics and tools these municipal districts use for a realization of their strategic goals. In conclusion, this thesis proves why the role of the local official government is so important in the developement and implementation of culture.
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THE BACCHAE, FAUST AND LADYBIRDS
Závodský, Norbert ; NEBESKÝ, Jan (advisor) ; BURIAN, Jan (referee)
This bachelor thesis focuses on themes like the collapse of the myth of God, crisis of faith and seeking God, as well as on way to stage them in a theatrical performance. The first part of this work tries to depict changes in a relationship between a man and God and their mutual combat. The chapter dealing with the cult of Dionysus shows a clash of the two fanaticisms; the religious and the rational one. The Faust chapter is concerned with the idea of free decision making and the difficulties and the possibility of a personal crisis this freedom might cause. The final chapter The Ladybirds opens the problematic of suffering of the innocent, which is the most common objection against the existence of God. The practical part of this work reflects on the school projects and the process of making. It also asks whether it is possible to stage themes like faith in one of the most atheistic nations in the world.
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Influence of meadow management on the migration behavior of selected species of butterflies
Bubová, Terezie ; Langrová, Iva (advisor) ; Farkač, Jan (referee)
Migrations are the key process and one of the basic biological features, which allow survival of endangered species in fragmented landscape. In the last decades, agriculture intensification, industry and urbanization caused that number of natural butterfly habitats has significantly decreased. The localities originally suitable for butterflies are currnetly converted to farmland or building plots. This PhD thesis aimed to find a compromise solution of meadow management, which should allow a commercial use and concurrently do not jeopardize the continued existence of endangered or threatened species. The main idea of this study was in the intentional emigration causing in the middle of flight period, which should lead into resettlement of the population to another (potentially more suitable) locality. Possibility of aimed manipulation with butterfly emigrations would be considered as a major breakthrough in their protection.
The investigated species Phengaris nausithous (Bergsträsser, 1779) and Phengaris teleius (Bergsträsser, 1779) are both considered to be flagship species for protection of European butterflies at open meadows. This study is based on research, which was carried out in 2013-2015 at 17 patch in localities Dolní Labe, Czech Republic. In above mentioned years, one selected meadow was mowed in the middle of flight season and the emigrations were then monitored using mark-release-recapture method. Results of population and migration characteristics were calculated in MARK 8.1 software. Subsequently, the effect of mowing on emigration (comparison of emigrations from the meadow before and after mowing) was evaluated using Statistica 13.
The hypotheses of this study were based on the assumption, that the loss of resources after well-timed mowing should increase the activity of adult butterflies. During the monitoring, number of emigrations was increased only in flight season 2015. Unfortunately, the statistical evaluation did not show significant effect of mowing on migrations. On the other hand, the hypothesis dealing with colonization of nearest meadows was confirmed.
Effect of intentional emigration caused by management interventions was unfortunately not proved. However, we found out, that even though the population at one mowed meadow decreased clearly, the metapopulation size at the locality remained more or less stable.
At investigated (mowed) meadow, there was observed a sharp decline of P. nausithous abundance. On the other hand, P. teleius population was only slightly reduced. It is therefore conceivable, that P. teleius are not as susceptible to innapropriate term of mowing. The results obtained in our research conclusively displayed no possible positive effect of mowing in the middle of flight season and a necessity of suitable management maintenance at localities inhabited by Phengaris butterflies.
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Individual human odor as a forensic trail in criminal proceeding made by contact or contactless transmission and its resistance to physical agents
Santariová, Milena ; Bartoš, Luděk (advisor) ; Chmelíková, Eva (referee)
The dissertation thesis consists of four papers that have been published in scientific journals.
Study n. 1
The need to recover evidence from water is quite common in criminal investigation. The article deals with the possibility to collect human scent from such objects and with the ability of specially trained dogs to match such scent samples with scent samples collected from detained suspects. During an experiment, designed as a blind one, it has been proved, that human scent can survive on submerged objects and can be later used for scent identification.
Study n. 2
To collect odors the Czech Republic Police use special fabric sorbents manufactured under the registered mark ARATEX. Before use the fabric sorbent is treated by water vapor sterilization. After the scent identification the sorbent is destroyed. The goal of the study was to verify if the vapor sterilization is effective enough to remove human scent that has already penetrated into the sorbent structure or in other words if the sorbent can be exposed to vapor sterilization and then used again. Specially trained dogs were used to match starting odors with target odors in the line-ups. The results showed that dogs are able to correctly match human odors even after they have being exposed to vapor sterilization.
Study n. 3
The purpose of the study was to determine the temperature at which the human scent is degraded so that a dog would not be able to identify it. In contrast to expectations, eight dogs used in the experiment almost flawlessly identified human scents from five scent donors exposed to temperatures of 100°C, 200°C, 300°C, 400°C, 500°C, 600°C, 700°C, and 800°C. Only two of the dogs were able to identify 5 of 15 scent samples exposed to 900°C. No dog identified a scent exposed to 1000°C. Our study verified heat survivability of human scent far beyond existing expectations.
Study n. 4
We tested the hypothesis that if odor fallout (the release of a human odor onto an untouched object) in human subjects exists, then holding a hand above an absorbent will produce a detectable scent which will be subsequently matched in a detection test by trained dogs. Scents were collected from seven males to sterile cotton absorbent squares. The left hand was used to get the control scent and the right hand served as the target scent. Each experimental subject was sitting and his left hand was laid down on a cotton square for 3 min. The right hand was held 5 cm above another cotton square for 3 min. The scent identification was done by two specially trained police German shepherds. Both dogs performed 14 line-ups and correctly matched the collected scents of all test subjects. The results suggest the existence of human odor fallout, whereby a human scent trace is left by humans even if they do not touch an object.
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