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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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How are high school students informed about virus biology
Solarová, Pavlína ; Drda Morávková, Alena (advisor) ; Fraiberk, Martin (referee)
Biology is the study of viruses, which are engaged in teaching 2-3 lessons. During those hours, students must not only absorb information about the structure and function of the virus, but also the reproduction of the organism, several representatives and, ultimately, diseases that cause that exists prevention and treatment these diseases. Students remember what it is for the vaccine, the virus infects whom, how they can get infected or what the immune system. What makes the problem of students are questions: which of the viral disease is, what constitutes a viral particle, or what is an infectious disease. In the RVP G is determined curriculum is very vaguely. The teacher thus has a certain freedom in creating the ŠVP and its preparations. To more precise what students should know for graduation, testing requirements used common catalog of the school-leaving examination in this case of biology, who has broken the outputs of the curriculum of all biological disciplines.
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Analysis and implementation process of system Prosoft for a hospital
Grečner, Eduard ; Pour, Jan (advisor) ; Fortinová, Jana (referee)
The main objective of this thesis is to analyze the information system by company Prosoft and its current state of use at a hospital in Košice. The work is divided into two parts. The first part is to elucidate the company Prosoft, as such, but also the products and services it offers. In the second part we will learn about the system requirements and the requirements from hospital to company, but the main part is to analyze the functionality of the system and a description of its implementation. The result of this work is to present useful information on an information system designed specifically for medical uses. It also suggests some improvements that would help the system to greater efficiency and popularity.
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Confidence in criminal justice and compliance in the Czech Republic
Homolová, Pavla ; Buriánek, Jiří (advisor) ; Podaná, Zuzana (referee)
The thesis is aimed at normative and instrumental aspects of compliance with the law and cooperation with the criminal justice system in the Czech society, namely trust in the police and criminal courts and their perceived legitimacy, personal morality and perceived risk of sanctions. Its purpose was to empirically verify the revised Tyler's procedural justice model of compliance as suggested by Jackson et al. (2011) within the Czech context. A review of literature on the topic implied potential constraints to validity of the model in the Czech society, mainly in respect to low levels of trust and legitimacy of the police and courts. Nevertheless, the empirical analysis based on structural equation modelling with use of two representative datasets (ESS Round 5 2010, Bezpečnostní rizika 1999) indicates trust in police procedural fairness to be - in contrast to fear of sanctions - a strong factor in predicting compliance. The obligation to obey the law shaped mainly by trust in procedural fairness and personal morality appear to be comparatively the most important predictors of compliance in the Czech Republic. The model was not significant in case of courts nor for the 1999 dataset, probably due to poor internal consistency of some constructs. Keywords confidence, legitimacy, criminal justice, compliance
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Analysis of educational materials for patients with coeliac disease
ZIMMELOVÁ, Hana
The Dissertation deals with educational materials for patients with celiac disease. It describes general requirements for teaching materials and the didactical principles suitable for educational materials for patients with celiac disease. It presents a draft criteria for assessment of web sites intended for people suffering of celiac disease. Five Czech, as well as foreign Internet-based resources, have been selected and assessed for compliance with the criteria given by technical properties, contents, page structures, criteria evaluating credibility of the sites and educational criteria. All the sites assessed can be used for education of patients with celiac disease, but they are rather information sites with a low content of educational characteristics.
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Influence of the global financial crisis on the banking system of Russia
Zenina, Aleksandra ; Heřman, Jan (advisor) ; Zeman, Karel (referee)
The global financial crisis has influenced the development of many countries. Russian Federation isn't exception. The special impact crisis has had on the country's banking sector. The main purpose of this work is to analyze the effects of the global financial crisis on the banking sector of the Russian Federation on the example of "Sberbank". Analysis of the influence of the financial crisis on this company consists of the following methods: research, analysis and planning. Analysis of the impact of the crisis includes the calculation and comparison of indicators such as capital adequacy, liquidity, return on assets, return on equity, the concentration of credit risks, the analysis of revenues and expenses of the enterprise for the period 2008-2010. Using these indicators it's possible to explore the market, the company's position in the banking sector, strengths and weaknesses, as well as the possible development in the future. Analysis of the influence of the global financial crisis on the Russian banking sector allows understand the reasons for problems and develop possible solutions.
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Phishing in the gaming industry
Nguyen Van, Thanh ; Luc, Ladislav (advisor) ; Veber, Jaromír (referee)
This bachelor thesis deals with a currently major issue of cyber security, which is phishing. The study is also specific in that it is focused on the gaming industry, which is subjected to a detailed analysis. The first goal of thesis is to acquaint the reader with problems of security risks of phishing in general and in game related fields. To achieve this goal, in the introduction of the theoretical part of the work, the general problem of phishing with a view on historical development and expansion is presented. Furthermore is described topic of gaming industry, its trends of videogames and security risks of online trading. The second goal is to give future and existing Steam users an overview of common phish-ing attacks and countermeasures. To achieve this goal, in the analytical part of the work, a specific gaming platform in online trading and distribution of game is selected, Steam from Valve. In the practical part of the work, eight selected phishing attacks are conducted to brief analysis and completed into a final evaluation and countermesures of all attacks.
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Production system risk analysis
Motyka, Pavel ; Tabas, Marek (referee) ; Kotek, Luboš (advisor)
This thesis deals with risk assessment in the production system on the assembly line. Using risk analysis of each part of the production system will be realize the impact of the machinery to sevice. Then, by risk assessment often repetitive manual handling will be deal with the impact of the production system on health and safety service.
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Application of Monte Carlo simulations in banking
Boruta, Matěj ; Teplý, Petr (advisor) ; Fučík, Vojtěch (referee)
Currently, banking is exposed to huge market risks. One of those risks is occurrence of negative interest rates in the EU. Nowadays, it is important to use sophisticated and modern measurement tools and approaches to measure and manage banking risks. One of those methods is Monte Carlo simulation. This bachelor thesis is aimed at analysis and prediction of 3-month maturity Prague Interest Offer Rate (PRIBOR) for 3, 6 and 12 months with using Monte Carlo simulations. It was found that this method is suitable for prediction market variables with low volatility. If anybody uses this method, it is necessity to have in mind all pitfalls and assumptions, that this method includes, as an adequate random generated number of scenarios, approximation of correct probability distribution, independence of dataset and not least, as far as possible, to focus on factors generating randomness of market variable and not the prices, that express rather consequences of randomness than its cause. Further, the Monte Carlo prediction was compared with prognosis of the Czech Nation Bank and it was found that Monte Carlo prediction is more accurate for short term predictions. 12-month prediction of Monte Carlo simulation discovered also possible occurrence of negative interest rate at 0,05% level of probability in compare to the Czech National Bank prognosis, where was no negative interest rate predicted.
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Language Education at Higher Education Institutions in the Process of Internationalisation
Vlčková, Iena ; Vašutová, Jaroslava (advisor) ; Váňová, Miroslava (referee) ; Andrášová, Hana (referee)
The aim of the thesis is to compare the state of reforms of the Bologna process in the Czech Republic and in Germany, and their applications in the study plans in the specialised language education in both countries. The research theme is addressed in a correlation with the situation at higher education institutions in Germany. It is so also due to the fact that at the beginning of the reforms, the German tertiary education institutions faced the same changes as the Czech ones tackle now. The first part of the thesis focuses on the general analysis of the state of the reforms in the Czech Republic and in Germany; in the second part attention is given to the state of teaching of the specialised language at higher education institutions of a non-philological orientation. Powered by TCPDF (www.tcpdf.org)
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