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Collateralized Debt Obligation: Valuation and Sensitivity Analysis
Benešová, Petra ; Teplý, Petr (advisor) ; Dědek, Oldřich (referee)
A collateralized debt obligation (CDO) is a highly leverage structured credit product linked to credit events of a pool of underlying debt securities. CDO can be understood as an insurance against a credit risk of the pool where its issuer is a protection buyer and its investor is a protection seller. Whereas a CDO issuance has boomed in recent years, by the end of 2008 two thirds of CDOs were in a formal state of default. The aim of this thesis is to clear up the course of events which lead to the suspension of the CDO market and to deduce recommendations for its future development. To do so we develop a valuation program in MS Excel VBA based on a One Factor Gaussian Copula model. Using the program we first apply a sensitivity analysis, than we model value of a CDO tranche before the financial crisis stroke and after it to value a loss of investors based on a change in expected cash- flows. We detect four main deficiencies. First, the market was not properly diversified. Second, the valuation model was often not deeply understood which led to a mispricing of CDO tranches. Third, this resulted in a mispriced base correlation. We also numerically demonstrate the fourth deficiency, i.e. the mark-to-market valuation obligation which can have destructive effects. Recommendations to remove these...
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název v anglickém jazyce není uveden
Benešová, Petra ; Langmeier, Miloš (advisor) ; Hach, Petr (referee) ; Kozler, Petr (referee)
Using hislochemical analysis (NADPH-diaphorase) we have been investigating the influence of intraperitoneal administration of kainic acid, hypoxia and combination of both these factors on neurons of the hippocampus and on the primary auditory cortex in male rats of the Wistar strain. Kainic acid was administered to 12-day-old and I8-day-old animals, which were exposed to long-lasting repeated hypoxia from the 2nd till the 17th day of age in a hypobaric chamber (for 8 hours a day). At the age of 22, 90 and 365 days, the animals were transcardially perfused with 4% paraformaldehyde under deep thiopental anesthesia. Cryostate sections were stained to identify NADPH-d positive neurons that were then quantified in CA1 and CA3 areas of the hippocampus, in the hilus, dorsal and ventral blade of the dentate gyrus and in the primary auditory cortex. In 22-day-old animals with kainic acid administered 18th day of life both hypoxia and kainic acid increased the number of NADPH-d positive neurons in the hilus, CA1 and CA3 areas of the hippocampus and in the primary auditory cortex. On the contrary, kainic acid given to the hypoxic animals lowered the number of NADPH-d positive neurons in the dentate gyrus. In 90-day-old animals with kainic acid administered 18th day of life hypoxia and kainic acid given to both,...
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Determination Of The Most Suitable Ratio Of Cathode Materials For The Lithium-Sulfur Battery System
Benešová, Petra
This paper presents the topic of lithium-sulfur batteries with a main focus on the influenceof different ratio of the cathode materials on the final electrochemical performance of the cell.The theoretical part of the article provides a comprehensive overview of the Li-S technology, mainadvantages and challenges related to the practical use of Li-S systems, and briefly mentions thetypical cathode materials. The objective of the experimental part is to provide a comparison of differentratios of cathode materials in terms of their electrochemical performance, taking into considerationthe physicochemical properties of prepared materials.
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Determination of the most suitable ratio of cathode materials for the lithium-sulfur battery system
Benešová, Petra ; Kazda, Tomáš (referee) ; Jaššo, Kamil (advisor)
This master's thesis deals with a topic of determination of the most suitable ratio of cathode materials for the lithium-sulfur systems. The first two chapters provide a general introduction to the topic of electrochemical energy sources and present the commonly used primary and secondary battery systems with emphasis on their characteristics and applications. The core of the theoretical part is dedicated to lithium-ion and lithium-sulfur batteries, their working principles along with the benefits or drawbacks related to the particular systems, and widely used materials. The experimental part briefly comments on determining the suitable electrode paste preparation method, the subsequent main part is focused on evaluation of electrochemical performance of cells using different ratios of cathode materials. Five samples of cathode materials were prepared, where the sulfur ratio is in range from 64 to 88 wt. %. Finally, the comparison of all prepared ratios in terms of their electrochemical properties is provided.
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Collateralized Debt Obligation: Valuation and Sensitivity Analysis
Benešová, Petra ; Teplý, Petr (advisor) ; Dědek, Oldřich (referee)
A collateralized debt obligation (CDO) is a highly leverage structured credit product linked to credit events of a pool of underlying debt securities. CDO can be understood as an insurance against a credit risk of the pool where its issuer is a protection buyer and its investor is a protection seller. Whereas a CDO issuance has boomed in recent years, by the end of 2008 two thirds of CDOs were in a formal state of default. The aim of this thesis is to clear up the course of events which lead to the suspension of the CDO market and to deduce recommendations for its future development. To do so we develop a valuation program in MS Excel VBA based on a One Factor Gaussian Copula model. Using the program we first apply a sensitivity analysis, than we model value of a CDO tranche before the financial crisis stroke and after it to value a loss of investors based on a change in expected cash- flows. We detect four main deficiencies. First, the market was not properly diversified. Second, the valuation model was often not deeply understood which led to a mispricing of CDO tranches. Third, this resulted in a mispriced base correlation. We also numerically demonstrate the fourth deficiency, i.e. the mark-to-market valuation obligation which can have destructive effects. Recommendations to remove these...
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Electrode Materials And Electrolytes For
Aluminum-Ion Accumulators
Benešová, Petra
This article presents the topic of aluminum-ion batteries, which may become an available alternative to commercially used lithium-ion batteries. Theoretical part of the paper focuses on the basic principles of aluminum-ion accumulators, their advantages in comparison with lithium-ion batteries, and the current state of research on electrode materials and electrolytes for Al-ion batteries. The experimental part deals with preparation of carbon based cathode material, ionic liquid electrolyte
and subsequent assembly of the electrode cell. Basic measurements were made to verify the electrochemical activity of the assembled cell. Eventually, the obtained results and following procedures or process modifications are discussed.
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Electrode materials and electrolytes for aluminium-ion accumulators
Benešová, Petra ; Kazda, Tomáš (referee) ; Čech, Ondřej (advisor)
This bachelor thesis presents a topic of aluminum-ion batteries, which have recently attracted great attention owing to their good electrochemical performance and possible use in commercially produced electronics. The paper introduces the basic principles of the function of aluminum-ion accumulators and their advantages, which are a main motivation for further research. The main feature of the theoretical part is an overview of the current state of research on suitable electrode materials and electrolytes for this type of accumulators. The experimental part is focused on the preparation of several carbon-based cathode materials, preparation of the IL-type electrolyte and subsequent cell assembly. The obtained results are evaluated and briefly discussed, taking into account the effects of the cell components and other factors.
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Karlštejn Castle in 20th Century
Benešová, Petra ; Županič, Jan (advisor) ; Dvořáková, Markéta (referee)
Karlštejn Castle is one of the most popular tourist sights in the Czech Republic. This thesis therefore focuses on the use of this conservation area, especially in the second half of the 20th century and all the 21st century. Based on the available archival documents, in the thesis there are described changes of the expositions in the castle's rooms that are opened to the visitors. The thesis is also focused on the tour routes and development of the visitors' turnout. Last of all, in this thesis there are mentioned past and present events held in the castle and other "crowd-pullers" that are attractive to the visitors. In the first part the thesis also deals with the issue of the castle's ownership and the effort for the integration among the UNESCO sights.
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