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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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Organic vapour sensing and thermoelectric properties of carbon nanotubes/ethylene-octene copolymer composites combined in a thermopile
Slobodian, P. ; Říha, Pavel ; Olejník, R. ; Benlikaya, R.
A novel self-powered thermoelectric vapor sensor, whose thermogenerated voltage was modulated by chemical vapors is presented. The sensor was made of composites of oxidized multi-walled carbon nanotubes within\nethylene-octene copolymer. The multi-walled carbon nanotubes within ethylene-octene copolymer showed that the oxidation with KMnO4 enhanced its p-type electrical conductivity and that the thermoelectric power increase was proportional to the formation of new oxygen-containing\nfunctional groups on the surface of carbon nanotubes. When this composite was subjected to a saturated vapor of either heptane (aliphatic hydrocarbon), toluene (aromatic hydrocarbon) or ethanol (alcohol), its respective relative resistance increased in average by 3.6, 1.1 and 0.05.
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Visual preferences for wind turbines
Běťáková, Vendula ; Sklenička, Petr (advisor) ; Janečková, Kristina (referee)
This dissertation is a selection of three papers focused on visual preference of wind turbines. Visual impact presents the connectivity of the articles, whereas each one deals with the topic from different perspective. First paper "Wind turbines location: How many and how far?" analyses in detail the characteristics of wind turbines themselves, i.e. their number and distance from observer or vantage point in relation to landscape quality. Second paper "How education orientation affects attitudes toward wind energy and wind farms: implications for the planning process" concentrates on respondents´ characteristics, in particular educational orientation, general attitude, occurrence of WTs in respondents´ vicinity and willingness to live close to WTs. Whereas first two papers use same assessment method to analyse differences of WTs perception from different point of view, the third paper "Futuristic Wind Power Systems Suitable as Artistic Sculptures" presents review of WTs appearance in general and proposals of possible future look as an alternative to traditional wind turbines.
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Frequency stabilized semiconductor laser source for high-resolution interferometry
Řeřucha, Šimon ; Hucl, Václav ; Holá, Miroslava ; Čížek, Martin ; Pham, Minh Tuan ; Pravdová, Lenka ; Lazar, Josef ; Číp, Ondřej
We have assembled an experimental iodine stabilized Distributed Bragg Reflector (DBR) diode based laser system lasing at a wavelength that is in a close proximity to the wavelength of a stabilized He-Ne lasers traditionally used for metrological applications (λ=632.9 nm in vacuum). The aim was to verify whether such a system could be used as an alternative to the He-Ne laser while yielding wider optical frequency tuning range, higher output power and high frequency modulation capability. We have measured the basic characteristics of the laser source and then we have compared the performance of the laser system with that of a traditional frequency stabilized He-Ne laser with a series of experimental arrangements similar to those usually found in laser interferometry and displacement metrology applications. The results indicate that DBR diode laser system provides a good laser source for applications in dimensional (nano)metrology since it provides more output power and advanced tunability options than stabilized He-Ne lasers while maintaining fundamental requirements such as the frequency stability, coherence length and also a defined traceability.\n\n
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Noise, Transport and Structural Properties of High Energy Radiation Detectors Based on CdTe
Šik, Ondřej ; Lazar, Josef (referee) ; Navrátil, Vladislav (referee) ; Grmela, Lubomír (advisor)
Poptávka ze strany vesmírného výzkumu, zdravotnictví a bezpečnostního průmyslu způsobila v posledních letech zvýšený zájem o vývoj materiálů pro detekci a zobrazování vysokoenergetického záření. CdTe a jeho slitina CdZnTe. jsou polovodiče umožnují detekci záření o energiích v rozsahu 10 keV až 500 keV. Šířka zakázaného pásma u CdTe / CdZnTe je 1.46 -1.6 eV, což umožňuje produkci krystalů o vysoké rezistivitě (10^10-10^11 cm), která je dostačující pro použití CdTe / CdZnTe při pokojové teplotě. V mé práci byly zkoumány detektory CdTe/CdZnTe v různých stádiích jejich poruchovosti. Byly použity velmi kvalitní spektroskopické detektory, materiál s nižší rezistivitou a výraznou polarizací, detektory s asymetrií elektrických parametrů kontaktů a teplotně degenerované vzorky. Z výsledků analýzy nízkofrekvenčního šumu je patrný obecný závěr, že zvýšená koncentrace defektů způsobí změnu povahy původně monotónního spektra typu 1/f na spektrum s výrazným vlivem generačně-rekombinačních procesů. Další výrazná vlastnost degenerovaných detektorů a detektorů nižší kvality je nárůst spektrální hustoty šumu typu 1/f se vzrůstajícím napájecím napětí se směrnicí výrazně vyšší než 2. Strukturální a chemické analýzy poukázaly, že teplotní generace detektorů způsobuje difuzi kovu použitého při kontaktování a stopových prvků hlouběji do objemu krystalu. Část mé práce je věnována modifikaci povrchu svazkem argonových iontů a jejímu vlivu na chemické složení a morfologii povrchu.
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Network Architecture and Interconnection of Embedded Systems
Trchalík, Roman ; Drábek, Vladimír (referee) ; Srovnal, Vilém (referee) ; Švéda, Miroslav (advisor)
The thesis focuses on the architecture of embedded systems. It summarizes the current state of accepted standards from IEEE 1451 family, which deals with creating an environment for the sensors and their involvement in various networks. These standards describe the open, network-independent communication architecture for a sensor-based system. One of the main outcomes of this work is the architectures presented as case studies, which can be used as design patters for embedded applications. They are demonstrated on ZigBee technology suitable mainly for small devices with very low power consumption. Based on these studies the new design of universal gateway was proposed. Its major advantage is that it allows interconnection of the endpoints based on different sensor network technologies. Additionally, the thesis deals with modifying the routing protocol of ZigBee network in order to reduce power consumption required to transmit one data packet.
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Surface modification of glass fibers for polymer composites
Knob, Antonín ; Marek,, Aleš (referee) ; Burša, Jiří (referee) ; Čech, Vladimír (advisor)
The doctoral thesis is aimed at preparation of glass fiber reinforced polymer composites with controlled interphase formed by plasma-polymerized tetravinylsilane and tetravinylsilane/oxygen thin films. The thin polymer films of specific physico-chemical properties and thickness were deposited to improve interfacial adhesion of glass fiber/polyester composites. The fiber surface modification was performed by using plasma enhanced chemical vapor deposition in low-temperature RF plasma operating in an various effective power range and different treatment time. Test results were examined in relation to the interlayer thickness and different treatment conditions. The prepared interlayers were analyzed to evaluate physico-chemical composition and properties (XPS, RBS, ERDA, FTIR and spectroscopic elipsometry). Selected mechanical properties were evaluated by AFM. Mechanical response of plasma interlayers was evaluated by short beam shear test and direct method of testing the interfacial shear strength using microindentation. The interphase shear failure was controlled by the shear strength at the interlayer/fiber interface as follows from experimental and model data.
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The Pump with a Diffuser with Stochastic Blades (Runner and Diffuser)
Dobšáková, Lenka ; Melichar, Jan (referee) ; Veselý, Jindřich (referee) ; Haluza, Miloslav (advisor)
This doctoral thesis studies the non-uniform blade cascade for centrifugal pumps. Influence of non-uniform blade cascade is investigated on the impeller and diffuser. A non-uniform blading impeller of pumps in this doctoral thesis was examined in terms of influence on efficiency characteristic. The idea of using non-uniform blading is to obtain a flat efficiency characteristic. Then the centrifugal pump could be used on larger scale of power with achieving a sufficiently high efficiency. The work is based on experimental measurements and numerical simulations of non-uniform hydraulic pump components. Non-uniform impeller and the diffuser were newly designed for this research. A new measuring track of small submersible pumps was needed to design and build for measurements. Different pump combinations with conventional hydraulics on one working point and hydraulics with non-uniform were measured. All measurements were evaluated and characteristics of efficiency, head and power were obtained for each measured combination. Some of pump combinations (which were measured in experiment) were numerically simulated by program Ansys Fluent. Data needed to evaluate the characteristic of efficiency and specific energy were collected from each numerical simulation. A theoretical consideration concerns the influence of non-uniform blade cascade applied on diffuser. The suggestion how to decrease hydraulic losses in canals was done. The theoretical consideration how to make a flat efficiency characteristic was made.
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