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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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Multicriteria games
Tichá, Michaela ; Dlouhý, Martin (advisor) ; Lachout, Petr (referee) ; Čičková, Zuzana (referee)
Theory of multicriteria games is a special field of game theory, when one or more players have at least two payoff functions and want to maximize simultaneously. The work introduces a number of new findings. It examined the concept of finding equilibria in pure strategies in noncooperative multicriteria game. It is possible to find all the equilibria in pure strategies by full search and solving two linear programs for each point. Furthermore, two linear programs are formulated for verifying that a selected point is the equilibrium of the game or not. In the noncooperative games is also introduced the concept that with knowledge of the equilibrium of bimatrix game determines preferences of the players. Although finding the equilibrium point of the bimatrix game is nonlinear problem, finding the preferences is linear problem. The latest findings in the noncooperative games is a generalization of the concept that solves multicriteria game by assigning weights to each criterion of each player. The work demonstrates that it may not be necessarily linear weights, but it can be more general function that describes the player's preference. The remaining part is devoted to knowledge in cooperative games. There is considered that the players know their preferences and are able to express them by weights. The game with known preferences is defined and solved with the use of bargaining theory. Then it is generalized to a case where players have more payoff functions, from which they can choose. Finally, the multicriteria case of voting game is defined. It is designed completely new concept, which selects the winning coalition in the voting game. This concept is then applied to the real situation after the elections to the Chamber of Deputies in 2013.
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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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Freezing technology of bull sperm in relation to its survivability and fertilization ability
Doležalová, Martina ; Stádník, Luděk (advisor) ; Jiří, Jiří (referee)
The aim of optimalization the insemination doses production is to provide the highest fertilization ability of spermatozoa during the demanding proces of processing fresh semen and its subsequent cryopreservation. Temperature changes causes spermatozoa damage during the cooling and freezing. Spermatozoa is exposed to cold shock and many others limiting factors, which leads to cell death and therefore to decline of fertilization ability of thawed insemination doses. For increasing spermatozoa resistance, exactly the plasma membrane resistance against cold shock was fraction of egg yolk LDL cholesterol (low density lipoprotein) at various concentrations into the comercially produced diluents added. It is believed that LDL acts possitively to plasma membrane and helps to maintain the fertilization ability of spermatozoa after thawing. Following step in the proces of insemination doses production is slow cooling of diluted semen and equilibration, when the straws are store at cooling box for 30 minutes to 240 hours. This period is necessary to penetrate of certain diluent components into the spermatazoa also maintain the balance between their intracellular and extracellular concentration. Also important is subsequent freezing temperature gradient of insemination doses. The most suitable freezing method is based on computer controlled temperature decline in freezing chamber which allows the precise control of ice crystals formation that could tear and kill the cell.
During 2012 to 2016 was repeatedly collected semen from the group of breeding bulls (n = 27, Holstein and Czech Fleckvieh breed) at AI centre. Semen which fulfill the standard entrance conditions in first step was evenly into several parts divided. For dilution the three types of comercially diluents AndroMed, Bioxcell and Triladyl with and without LDL addition were used. Into the diluents AndroMed and Bioxcell the concentration of LDL 4 %, 6 % and 8% into the dilent Triladyl 6 %, 8 % and 10 % was added. Diluted semen was filled into the glass capillares with volume 0,1 ml and temperature +4 °C. Subsequently the sample was placed to cold bath (0°C) for 10 minutes. Then the volume of capillare with physiological solution (37 °C) was mixed and for next 120 minutes was incubate. The effect of cold shock to proportion of live spermatozoa was evaluated by using Eosin and Nigrosine staining technique during heat test of spermatozoa survivability after spermatozoa heating and after 120 minutes of incubation.
The more suitable semen diluents which provide the higher spermatozoa resistance against cold shock were AndroMed and Bioxcell. Together the possitive effect of LDL addition into the diluents to lower decrease of proportion of live spermatozoa during heat test was found (P<0.05). The most suitable LDL concentration which had a favorable influence at spermatozoa resistance against cold shock was 6 % in diluent Bioxcell. Values of the proportion of live sperm were higher at the beginning of the heat test (+1.31% to + 3.2%) and after 120 minute incubation (+5.82% to +8.41%) compared to other diluents with and without addition of LDL.
In the next step the process of equilibration was optimized, is an important part of insemination doses production. The effect of the length of equilibration for subsequent fertilization ability of spermatozoa was evaluated using spermatozoa motility based of CASA and proportion of live spermatozoa after thawing and during heat survival test lasting 120 minutes (37 ° C). Suitable semen was diluted by comercially used diluent AndroMed based on soya lecithin, filled into the straws (0.25 ml), cooled and equilibrated in cooling box for 30, 120 and 240 minutes and freezed in programmable freezing box applying four types of freezing curves differing in temperature rate decline. There was used standard and by producer recommended 3. phase freezing curve, then 2. phase freezing curve, and 3. phase freezing curve with slower as well as rapid decline of temperature rate in freezing chamber, compared with standard freezing curve. The highest spermatozoa motility was found using 240 minutes of equilibration by +2.72% and +4.58% compared to other lengths of equilibration (P <0.05 to 0.01). The highest proportion of live spermatozoa was found using 120 minutes of equilibration (+6.87 % and +8.68 %). The highest average spermatozoa motility during heat test after thawing was achieved by using 2. phase freezing curve (from +2.97% to +10.37%, P <0.05), also in the proportion of live spermatozoa (from + 4.37% to +8.82%, P <0.01). When evaluating interaction between the length of equilibration and freezing curve (standard 3. phase and 2 . phase freezing curve), the highest average spermatozoa motility and proportion of live spermatozoa using 240 minutes of equilibration by both freezing curves was reached, there was no statistically significant differences. As well as, in all evaluated parts of this study the individual differences between ejaculate of bulls and within semen from one bull (P <0.05) as secondary effect were found.
To maintain good fertilization ability of semen during cryopreservation is necessary to increase the spermatozoa resistance against cold shock using addition of correct concentration of LDL into the commercially used diluents AndroMed and Bioxcell. Subsequently the fertilization ability of insemination dose is influenced by cooling, the length of equilibration and freezing. The length of equilibration 120 minutes and more as well as gentle way of freezing according to freezing curve, which ensures a gradual decrease of temperature in freezing chamber provided the higher average spermatozoa motility and proportion of live spermatozoa.
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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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Optimization of Gaussian Mixture Subspace Models and Related Scoring Algorithms in Speaker Verification
Glembek, Ondřej ; Brummer, Niko (referee) ; Campbell,, William (referee) ; Burget, Lukáš (advisor)
Tato práce pojednává o modelování v podprostoru parametrů směsí gaussovských rozložení pro rozpoznávání mluvčího. Práce se skládá ze tří částí. První část je věnována skórovacím metodám při použití sdružené faktorové analýzy k modelování mluvčího. Studované metody se liší převážně v tom, jak se vypořádávají s variabilitou kanálu testovacích nahrávek. Metody jsou prezentovány v souvislosti s obecnou formou funkce pravděpodobnosti pro sdruženou faktorovou analýzu a porovnány jak z hlediska přesnosti, tak i z hlediska rychlosti. Je zde prokázáno, že použití lineární aproximace pravděpodobnostní funkce dává výsledky srovnatelné se standardním vyhodnocením pravděpodobnosti při dramatickém zjednodušení matematického zápisu a tím i zvýšení rychlosti vyhodnocování. Druhá část pojednává o extrakci tzv. i-vektorů, tedy nízkodimenzionálních reprezentací nahrávek. Práce prezentuje dva přístupy ke zjednodušení extrakce. Motivací pro tuto část bylo jednak urychlení extrakce i-vektorů, jednak nasazení této úspěšné techniky na jednoduchá zařízení typu mobilní telefon, a také matematické zjednodušení umožněňující využití numerických optimalizačních metod pro diskriminativní trénování. Výsledky ukazují, že na dlouhých nahrávkách je zrychlení vykoupeno poklesem úspěšnosti rozpoznávání, avšak na krátkých nahrávkách, kde je úspěšnost rozpoznávání nízká, se rozdíly úspěšnosti stírají. Třetí část se zabývá diskriminativním trénováním v oblasti rozpoznávání mluvčího. Jsou zde shrnuty poznatky z předchozích prací zabývajících se touto problematikou. Kapitola navazuje na poznatky z předchozích dvou částí a pojednává o diskriminativním trénování parametrů extraktoru i-vektorů. Výsledky ukazují, že při klasickém trénování extraktoru a následném diskriminatviním přetrénování tyto metody zvyšují úspěšnost.
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High-Quality Shadow Rendering from Complex Light Sources
Navrátil, Jan ; Sochor, Jiří (referee) ; Navrátil, Jan (referee) ; Zemčík, Pavel (advisor)
V interaktivních aplikacích jsou stíny tradičně zobrazovány s pomocí algoritmu založeným na stínových mapách. Nevýhodou toho algoritmu je, že stínová mapa, reprezentovaná texturou, má pouze omezené rozlišení. To může vést k nepěkným vizuálním artefaktům objevujících se na hranách stínů. Tato práce představuje postup, který je založen na vylepšené deformaci textury. To umožní zobrazit scénu obsahující složité světelné zdroje, zredukovat artefakty na hranicích stínů a také vylepšit kvalitu stínů bez ohledu na typu scény a její konfiguraci.
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Methodology of highly reliable systems design
Straka, Martin ; Gramatová, Elena (referee) ; Racek, Stanislav (referee) ; Kotásek, Zdeněk (advisor)
In the thesis, a methodology alternative to existing methods of digital systems design with increased dependability implemented into FPGA is presented, new features which can be used in the implementation and testing of these systems are demonstrated. The research is based on the use of FPGA partial dynamic reconfiguration for the design of fault tolerant systems. In these applications, the partial dynamic reconfiguration can be used as a mechanism to correct the fault and recover the system after the fault occurrence. First, the general principles of diagnostics, testing and digital systems dependability are presented including a brief description of FPGA components and their architectures. Next, a survey of currently used methods and techniques used for the design and implementation of fault tolerant systems into FPGA is described, especially the methods used for fault detection and localization, their correction, together with the principles of evaluating fault tolerant systems design quality. The most important part of the thesis is seen in the description of the design methodology, implementation and testing of fault tolerant systems implemented into FPGAs which uses SRAMs as the configuration memory. First, the methodology of developing and automated checker components design for digital systems and communication protocols is presented. Then, a reference architecture of a dependable system implemented into FPGA is demonstrated including several fault tolerant architectures based on the use of partial dynamic reconfiguration as the mechanism of fault correction and the recovery from it. The principles of controlling the reconfiguration process are described together with the description of the test platform which allows to test and verify the design of fault tolerant systems based on the methodology presented in the thesis. The experimental results and the contribution of the thesis are discussed in the conclusions.
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