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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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INFLUENCE OF LASER CUTTING AND PUNCHING ON MAGNETIC PROPERTIES\nOF ELECTRICAL STEEL M470-50A
Bulín, Tomáš ; Švábenská, Eva ; Hapla, Miroslav ; Ondrůšek, Č. ; Schneeweiss, Oldřich
Electrical steel M470-50A belongs to the most often used materials in electrical machines. Due to this fact, it is desirable to know the magnetic parameters after processing raw sheets into the required shape. Basic parameters of mechanical, electrical, and magnetic properties of the sheets are usually obtained from the producer but the magnetic properties are changing in dependence on additional machining processes. The aim of this study is to describe changes in parameters of magnetic behavior after punching, laser and spark cutting of the original sheets. The basic information of structure was obtained by optical and scanning electron microscopy. The magnetic parameters were acquired from the measuring of magnetic hysteresis loops in dependence on saturation fields and frequencies. The results are discussed from the point of view of applied\ncutting technology with the aim to obtain the best magnetic parameters and consequently a higher efficiency of the final product. Results can be used as input parameters in simulation of the electrical machine.
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Diagnostics for Robust Regression: Linear Versus Nonlinear Model
Kalina, Jan
Robust statistical methods represent important tools for estimating parameters in linear as well as nonlinear econometric models. In contrary to the least squares, they do not suffer from vulnerability to the presence of outlying measurements in the data. Nevertheless, they need to be accompanied by diagnostic tools for verifying their assumptions. In this paper, we propose the asymptotic Goldfeld-Quandt test for the regression median. It allows to formulate a natural procedure for models with heteroscedastic disturbances, which is again based on the regression median. Further, we pay attention to nonlinear regression model. We focus on the nonlinear least weighted squares estimator, which is one of recently proposed robust estimators of parameters in a nonlinear regression. We study residuals of the estimator and use a numerical simulation to reveal that they can be severely heteroscedastic also for data generated from a model with homoscedastic disturbances. Thus, we give a warning that standard residuals of the robust nonlinear estimator may produce misleading results if used for the standard diagnostic tools
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Neural Networks Between Integer and Rational Weights
Šíma, Jiří
The analysis of the computational power of neural networks with the weight parameters between integer and rational numbers is refined. We study an intermediate model of binary-state neural networks with integer weights, corresponding to finite automata, which is extended with an extra analog unit with rational weights, as already two additional analog units allow for Turing universality. We characterize the languages that are accepted by this model in terms of so-called cut languages which are combined in a certain way by usual string operations. We employ this characterization for proving that the languages accepted by neural networks with an analog unit are context-sensitive and we present an explicit example of such non-context-free languages. In addition, we formulate a sufficient condition when these networks accept only regular languages in terms of quasi-periodicity of parameters derived from their weights.
Fulltext: content.csg -  PDF
Plný tet: v1237-16 - PDF
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Arctic tundra dendrochronology
Lehejček, Jiří ; Svoboda, Miroslav (advisor) ; Monika, Monika (referee)
Historically unprecedented environmental change in the Arctic ecosystems is often given into the context of its past and possible future development. In the region where instrumental meteorological observations are scarce archives need to be investigated in order to address this issues. The comprehensive synthesis one of the archives: long-live circumpolar evergreen Juniperus communis L. shrub is presented here. 20 individuals from southwest Greenland were investigated at the cell anatomy level to understand the ecology of the species and unhide its potential for environmental and climate reconstructions. The findings are as follows:
i) Stop of exponential cross-sectional conduit-lumen widening with increasing age is in contrast with conduit-lumen nature of trees. This indicates that shrubs do not need to saturate their water and nutrient demands via traits of classical hydraulic conductivity law but rather developed different mechanisms. Extreme weather conditions result in prostrate growth form. However, different weather factors probably influence shrub growth differently: While snow and wind act mechanically (a), temperature influences the form of growth physiologically (b). a) So long as the young shrub stem has high resilience to bend back to an upright position after snow melt and so long as it can withstand the wind during the vegetation season it most likely grows upright and the conduit-lumens widen. b) Temperature, resp. freeze-thaw events are responsible for the shrubs preference of safety (finite size of conduit-lumens) over hydraulic efficiency, thus not allowing for more primary growth. All of these (and other) factors are apparently working together and the transition of vertical to more horizontal growth is gradual. As a consequence, the conduit-lumen sizes may not have to be further increased (due to ecophysiological restrictions possibly also must not) because water is no longer transported against gravity.
ii) Observed age/growth trend has to be taken into consideration for further employment of the wood anatomical parameter in paleoenvironmental studies. That is, shrub cell parameters can only be used for this purposes if correctly detrended. This allows for more accurate as well as longer reconstructions because youth trend was often neglected in reconstructions based on shrub annual-rings.
iii) The south-western Greenland Ice-Sheet (GrIS) melt rates reconstruction is presented for the whole 20th century. This part of GrIS is considered as the most active. According to the presented reconstruction current GrIS melt rates are not uncommon for the last century being comparable to first decades of 20th century. This finding is particularly important contribution to the debate on Atlantic meridional overturning circulation (AMOC). Too high fresh water inputs into the Northern Atlantic from GrIS melting may slow down or even stop the AMOC which would result in more continental climate in Europe. Presented results indicate that this threshold lies higher than observed current melt rates of GrIS.
Fascinating Juniperus comunnis species has shown to be able to address many ecological as well as environmental open questions and due to its longevity and abundant distribution has a great potential to become an important player in the Arctic research.
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How to prevent the proliferation of Legionella pneumophylis in hot water in the hospital Czech Krumlov
TUREK, Jan
This diploma thesis deals with microbiological quality of hot water in a hospital in Cesky Krumlov as well as hot water piping condition with respect to Legionella. It also deals with arrangements for improving the quality of hot water in this hospital. The subject and target of this thesis are the findings of the mentioned parameters based on own observations, technical documentation and analysis of warm water performed by an accredited laboratory. The hospital in Cesky Krumlov, the construction of which began in 1909, was built in 1911 as the 'Nemocnice Císaře Františka Josefa I.' As the time went by, new buildings were built up. The hospital was renamed to 'Všeobecná veřejná nemocnice' in 1942. In the following years the hospital expanded until the current condition. Water quality and presence of Legionella is a world-wide issue, which we must fight against. The thesis is divided into two parts. First, theoretical part, which includes both general and specific knowledge about Legionella, its health risks, the environment in which it occurs, possibilities of eliminating, suitability of the material for hot water pipes, gained in professional literature and a part of the Czech legislation dealing with public health protection, the law 'No. 258/2004 Coll.' in actual version and quality of drinking water and hot water. In the second, empirical part, I focus on the situation of the hospital in Cesky Krumlov from 2009 till 2015, concerning newly built boiler room and the whole distribution system of hot water regarding Legionella. Particularly I focused on materials used for ecologisation of the gas boiler room and materials used for hot water pipes and actual state of water distribution in individual buildings of this health care facility. I mentioned the analysis of the water samples performed by an accredited laboratory with corresponding technical documentation, which concerns the water distribution system, provided by the medical facility. I used secondary data analysis to evaluate these documents. Regarding the results from 2009 to 2015 the microbiological quality of warm water doesn't meet the limits defined in the Attachment No. 3 of the above mentioned law Order 252/2004 Coll. Limit value for colony forming units of Legionella is set to maximum of 100 CFU. In most of the samples this limit was exceeded by series of units up to hundred thousands of units. The last results in 2015 prove improvement of the unfavorable situation. In that year the analysis was tested three times. First in February, where the CFU units were 'only' in hundreds, with the top value of 550 CFU in the Postacute Care ward. Second analysis was performed in June that same year. Results were acceptable. The highest value was 64 CFU. Last analysis in the hospital was performed in December. Increased concentration of Legionella was again in the Surgery building. There were established of 1400 colony forming units. There were 300 CFU in the Postacute Care ward and the limit value of 100 CFU was in the ward of Internal medicine. The answers to research questions 'How to prevent reproduction of Legionella peumophylis in the water distribution system of the hospital in Cesky Krumlov?' and 'How to ensure a sufficient amount of quality hot water in the medical facility?' are included at the end of the stated recommendations. A risk factor causing the fast reproduction of Legionella is the old water distribution system in most of the buildings and low water temperature of water leaving the boiler, which is 55°C. All mentioned results and evaluations are included in this thesis as well as attached pictures, which show the environment and situation within the Health Care Institutions.
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The effect of pyrethroid based pesticides on fish
RICHTEROVÁ, Zuzana
Pyrethroids are ones of the most used pesticides worldwides. The widespread use and high stability of pyrethroids lead to the assumption of that their occurrence in the environment could be quite frequent. They can reach water ecosystem as pollutants. Residues of pyrethroids are not only detected in the water column, but also in sediments and in fish tissues. The first study was devoted to the product Nexide containing 60 g.l-1 of active substance gamma-cyhalothrin. Tested Nexide concentrations were 5, 25, 50, 100, and 250 µg.l-1. Early life stage test was used.Common carp (Cyprinus carpio) was tested. There were significant mortalities in all concentrations except the lowest concentration during the trial. The lowest concentration tested 5 µg.l-1 only caused a slightly increased mortality. This lowest concentration influenced the growth in length and weight negatively, decelerated ontogenetic development, and made the body surface of the individuals darker. Histopathology of individuals from this concentration revealed dystrophy in liver. Examination of kidney, intestine and gills did not show significant histopathological differences compared with control. The evaluation of selected parameters of oxidative stress demonstrated a significantly higher activity of detoxification enzyme glutathione-S.transferase (GST) and a significantly lower activity of defensive enzyme glutathione peroxidase (GPx) compared with the control group. The other examined parameters of oxidative stress such as catalase (CAT), glutation reductase (GR), and lipid peroxidation determined by using the thiobarbituric acid-reactive substances (TBARs) were comparable to the control group. Changes in oxidative stress parameters suggest that exposure of the organism to the product Nexide in the given concentration leads to dysbalance of defensive enzymes. The second study was devoted to the product Cyperkill 25 EC containing 250 g.l-1. Tested Cyperkill 25 EC concentrations were 7.2, 36, 72, 144, and 360 µg.l-1. The procedure of the trial was the same as the preceded one. There were 100% mortalities in all concentrations except the lowest concentration during the trial. The lowest tested concentration 7.2 µg.l-1 allowed 90% of individuals to stay alive till the end of experiment. The lowest concentration influenced the growth in length and weight negatively and decelerated ontogenetic development compared with the control. Any individual exposed to this concentration did not reach juvenile stage until the end of the trial. Dark pigmentation was visible in 68% of these exposed individuals on the last day. Similar darkening was visible in individuals from higher concentrations shortly before death too. Histological examination did not revealed significant changes in intestine, liver, kidney, and gills compared with the control group. Evaluation of selected parameters of oxidative stress demonstrated significantly lower activities of GST, GR, and GPx. Activities of CAT and TBARS were comparable with the control group. Changes in oxidative stress parameters suggest that exposure of the organism to the product Cyperkill 25 EC in the given concentration could induce oxidative stress and interfere with the activities of antioxidant enzymes. The presented thesis summarises actual data about pyrethroids and their influence on fish. The demonstrated effects confirm high susceptibility of early developmental stages of fish to tested pesticides. When interpreting the results, we have to take into account the fact that studies showed this risk even on single pyrethroid substances. But water organisms are exposed to many other more or less toxic products and substances in a real environment. These xenobiotics could react with each other and their mixture could even potentiate negative effects. The performed studies also clearly show the significant differences in the sensitivity of embryonic and embryolarval tests.
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The influence of time in feed enrichment with unsaturated fatty acids to selected parameters of pig carcass value with regard to the fatty acid composition of intramuscular fat
Pantoflíček, Jiří ; Čítek, Jaroslav (advisor) ; Miloslav, Miloslav (referee)
The thesis aims to evaluate the impact of aliment with higher contents of unsaturated fatty acids, consumed for a different period of time, to utilitarian attributes of pigs before a slaughter, with respect to the composition of fatty acids in the intramuscular fat of tested animals.
The factors that influence the quality of meat are interior, exterior and technological. Among the qualitative markers of quality of meat we rank the share of meat and fat, acidification rate, color, viscosity, contents of intramuscular fat (marbling), smell, taste, juiciness and delicacy. Together with hygienic and nutritive attributes, consumers and processors consider these technological and sensory aspects to be the most important.
The ultimate goal of this thesis is to compare the impact of different length of feeding soy oil on parameters of pork meat quality and growth.
However, the interference of growth attributes was inconclusive and the test result came similar in different groups of tested pigs.
What was influenced by adding the soy oil into the feed is the fatty acids profile. The contents of fatty acids remained unchanged in every test group. Over time the content of monounsaturated fatty acids decreased. The most significant change occurred in representation of polyunsaturated fatty acids, which increased in the test groups with longer period of feeding with enriched feed, mostly at the expense of monounsaturated fatty acids.
The differences between the test groups of pigs were statistically inconclusive; therefore the soy oil enrichment did not worsen the technological parameters of meat and fat quality.
The longer period of feeding the soy oil enriched feed led to significant increase in polyunsaturated fatty acids. According to the findings, adding the soy oil into the feed will have no effect at all if done short time before the slaughter.
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Design and optimisation of log rounding process
Iamshchikov, Evgenii ; Trgala, Kamil (advisor) ; Ruman, Daniel (referee)
The subject of my thesis is Design and optimisation of log rounding process. The aim of the work is to develop and explain the changes of the cutting tool parameters of a machine for logs rounding; experimental substantiation for the change of the cutter angle related to the axis of the workpiece. This paper deals with all kinds of wooden housing, from houses of solid wood to houses made of wood-based materials. The description of positive and negative characteristics of each type, including why a house made of logs is essentially different, its positive and negative sides. The paper examines all kinds of the logs rounding technology; the characteristics of their quality and energy consumption are presented. The experimental part of the work consists in the experiment planning and identifying of the factors that influence the rounding process. The way the cutter angle influences the surface roughness during the cylindering process was studied. The final stage of the work was to evaluate the results of the work, their relevance and the possibility to introduce the new equipment with the changed parameters of the cutting tool into production.
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