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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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The current state and prospects for sustainable development of tourism in Slovakia.
Libantová, Silvia ; Indrová, Jarmila (advisor) ; Chaloupka, Radek (referee)
Tourism contributes to the prosperity of destinations by bringing financial resources, new jobs, a higher level of services and infrastructure development. However, if tourism does not develop sustainably, it is accompanied by negative factors, as well. Especially, negative impacts on the environment, such as: water and soil contamination, increased noise and overcrowded destination during the high season. As a response to the worsening state of the environment and possible irreversible changes caused by irresponsible human behavior, the idea of sustainable development is becoming more important. The theoretical part describes tourism in the Slovak Republic and highlights plans for sustainable tourism development. In the practical part, the results of the questionnaire, related to the awareness of sustainable tourism in the Slovak Republic, are evaluated. The main objective of this thesis is to evaluate the current situation in the field of sustainable tourism and to make suggestions for its future development.
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STRAIN ENGINEERING OF THE ELECTRONIC STRUCTURE OF 2D MATERIALS
del Corro, Elena ; Peňa-Alvarez, M. ; Morales-García, A. ; Bouša, Milan ; Řáhová, Jaroslava ; Kavan, Ladislav ; Kalbáč, Martin ; Frank, Otakar
The research on graphene has attracted much attention since its first successful preparation in 2004. It possesses many unique properties, such as an extreme stiffness and strength, high electron mobility, ballistic transport even at room temperature, superior thermal conductivity and many others. The affection for graphene was followed swiftly by a keen interest in other two dimensional materials like transition metal dichalcogenides. As has been predicted and in part proven experimentally, the electronic properties of these materials can be modified by various means. The most common ones include covalent or non-covalent chemistry, electrochemical, gate or atomic doping, or quantum confinement. None of these methods has proven universal enough in terms of the devices' characteristics or scalability. However, another approach is known mechanical strain/stress, but experiments in that direction are scarce, in spite of their high promises.\nThe primary challenge consists in the understanding of the mechanical properties of 2D materials and in the ability to quantify the lattice deformation. Several techniques can be then used to apply strain to the specimens and thus to induce changes in their electronic structure. We will review their basic concepts and some of the examples so far documented experimentally and/or theoretically.
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San Minn (or) An Artist who prefer creating and paintings than his life
Zeya, Pyin Nyar ; JANEČEK, Vít (advisor) ; VOJTĚCHOVSKÝ, Miloš (referee)
No one can control a painter artist’s freely thoughts and ideas and although his paintings were under the high pressure and banned by force, the artistic value of his materials never go down. So that I am writing this paper.
He, San Minn has broken out the mainstream of Burmese painting field, he never made business paintings as well. He keeps his belief on the art of paints and he is always finding for the new way to make his paintings. His materials are very different from other Burmese painter artists’ materials. His style is unique in Burmese paintings. So I can get a chance to study of his style, ideas, ways of thinking and his determination on the art works.
My paper can show a painter artist’s life who grew up under the military rule for 50 years and the situation and history of Burmese painting field. Then not only people who are studying the painting subject, but also other people can know about the subject of Burmese painting and field of artists. I dare say that my paper must be colorful and fruitful.
As a painter artist, it seems that he wants his audience to feel his materials but he rare to show his real life behind the pictures. For me, I can get a chance to know about his real life for my thesis paper.
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Thesis Statement
My thesis can be useful for everybody who is interested in Burmese contemporary art field.
This is the biggest chance to read about one of the most famous, important and significant artists and art movements of Burma. His paintings are reflecting his journey through over 40 years of censorship, but he was not afraid to tackle political and social issues.
Many of San Minn's art works are based on autobiographical, making sharp social commentary on the popular culture, social values and scenario circumstances where he has lived in.
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Sorption and Stabilization of Metals/Mettalloids by Innovative Synthesized Sorbent Amochar.
Ouředníček, P. ; Trakal, L. ; Komárek, M. ; Pohořelý, Michael
Remediation of contaminated soil which is based on stabilization and immobilization of potential\nhazardous substance by sorption materials has been studied intensively nowadays. Biochar – activated organic carbon belongs to this group of stabilizing agents which can adsorb wide range of contaminants, including metals/metalloids. Surface area of the biochars is quite large in general and functional groups (e.g. COO–) can form chelates or alkaline elements on the surface, which is represented by cation exchange capacity. Altogether with the high pH values (7.00 – 10.00), biochars are quite effective sorbents and can adsorb metals/metalloids from the solution (ground water), especially in acidic soils (in the environments affected by intensive mining activities). Sorption\neffectiveness can be increased (especially for As (V) or Cr (VI) sorption) by modification of biochar by various types of secondary oxides. Innovative sorbent AMOchar (AMO + biochar) has been synthesized currently. The product was prepared by adding of biochar to the reaction solution during amorphous manganese oxide (AMO) synthesis. The AMOchar was formed mainly by Mn-oxalates which had coated surface of the pristine biochar. AMOchar composite was able to remove significantly higher amounts of various metal(loid)s from the solution despite the rather high pH of the material. Sorption effectiveness was high not only in case of Pb (II) sorption (almost 99%), and Cd(II) (51.2%), but also a very high amount of As(V), 91.4%. Additionally, both AMOchar composite was able to reduce Mn leaching. This can avoid potential post-contamination caused by the dissolution of less stable Mn-oxalates as observed in the pure AMO.
Fulltext: content.csg -  PDF
Plný tet: SKMBT_22316111113040 - PDF
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Plasma spraying from liquids: plasma liquid interaction and coating build up
Tesař, Tomáš ; Mušálek, Radek ; Medřický, Jan ; Lukáč, František
Plasma spraying from liquid feedstocks is a rapidly developing field of thermal spraying since the coatings prepared from liquids exhibit some unique features, such as high hardness, thermal shock resistance or low thermal and electric conductivity. The key factor influencing the final coating character and properties is the input material which may be in the form of a suspension or a solution. Parameters of the selected suspension (solids concentration, viscosity, surface tension, chemical composition, etc.) or solution (concentration, etc.) determine its interaction with the plasma jet which strongly influences the coating buildup. This proceeding introduces the problematics of the interaction between the liquid feedstock material with the plasma jet and presents the way of evaluation of the coating buildup.
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Determination of content substances for selected species and varieties of roses.
Slavíková, Eva ; Sus, Josef (advisor) ; Súkeníková, Tereza (referee)
This bachelor's work is focused on comparing the most significant content substance, vitamin C, in fruits of chosen rose kinds species and varieties. Herbal products are often seen by people as products of "second choice", when failure of allopathic treatment occurs, which is focused especially on suppressing symptoms of illness, but it ignores health of the human body as whole. That's why are herbal products often alternative for therapy of chronic diseases. The base of this work is extensive literary research and results of laboratory measurings. Literary part of this work includes description of botanical classification of rose plants. There is stated basic characteristic of individual rose species and their morphological features. In following chapters is composed overview of effective substances in rose fruits and their effect on human health. In practical part of this work are included results of laboratory tests for determining ascorbic acid content for chosen samples of rose species and it also includes results of weighing and measuring of fruit samples of chosen rose species. There are also stated chosen rose species and shortly their origin and description, in the beginning of practical part. For practical part were chosen samples of species. Results of practical part are compiled into statistic tables and graphs and it confirms high content of ascorbic acid in rose fruits. This content is in range of cca 300 - 900 mg.100 g-1. Due to growing interest in alternative treatment options and "clean" natural product, it can be assumed, that many plants of Rosaceae family will keep its place in treatment practice. Those plants will be used not only for treatment of acute and chronic diseases, but also for cosmetic products production, thanks to its large effects and process options.
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Analysis breeding of milk cattle on the chosen biofarme
Plášková, Pavlína ; Toušová, Renata (advisor) ; Ducháček, Jaromír (referee)
The aim of this thesis is to evaluace the conditions of dairy cattle breeding in ecological agriculture and to compare them with concrete values taken from the chosen ecological farm Bílčice, which has been part of ecological agriculture since 2011 and which is focused on czech fleckvieh breeding and bio milk production. The first part deals with dairy cattle breed characteristic, main objectives and ecological agriculture principals, welfare problems, breed cattle and utility control, housing technology, nutrition and feeding, mechanical milking technology, milk production, reproduction, health condition and breeding economy. The practical part contains the rating of milk yield index (milk production, % proteins, % fat) and reproduction index ( meantime, perioda service, insemination index and after first parturition percentage). 650 pieces of cos were stabled at farm, from that 200 pices of dairy cos were mostly czech fleckvieh. Monitoring was made in 2013. Dayily milk production was around 2 750 kg. The milk utility for lactacion was in 2013 6 100 kg of milk, 3,89 % fat and 3,34 % proteins. The dairy cos were free stabled with high bedding, They were mechanically milked twice a day in herringbone parlours. Milk is being delivered once in twodays to Olma dairy. Cows are regularly driven out to pasture in summer feeding period. They are extra fed with 10 kg of clover silage and 6 kg of scarp (barely, wheat, triticale). Cows stays in stables for winter time. The ration consists of 45 kg of clover silage, 6 kg of scarp, 2 kg of lupine and 1 kg of corn in first time of lactacion. The cow utility in transitional form of economy at farm Bilcice was 7 477 kg of milk in 2010, a value in the Czech Republic was 7 726 kg of milk. After entering the ecological agriculture in 2013 milk yield at the farm decreased on 6 100 kg of milk and the average value in the Czech Republic increased to 8 370 kg of milk. The cow utility in transitional form was 4,03 % fat in 2010 and 3,89 % in 2013 (ecological agriculture). A diference between 2010 and 2013 is 0,14 %. Proteins were 3,39 % in 2010 and 3,34 % in 2013. There was average value for every reproduction index. The service period was 96 days and the meantime was 400 days, the insemination index was 1,8 and the after first parturition percentage was 54,2 %.
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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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