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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 the global financial crisis on the banking system of Russia
Zenina, Aleksandra ; Heřman, Jan (advisor) ; Zeman, Karel (referee)
The global financial crisis has influenced the development of many countries. Russian Federation isn't exception. The special impact crisis has had on the country's banking sector. The main purpose of this work is to analyze the effects of the global financial crisis on the banking sector of the Russian Federation on the example of "Sberbank". Analysis of the influence of the financial crisis on this company consists of the following methods: research, analysis and planning. Analysis of the impact of the crisis includes the calculation and comparison of indicators such as capital adequacy, liquidity, return on assets, return on equity, the concentration of credit risks, the analysis of revenues and expenses of the enterprise for the period 2008-2010. Using these indicators it's possible to explore the market, the company's position in the banking sector, strengths and weaknesses, as well as the possible development in the future. Analysis of the influence of the global financial crisis on the Russian banking sector allows understand the reasons for problems and develop possible solutions.
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RISK IN INVESTMENT DECISIONS
GARDOŠ, Radek
The topic of this thesis is the evaluation of risk in enterprise. First section summarizes common knowledge related to investment process and states methods used for analysis of risk and investments efficiency. Second part evaluates economic efficiency and risk of a future investments in the particular enterprise. Projects are critical to the realization of performing organization's strategies. Each project contains some degree of risk and it is required to be aware of these risks and to develop the necessary responses to get the desired level of project success. Because projects' risks are multidimensional, they must be evaluated by using risk evaluation methods. The aim of this part is to provide an analytic tool to evaluate the project risks. At first the thesis analysis net present value and other investment criteria of the construction project without risk factors. Subsequently the projects' risks are are evaluated by using risk premium. To study of how projected performance varies along with changes in the key assumptions on which the projections are based is used the sensitivity analysis. The main sources for data was the enterprise environment.
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Eating Disorders: Epidemiology and Risk Factors
Pavlová, Barbara ; Papežová, Hana (advisor) ; Kocourková, Jana (referee) ; Šípek, Jiří (referee)
This thesis explores the epidemiology and risk factors of eating disorders. It focuses on the impact of the political and cultural changes that occured in the Czech Republic in the early 1990s. The term eating disorders includes mental illnesses characterized by disturbances in eating behaviour: anorexia nervosa, bulimia nervosa and various eating disorders not otherwise specifieed. It appears that the incidence of anorexia nervosa was increasing until 1970s and remains stable since. The incidence of bulimia nervosa was rising until the end of 1990s. However, the data come from the western countries only. The epiemiological data from the Central and Eastern Europe region remain sparse. Eating disorders have multifactorial aetiology; which includes the recently emerging factors related to migration and acculatuation. Therefore, we hypothesised that the prevalence and incidence of eating disorders in the Czech Repulic rose in the 1990s and that factors associated with migration experiences may play a role in the development and maintenance of eating disorders. This thesis contains three different papers exploring different aspects of this hypothesis. The first paper shows that the number of hospital admissions for eating disorders in females aged 10-39 quadrupled between 1981 and 2001, and remained high till...
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Risk factors for osteoporosis - knowledge and behavior of adolescent girls
KVASNÍKOVÁ, Martina
The thesis deals with the theme of risk factors for osteoporosis, knowledge and behavior of adolescent girls. The theoretical part of the thesis is divided into four chapters. The first chapter deals with the anatomy and physiology of bone. The second chapter discusses general information about osteoporosis. The third chapter summarizesthe prevention of osteoporosis and in the fourth chapter describes the treatment of osteoporosis. In the practical part of thesis was used method quantitative research. The target group consisted of 100 adolescent girls in the age range of 15-17 years of grammar school and vocational school in the České Budějovice. The girls were interviewed using a questionnaire, which consisted of questions related to osteoporosis. In thesis were determined two main objectives. The first of them was to map the knowledge of adolescent girls in the prevention of osteoporosis. The second objective is concerned with mapping the behavior of adolescent girls in the prevention of osteoporosis. The first research question dealt with by what kind of knowledge adolescent girls in the prevention of osteoporosis. The second research question was focused on the behavior of adolescent girls in the prevention of osteoporosis. According to the questionnaires can be concluded that the majority of respondents are not sufficiently informed about osteoporosis, but I find girls that basic information about the disease they have. Questionnaires filled in by teenage girls from the first and second years of grammer school and vocational school, therefore, the results are compared with one another. The survey shows that respondents from vocational school awareness of osteoporosis do not. Girls from grammer school have heard about this disease, but they can´t define it. The reason for this ignorance is that girls (from grammer school and from vocational school) have never been informed about osteoporosis. This fact mention the majority of the respondent girls. In most cases in the families of the respondents there is not osteoporosis or the girls do not know. On the following questions in the questioannarire girl (from both schools) have marked mostly option "not know". It were a questions whether sex hormones protects to some extent against osteoporosis. Furthermore, for which persons osteoporosis frequently occurs, whether the osteoporosis relate with calcium and vitamin D, or not. Schoolgirl from grammer school and vocational school mostly said that they consume milk and milk products several times a day or once a day. Of the 100 respondents sonly 18 girls said that do not drink alcohol. A total of 55 female students do not smoke and 23 female students smoke. The number of girl who smoke from vocational school is more than number of girls from grammer school. Schoolgirls of grammer school correctly think that physical activity can affect osteoporosis, the respondents of vocational school hold a different opinion. All of the girls regularly do sports, except for the two girls who do not purposefully movement. Based on the information from the questionnaire it would be appropriate that the teenager girls should be more informed about osteoporosis. There are several variations, such as educational material prepared for teenage girls or classes in school or self studying. Very important is the prevention of osteoporosis. The important role have a adequate nutrition and physical activity. Therefore, it is necessary to increase the knowledge of adolescent girls about the disease, so they can avoid.
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Nutrition of pregnant - reccomendation and reality
FAJMONOVÁ, Simona
For my bachelor thesis I have chosen the theme : Nutrition of pregnant women recommendations and reality. The theoretical part includes the specifics of nutrition in preconception period and pregnancy, risk groups of pregnant women, high-risk behavior and a chapter about dietary supplementation in pregnancy. Pregnancy is an important period in a woman's life. The changes that accompany pregnancy also impose increased demands on the supply of the body with nutrients. I have chosen the method of a survey for the processing of the research part of my thesis. The practical part includes the results of the survey, which was attended by 80 women in the 7th-9th month of pregnancy. The questionnaire asked for basic information besides the weight, height and weight gain in pregnancy, also eating habits, fluid intake, inadequate habits (alcohol, smoking), use of dietary supplements, awareness of pregnant women and their physical activity. The questionnaires were processed in Microsoft Excel using tables and graphs. All collected pieces of information about dietary habits were compared with the recommendations for pregnant women. The aim of this thesis was to find out what is the reality of eating habits of pregnant women compared with recommendations. Another aim was to determine, whether pregnant women are well informed about the nutrition recommendations during their pregnancy and where they get the information from. Further aim was to explore, whether pregnant women use nutritional supplements before or during pregnancy and what kind of them. The last aim was to determine some of the bad habits during pregnancy (e.g. alcohol , smoking). The results of the questionnaire survey showed that by the majority of pregnant women the reality and recommendations coincided in water intake and beverage preference. Most of them preferred water or tea. Coffee consumption was also by the majority of them problem-free. Eating meat and eggs corresponded with the recommendations for a large group of respondents. As for legumes, fish and fish products, their consumption corresponded with the recommendations by only about half of the women. Eating fruits and vegetables were in the majority of pregnant women unfortunately insufficient as well as the consumption of milk and dairy products, nuts and seeds. It would be very appropriate to increase consumption of these groups of food. Conversely, the consumption of sausages and sweets, which turned out to be more frequent, should be reduced . Most women were well informed about the nutrition recommendations during their pregnancy, in most cases from the media or pregnancy counseling from a doctor. Here, I would suggest creating a website for pregnant women offering really reliable information. Nutritional supplements related to pregnancy were used by about half of the respondents. Only less than a half of the surveyed women supplemented folic acid in preconception period. I would suggest to create some information leaflets about the suitability of folic acid supplementation in preconception period and place them in the gynecological outpatient's clinics . Pregnant women ordinarily didn't smoke and consume alcohol. Occasional alcohol consumption stated 14 % of women. It seems that women are informed enough about the risk of smoking and alcohol consumption.
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Application of quantile autoregressive models in minimum Value at Risk and Conditional Value at Risk hedging
Svatoň, Michal ; Baruník, Jozef (advisor) ; Vošvrda, Miloslav (referee)
Futures contracts represent a suitable instrument for hedging. One conse- quence of their standardized nature is the presence of basis risk. In order to mitigate it an agent might aim to minimize Value at Risk or Expected Shortfall. Among numerous approaches to their modelling, CAViaR models which build upon quantile regression are appealing due to the limited set of assumptions and decent empirical performance. We propose alternative specifications for CAViaR model - power and exponential CAViaR, and an alternative, flexible way of computing Expected Shortfall within CAViaR framework - Implied Expectile Level. Empirical analysis suggests that ex- ponential CAViaR yields competitive results both in Value at Risk and Ex- pected Shortfall modelling and in subsequent Value at Risk and Expected Shortfall hedging. 1
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Smartphone security
Rahm, Vladimír ; Luc, Ladislav (advisor) ; Doucek, Petr (referee)
This bachelor's thesis is focused on smartphone security risks and their solutions. The work is divided into three parts. The first part deals with the theoretical background in the form of a summary version of the most popular mobile operating systems. The second part focuses on three aspects, which are linked to the security of smartphones.In this section you can find an analysis of security risks for smartphones followed by the selection of most widely used mobile operating system in which it is exploring its security against malicious applications. In conclusion to this part a security analysis of a specific smartphone application is formed. The third part of this thesis is devoted to preventing security risks in the form of antivirus applications for smartphones. Within this section is created an overview of security products and analysis of whether these products can deal with security risks. The third part also analyzes user awareness of smartphone security risks and that is obtained by evaluation of survey among users.
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