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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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Phishing in the gaming industry
Nguyen Van, Thanh ; Luc, Ladislav (advisor) ; Veber, Jaromír (referee)
This bachelor thesis deals with a currently major issue of cyber security, which is phishing. The study is also specific in that it is focused on the gaming industry, which is subjected to a detailed analysis. The first goal of thesis is to acquaint the reader with problems of security risks of phishing in general and in game related fields. To achieve this goal, in the introduction of the theoretical part of the work, the general problem of phishing with a view on historical development and expansion is presented. Furthermore is described topic of gaming industry, its trends of videogames and security risks of online trading. The second goal is to give future and existing Steam users an overview of common phish-ing attacks and countermeasures. To achieve this goal, in the analytical part of the work, a specific gaming platform in online trading and distribution of game is selected, Steam from Valve. In the practical part of the work, eight selected phishing attacks are conducted to brief analysis and completed into a final evaluation and countermesures of all attacks.
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Subsidy fraud in the Czech republic, their detection and legal lability
Štětka, Martin ; Pikola, Pavel (advisor)
My thesis titled ,,Subsidy frauds in the Czech Republic, their revealing and legal responsibility" in its theoretical part describes the legal framework of frauds and subsidy frauds in the Czech Republic. It pays attention in detail to particular Czech laws and compares them with other EU countries legislation.
In practical part of the thesis I have analysed particular criminal acts beig concentrated primarily on types of perpetrators, their motivation and modus operandi. That part of the thesis i also assessing present situation, legislation development and procedures followed by the authorities actice in criminal proceeding within period of time after the Czech Republic joined the EU.
As a conclusion I'm pointing out indispensability of legal responsibility and having a think about future legislation development and changes in actual wording of respektive laws.
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Subsidy Support of the Sustainable Waste Management
BEDNÁŘOVÁ, Renata
The subject of the dissertation is the issue of the waste management with special emphasis on the recycling of the construction and demolition waste. The recourse is an analysis of the key instruments regulating the activities and behaviour of market operators in this field toward fulfilling all-society priorities and principles of the sustainable development, where special accent is put on the area of subsidy policies and programmes. The aim of the dissertation is to analyse and evaluate the setting of the selected subsidy programme in terms of economic and ecological efficiency with the emphasis on the assessment of the impact on the recipient. The subject of the research will be a priority axis 4 "Improvement of Waste Management and Removal of Old Environmental Burdens" within the Operational Programme Environment 2007 - 2013. In the literature review basic concepts and important definitions are defined, followed by the comprehensive and complex searches of the problematics from different angles of view. First of all, the global aspect of environmental protection is discussed, broader historical, legal, economic and political contexts, that are essential fundament for understanding the current and future challenges both globally regionally, are summarized. Hereafter, a more detailed description of the situation of the European Union is followed, then the overview is completed by a detailed view at the state of the problematics in the Czech Republic. Subsequent chapters are devoted to a detailed analysis of the waste management sector, again in terms of global, European and national standpoint, in the end the view is focused on the key issue of the dissertation problematics of construction and demolition waste. In the application part the fulfilling of the stated objective of the dissertation through four defined hypothesis is solved. Hypotheses verify the efficiency and appropriateness of the setting of the system of subsidies in the frame of the monitored programme. The emphasis is imposed on the assessment of the impact of the allocated subsidies to the private entities on their economic and environmental efficiency.
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Analysis of business and entrepreneurship sector policy in the town Písek
KOSTOHRYZOVÁ, Andrea
The aim of my thesis is to analyse business and entrepreneurship sector of the town Písek and positive attitude of the local municipality towards private business sector operating on the largest industrial zone in South Bohemia. Theoretical part concentrates on description and explanation of the basic terms and relations dealing with the topic of regional development. Afterwards, I focus on description of public and private sectors and possibilities of providing financial subsidies from both national and EU funds. The first section of practical part concentrates on detailed description of the region Písek from various viewpoints social, demographic, economic, industry sectors and competitiveness. Furthermore, I describe and analyse business and entrepreneurship conditions within the industrial zone lying on the edge of the northern part of the town Písek focusing on the past, present and future. I also describe clusters and evaluate success rate and effectiveness of the town Písek in obtaining financial subsidies from both national and EU funds. The last part uses the findings to compare the industrial zone in Písek with a similar industrial zone in Vodňany. Finally, I summarise and evaluate all findings. I outline the possibilities of further development of the industrial zone Písek and ways to obtain financial subsidies for development of business and entrepreneurship sector in the town Písek from accessible European funds.
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Effect of a graduate of field of study Special Education - tutorship in practice of providers of social care
SALABOVÁ, Jana
Theoretical part of the thesis is divided into 4 main chapters. First one deals with the helping professions generally, their definitions and definition of the Special education - Tutorship branch of study per se.It also briefly touches the subject of readiness of the future graduates to deal effectivelly with the challenges of a career in the field of social services. Chapter number two is called Special education and it defines the subject of special education itself, it's purpose and inner structure. Third chapter focuses on social services. It brings up it's definition and types and forms of social services.It also contains the examples of the institutions which fall into this category and it's providers. Chapter number four, which happens to be the last one in the theoretical part of the thesis, covers the role and purpose of graduates of the special education - tutorship studies. It brings up the definition of a social worker, necessary prerequisites as well as beneficial personality traits and feautures. In a subchapter of chapter four is a short description of a pedagogue tutor. Definition who he actually is, who are proper candidates for this position, what are desired personality traits we look for in tutors and the actual content and purpose of their work in institutions providing social services. The end of chapter four is dedicated to a position of a social worker. His activities, the position and definition of a personal assistant and again personality traits needed for a successful career in this field. The objective of the practical part of the thesis is to describe working of Special education - tutorship studies graduates in practice. Particularly their experiences "from the field", how do they evaluate the level of skill of fresh graduates during their first encounters with the reality, how satisfied are they with their choice of a career so far and what was their motivation to pursue such career. Practical part of the thesis includes qualitative research. To meet the above objectives, data collection technique had been chosen using a structured interview with the respondents, who were graduates of Special education tutorship studies. You can tell by the results of this thesis that graduates in the field of social services apply mostly to lower positions as a social service workers, even though they are qualified to perform as a social workers. The age of clients with whom the respondents work ranges from childhood to senior. The motivation that led those questioned respondents to the decision to choose the area of social services varies. Some reported that they were influenced by the actual practical experience during their studies at the university, when both the work itself and their enthusiasm for the target group played role. Others expressed they had previous experience working with people with disabilities or they just wanted to acquire new experiences. Also, involvement of a family member and their previous education was a motivation. Job satisfaction is evident from observed data, and it also contributes to work done accurately and responsibly. Personal benefits for the respondents according to findings are usually their usefulness at work, new experiences they are getting and last but not least advances of their clients. As the biggest advantage the respondents usually mention variability of their work, target group and the clients in itself and the fact, that their work is highly satisfying and they basically work in a very pleasant team of individuals. On the other hand, not exactly satisfying financial reward and challenging working hours are mentioned as disadvantages. Special education - tutorship studies - the branch they've studied, is by the majority of respondents considered to be beneficial for them and they especially highlight practical impact of practice they completed during their studies and which included visits to various relevant institutions.
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Students´ motivation for the work in social sphere
DUCHOŇOVÁ, Kristýna
The topic of this bachelor thesis is the motivation of students to work in the social sphere. Selecting a domain is an important milestone in the life of each of us, the aim of the work is to determine what factors affect the young person during the election field with a social focus and how his motives during his studies and during his practical experience varies.The work is divided into two parts, theoretical and practical. The theoretical part describes the social work and its history, definition, ethical standards and goals. The work deals with the role of a social worker and describes his competence. Presents preconditions for occupational choice and the factors that influence this choice. It also deals with motivation, defines it and acquaints us with concepts such as motive, value or need. Work is affected by motivation theories and recalls the hierarchy of needs of Maslow. In the seclusion does not stay the work motivation in helping professions, questionable motives or burnout, which occurs currently in the social sphere more frequently than in other sectors. The practical part is focused on quantitative research, when the survey begins with primary school pupils who have just chosen their future focus. This part aims to determine what percentage of these students opted for the social sphere and what lead to this decision. Further quantitative research conducted among high school and college students who attend branch with a social focus. Here, the work reveals the most common and most important motives of students, satisfaction with the chosen field of study and their expectations of future studies and career. Here we will also learn how many students want after graduation stay in the field. In the practical part there is also a qualitative research, which complements the whole job. Semi-structured interviews are conducted with students, but also with a social worker. These respondents describe us closer their motivation for working in the social sphere. According to the results which this research brought, it can be stated that most of the students choose a subject with a social focus to have the opportunity to help the others. But is true that many students are choosing a school prematurely and are influenced by the place of residence, their friends or the nature of the study, most of these people don´t know what they can expect from the field and are often discouraged during their studies. From this work could in practice benefit pupils and students who decide for the field of social affairs. For teachers working in schools where the research took place,could this work serve as a feedback. Especially the part which describes the differences between expectations and reality can be used.
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Comparison of production and conditions of use of liquid biofuels in different countries
Semerák, Adam ; Pecen, Josef (advisor) ; Krepl, Vladimír (referee)
Biofuels production has experienced rapid growth in recent years. Many countries initiated legislative measures to promote their development, production and use in the transport sector. However, there are also growing concerns about the economic, environmental and social sustainability of biofuels, as well as their ability to truly meet the expectations of energy security.
This paper attempted to point out the complexity and diversity of the production and use of liquid biofuels in the transport sector while using available information resources. More specifically, bioethanol and biodiesel which are most commonly used biofuels. Furthermore, he also tried to point out the diversity of characteristics and impacts in production and use of liquid biofuels, as well as the importance of consideration of the specific local conditions. That was examined from four perspectives of sustainability: technological, economical, socioinstitutional, and environmental. To illustrate the diversity and interdependence of the impacts of this whole issue two countries with very different human development indexes were selected. The Malaysia and India.
At the basis of this paper the author concluded that for successful and sustainable production of liquid biofuels there must be taken into account all the factors examined equally. He also emphasized the importance of further research of this renewable energy source in terms of ensuring future energy security.
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Electronic auction in healthcare
Vyoral, Marek ; Toth, Štefan (advisor) ; Jan, Jan (referee)
Working with the theoretical part focuses on the regulation of electronic auctions in terms of legislation both Czech and foreign, given that we are members of the European Union. Furthermore, the work explains the possible ways to use electronic auctions, which are mostly used in both the Czech Republic and abroad. At work I also am trying to shed light on the current use of auctions on the auction portal Aukro examples, which is widely used by people for personal use. Finally, the theoretical part I try to outline the future development of electronic auctions. The practical part is focused primarily on its activities in the hospital Pardubice Region, Inc. where I introduced the auction. In several examples, visible results, which not only brings centralization entire purchase, but also the use of electronic auctions as a tool for communication and bidding suppliers with the lowest purchase price for a group of hospitals. The work also draws from the Ministry for Regional Development, which is responsible for the preparation of the most important regulations for electronic auctions in healthcare, namely the Public Procurement Act. Electronic auctions are a tool very interesting, because it is the most transparent way of evaluating procurement by parameters rates. Whether if electronic auction in health care and efficient purchase option will be discussed in this work.
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