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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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Expert capacities of the Czech political parties: case study of defence policy
Bayerová, Anežka ; Němec, Jan (advisor) ; Vymětal, Petr (referee)
The thesis deals with marginally explored area of expert capacities of the Czech political parties with respect to the different organizational types of selected political parties and movements. The work aims to find out what expert capacities work for these types of political parties, how these experts are recruited in their position, whether it corresponds to their educational background and professional experiences with function, which are they holding in the expert authority. Work is elaborated in the form of case study, which focuses on the activities of defense policy expert commissions. The text is divided into two theoretical and one empirical chapters. The first chapter deals with the process of policy-making, its actors and activities associated with this process. The second chapter defines the various types of political parties first from the mainstream perspective (cadre, mass, catch-all parties), which complements the modern concept of business party and finally there is a typology of S. Wolinetz (office-seeking, vote-seeking, policy-seeking parties). The last empirical chapter presents the case study focused on four Czech political parties (TOP 09, KSČM, ČSSD and political movement ANO 2011) and their access to party expertise. The result of this work is to compare the level of analytical capacity across selected political parties/movements and testing of hypotheses formulated in the introduction of the thesis.
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Awareness of Volunteering in the Czech Republic and Abroad among Students of the Faculty of Health and Social Studies of South Bohemia University
MARKOVÁ, Marcela
My work is focused on the volunteering. It aims to introduce the Healthy Social Faculty of the Southern Bohemian University in České Budějovice (ZSF JU) and its faculty volunteering. It describes where the volunteers can involve themselves (Czech Republic and abroad) and also the condition of volunteering at the faculty (regarding how many students are involved and informed). My work is supposed to be a study material for students of ZSF JU. It can be used as an information source for the faculty management and it can also be an inspiration for the future concept about volunteering. It has two parts; theoretical and practical (experimental) one. The structure of ZSF JU and the history of the volunteering at the faculty are described in the first part. Moreover there are definitions of: volunteering, volunteer, types of volunteering and its legislation base including the brief Czech history of volunteering. Following part informs about benefits of volunteering and particular fields where we can find volunteers. Theoretical part is finished with a chapter about international volunteering. The aim of the practical part is to analyze how students are informed about possibilities and benefits of volunteering in the Czech Republic and in the world. The aim of my work is set up there and also the hypothesis which have been confirmed or uprooted. Moreover the methodology of the practical part is explained there. I have used a questionnaire method via server "Vyplnto.cz". The questionnaire itself was send using collective correspondence to all student´s email addresses at ZSF JU. There were 478 valid responds from the students of ZSF JU both distance and daily study. Following chapter presents research results gained through statistics of graphs and charts. You can see results of each question in context with other parameters as age, sex, form of study or field of study. The hypotheses were tested via statistics methodology of good matching, called "Chi-square distribution". The results show that students of ZSF JU are informed about possibilities of volunteering in CZ. However they lack information about possibilities abroad. Students of distance study are better informed and more involved than students from daily study. Another part is a chapter called Discussion, where particular results are interpreted and compared with results of similar researches. In the final part you can find the resume of the results and the evaluation of the aim. Students from ZSF JU have quite a good knowledge about volunteering. However, in some concrete parts there is a space for improvement. The conclusion of the work offers some solutions.
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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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Population genetic analysis of Old Kladruber horse
Vostrá Vydrová, Hana ; Majzlík, Ivan (advisor) ; Karel, Karel (referee)
The Old Kladruber horse, along with the Lipizzaner horse, Andalusian horse and Lusitano horse, is of the original Italo-Spanish type. The Old Kladruber horse is kept in two colour varieties (grey and black). Because the population is closed, there is a concern about the loss of genetic variation. The genetic diversity and population structure were analysed in the Old Kladruber horse breed based on the pedigree information of animals that were registered in the Studbook to identify factors that may have affected the genetic variability of the breed. Pedigree records collected from 1729 to 2013 contained information on 7971 animals that were used in the analyses. The pedigree depth was up to 33 generations, with an average of 15.1 complete generations. The effective number of founders and ancestors contributing to the current genetic pool was 92.69 and 17.16, respectively. The average values of the inbreeding coefficient were as follows: 13% (with a maximum value of 29%) for the reference population (individuals that can currently take part in reproduction, n=612), 11% for the grey variety (with a maximum value of 25%) and 15% for the black variety (with a maximum value of 29%). The proportion of inbred animals was high (99%). The average rate of inbreeding in the reference population was 1%: 0.8% for the grey variety and 1.1% for the black variety, and the respective estimates of the effective population sizes were 52 for the reference population, 62 for the grey variety and 45 for the black variety. The estimated percentage of genetic diversity lost due to non-random mating within subpopulations and the reference population was 1.0, 1.0 and 1.2%, respectively. The total loss of genetic diversity in the reference population, in the grey variety and in the black variety was 11%, 13% and 17%, respectively.
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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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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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