| |
| |
|
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.
|
|
Monetary policy of the Central Bank of Russia.
Tyapkin, Andrey ; Heřman, Jan (advisor) ; Zeman, Karel (referee)
The subject of the research is the Central Bank of Russia and its monetary policy. The aim of the thesis is to give a definition to Central Bank, to describe the main features of the monetary regulations, to show the main aspects of the monetary policy of the Central Bank of Russia and to make predictions about the future of the Central Bank's policy. The actuality of the topic is very high due to tense geopolitical and economic situation in Russia. In the first part of the thesis, there are general definitions and other information about Central Bank and monetary policy. The other part is dedicated to the main aspects of the monetary policy of the Central Bank of Russia. In the last part of the thesis there are the predictions about the future monetary policy of the Central Bank of Russia with the help of the evaluation and analysis of the expectations about 2015-2017 period.
|
|
The prevention of nosocomial infections at central venous catheters in standard inpatient departments and intensive care units.
PAŽOUTOVÁ, Petra
Nosocomial infections are one of serious problems of modern medicine and nursing also nosocomial infections mean real serious problems for future. Prevention of nosocomial infections, applied together with pointed and meaningful antimicrobial therapy is the only causal solution now. This work was aimed primarily at a comparison of knowledge of common nurses working in intensive care wards and common nurses in standard wards. In general, it could be said that the aim of this work was to map the scope of knowledge of common nurses as for nosocomial infections as well as aseptic care for central venous catheters including catheter sepses. The found deficit in knowledge of common nurses pointed out the occurrence of mistakes in nursing practices. Quality of nursing is connected closely with standardisation of nursing procedures. Quantitative research inquiry was realised in 4 medical facilities: Regional hospital Liberec, a.s., Masaryk city hospital in Jilemnice, Hospital České Budějovice, a.s. and Hospital with polyclinic in Semily. As the research method there was chosen a non-standardised questionnaire. The sample of respondents was chosen as an intentional selectionand and in to statistic processing included 290 relevantly filled out forms. The research investigation also included a comparison and quantification of nursing standards. In view of the performed comparison of standards in nursing we concluded that creation of incomplete or even inconsistent standards occurs here. We have prepared a "Proposal on a standard of nursing care for inserted venous catheter", of which form could enable to implement it in medical care facilities within the Czech Republic and define clearly basic nursing procedures within the scope of these problems.
|
|
Central bank monitoring - June 2013
Česká národní banka
Latest monetary policy developments at selected central banks and news. Spotlight: „Flexibility of inflation targeting“. Selected speech: „Many targets, many instruments. Where do we stand?“ by Mervyn King (the outgoing governor of the Bank of England).
Fulltext:  PDF; PDF
|
|
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...
|
|
The GIS support to measures on the ground in case of leakage of liquid pollutant on the road
Kolejka, Jaromír ; Rapant, P. ; Zapletalová, Jana
Accidents on roads associated with the leakage of hazardous substances are one of the major challenges encountered by disaster management. Because of the impossibility of predicting the place and time of the event, then it is necessary in the event of such an accident to proceed in quick succession of steps. They are designed primarily to protect human life and health, and then to minimize to property and environment damage. The paper describes the response to this event using GIS tools and generally available geodata. The simulated accident on the D1 highway near Ostrava is applied as a demonstration example.
|
| |
|
Hlístice (Nematoda) v jílech hald uhelných dolů a v pokusně introdukovaných pásech luční půdy
Háněl, Ladislav
Soil nematodes were studied in coal-mining clay spoil denuded by a landslide of the upper part of a colliery dump three years ago. This control plot was compared with nematodes in introduced strips of fresh meadow soil heaped up on the spoil and in spoil strips between these soil strips. .i.Ecumenicus monohystera./i. (25% of all nematode individuals) and .i.Aporcelaimellus obtusicaudatus./i. (23%) dominated in the control spoil whereas in spoil between soil strips their population densities decreased. The greatest number of nematode species and genera was present in the soil strips. The number of species and genera increased in spoil strips adjacent to soil strips and proportions between trophic groups partially changed. Introduction of fresh meadow soil into colliery spoils may influence nematode assemblages in post-mining clays. Nevertheless, clay patches can harbour peculiar nematode assemblages that can contribute to the overall diversity of a post-mining landscape.
|
guest ::
