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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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Aspects of the virtualization of higher education and its comparison in the CZ and US
Dlauhá, Dominika ; Šedivá, Zuzana (advisor) ; Pour, Jan (referee)
The topic of this thesis is the evolution of online higher education in the CZ and US, from its beginnings to its current state. Emphasis is placed on describing MOOCs and virtualization in education, ranging from technological, pedagogical and didactic aspects to legislature and finance. A survey was conducted to determine the interest in online courses at the University of Economics, Prague and experience with online learning, resulting in an outline of the future development in this area.
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Comparison of Business Intelligence implementation using open source solutions for middle size companies
Schmidt, Róbert ; Maryška, Miloš (advisor) ; Sládek, Pavel (referee)
The main goal of master thesis is to analyze and propose possible low cost Business Intelligence solution with open source technologies and comparison of available tools for implementation in middle size company. We compare Pentaho and Jaspersoft tools implemented on local hardware and cloud environment with Microsoft Azure services. The theoretical part focuses mainly on understanding the business intelligence and its architecture, because architecture is an important part of the work. Actual tools are designed as stand alone modules for specific activities in the business intelligence lifecycle. Low cost tools are often connected with open source technologies and cloud computing. This part of the work contains explanation of these terms and their advantages and disadvantages for our chosen target group of companies. The analytical part includes defined parameters by which it is conducted analysis of tools and their comparison. Business Intelligence solutions are divided according to arcitectural layers. The evaluation criteria are divided into financial, technical and user category. In conclusion, chosen tools are compared and evaluated. The main contribution of this thesis is comparison of open source business intelligence tools for implementation in middle size company. According to the EU directive, middle size company does not exceed 250 employees or profit is less than 50 million euros. The reader can compare the different solutions and their pitfalls or shortcomings that could be critical for the implementation.
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Finanční analýza společnosti United Parcel Service Czech Republic, s. r. o. a srovnání s konkurenty
Roudnická, Markéta ; Staňková, Anna (advisor) ; Marek, Petr (referee)
This thesis is focused on the financial analysis of United Parcel Service Czech Republic, s. r. o. during the period from 2010 to 2014 and the subsequent comparison of its results with selected comparable companies. The thesis is divided into two parts. In the theoretical part the methods of the financial analysis are defined and the optimal values of each financial indicator are determined. In the second part the company is introduced and the specific values of the described indicators are calculated as well as there is an intercompany comparison realized. The conclusion of this thesis is dedicated to an accurate description of the current situation of the company in the context of both optimal values and values which are usually achieved by comparable companies.
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Czech administrative justice from the viewpoint of comparison with French and German system
Kukačová, Sára ; Matula, Miloš (advisor) ; Louda, Tomáš (referee)
Diploma thesis is devoted to the theme of Czech administrative justice, its current form and comparison with chosen models of European administrative justice, that is with French and German model. Goal of the thesis is on the basis of description and analysis of these models of administrative justice to get the comparison and evaluation of the differences and positive and negative elements of chosen models in relation to Czech system of administrative justice. The first part focuses on rather theoretical side and the introduction to this problem. Fundamental terms and characteristics are described and the concept of administrative justice is put to a broader scope. There is also mentioned the historical development of administrative justice in the Czech lands from year 1848 until the present day. The second part is devoted to the study of specific current legislation of chosen countries - Czech Republic, France and Germany. On this foundation is in the closing part accomplished the analysis and comparison of particular systems of administrative justice together with stating their mutual positives and negatives.
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FAUST AND JOB´S
Slezáková, Kateřina ; ULLRICHOVÁ, Daria (advisor) ; SÍLOVÁ, Zuzana (referee)
This thesis examins the nature of Faust’s inner ambivalence in the context of modern times. It tries to identify the basic traits leading to the feeling of emptiness. The authoress uses comparing the dramatic character of Faust with his biblical prototype of Job and one of the most successful entrepreneurs today Steve Jobs. Based on the comparison she contemplates the validity or mutation of the drawing theses nowadays. In the second part the authoress reflects the production of the project of Faust. Due to her specialization in the field of dramaturgy she pursues especially the process of the selection of particular dramatic situations, adjustments of dramatic text and the choice of suitable staging means.
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The use of biographical anamnesis in care for clients with dementia in homes for the elderly in České Budějovice.
ČÁPOVÁ, Pavlína
Basic theoretical background: The number of people suffering from dementia is increasing, mainly due to falling birth rate and lengthening of life expectancy. The World Health Organization deals with the issue of caring for clients with dementia in a detailed report. A summary of this report was written by the Institute of Health Information and Statistics of the Czech Republic.In this summary, it is stated that in 2011 the number of clients treated in outpatient care in the Czech Republic climbed to number 14,932 (of which 67% were women) diagnosed with F00 (Alzheimer's disease) and with F01 - F03 (other dementia) to 17,955 (of which almost were women). In 2010, the estimated global number of patients with dementia was 35,6 million. Our society constantly considers a person with dementia to be an uncommunicative client, who is very difficult to be cared (Kopecká, 2012). That is why dementia touches not only the bio-psycho-social, but also the economic field (Wija, 2012). The basis of the psycho-biographical model of care is to change the perspective to the client and to see him or her as a personality with his or her own individual, regional or collective biographical history. With the help of the psycho-biographical model, the care becomes more tolerant, as this model is primarily focused on maintaining and supporting self-care skills and reflecting client's current skills, especially his or her mental ability (Procházková, 2011). For clients with dementia it is essential to find a way to their emotional life, which can be achieved by means of the information from the client´s biography. The knowledge of the client's story of life will also explain his or her needs and requests in care (Kopecká, 2012). The psycho-biographical model improves care for clients with dementia, particularly in the area of individual care and activation of clients. Aims of the thesis: As for the research part of this thesis, two objectives were defined. The first objective was to find out nurses' opinions about the use of biographical history in homes for seniors in České Budějovice. The second one was to discover the influence of biographical history in care for clients in homes for seniors in České Budějovice. These research questions were set to these objectives: What do nurses working in nursing homes for seniors in České Budějovice think of the influence of biographical history in care for clients? Another research question was: In what ways do the nurses working in nursing homes for seniors in České Budějovice think the biographical history improves care for clients? Methodology: The research on the topic of using biographical history in caring for clients with dementia in nursing homes for seniors in České Budějovice was conducted via qualitative investigation. Semi-structured interviews with nurses working in nursing homes for seniors in České Budějovice were chosen for the data collection. Results: The results of the research showed that all respondents found the use of biographical history beneficial in care for clients with dementia, especially in the area of improving individual care, cooperation with the client and his or her family members and obtaining information about the client. All respondents would like to start using biographical history in caring for clients with dementia, although some of them would find the introduction of the model into practice quite problematic. Conclusion: The results of this research could be used to change the approach to care for clients with dementia and to improve the quality of care. This thesis could serve to nurses in charge as a background material for the introduction to this issue and for considering the possibility of introducing biography history in caring for clients with dementia, as all interviewed respondents reported working with clients´ biographies to be beneficial in care for clients with dementia.
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Philosophy as Pneumatology of Ferdinand Ebner in the work "Das Wort und die geistigen Realitäten: Pneumatologische Fragmente"
ČERNÁ, Tereza
The thesis deals with a philosophical conception of an Austrian thinker of the 20th century Ferdinand Ebner in his life?s work ?Das Wort und die geistigen Realitäten: Pneumatologische Fragmente? (1921). Not only his life and the persons who influenced Ebner?s work were taken into account, but also the cultural-historical context of the period in which his original thoughts evolved. The heart of this paper lies in the introduction and explanation of the basic terms and theses that are crucial for Ebner?s philosophy, or more precisely his pneumatology. This part also contains Czech translation of some of the most important passages of Ebner?s work.
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Characteristics of the working behavior of Czechs and Ukrainians
BYKOVA, Sofia
The aim of this work is to create a transparent and comparable characteristics of the work behavior phenomenon within the cultures of those states - what is common and what is different between them, or maybe incompatible .It is supposed to have some analysis of possible conflicts and their connection with the mentality. The primary reason of this aim choosing is the specialty I study. My work contains information that could be interesting and useful not only for me and my future job, but also for managers and other employees. Overview of examined issues contains specific points, such as the fundamentals of economic psychology and behavioral economics (symbiosis of psychological and economic opinion on motivation and rationality of individuals), theories of motivation and reaction to different occurrence, characteristic of the term "mentality", general points about the human impact of the world economy. For realizing the goals of my work the following hypotheses have been proposed - Czech and Ukrainian mentality have significant differences, though these cultures are close. - Ukrainian and Czech employees are able to work effectively in a team and find a "common language" in the workplace. The difference in mentality does not obstruct on it. - Employers could be interested in the Ukrainian employees taking into account their high concernment and motivation. All three of the hypotheses were confirmed by observed data and comparison of mentality characteristics. Czechs are often tolerant to other cultures, moreover Ukrainian culture is not much different and does not create difficulties in the working relationship. Based on the fact that the chosen company has no conflicts associated with work behavior and differences in mentality, it's hard to define my contribution to this organization work.
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