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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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The nursing process in a patient with an intestinal cancer
Kopřivová, Pavlína ; Nikodemová, Hana (advisor) ; Kučková, Eva (referee)
In my bachelor's paper, the classic nursing process is elaborated; its theme that is particularly topical currently is a patient with intestinal tumour. The reason why the theme "colorectal carcinoma" was chosen is described in the preamble: it is mainly the current high frequency of this diagnosis. The numerical comparison if its incidence and mortality in the Czech Republic and worldwide are described here. The theoretical part deals mainly with anatomy and physiology of large intestine, factual disease, its diagnostics and therapy. Basic information related to the patient, course of his hospitalization, and the used therapy are also described here. The practical part deals with the actual nursing process; case history of illness and diagnosis that was elaborated on the basis of subjective and objective information gained during the patient's treatment are described in this part. The closing part summarises the overall hospitalisation course and future prognosis of the patient. Powered by TCPDF (www.tcpdf.org)
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Wild plants in folk medicine
Heliová, Pavla ; Dostál, Petr (advisor) ; Skýbová, Jana (referee)
The thesis 1 wanted to draw attention to the medicinal plants in our landscapes and familiar with their use in medicine and folk medicine in the history even today. In my work, I first wrote the history of the use of medicinal herbs since ancient times to the present. In the next part of my work I'm dealing with the content of substances in plants, the possibility of collecting and treatment of plant material. I also take stock of the surroundings of residence, village Boršice where I suggested a few routes available for the example of medicinal plants in natural science lessons at local primary school. In the last part I paid attractions from the world of medicinal plants. At the end of this work, I summarized my findings and think about the wild plants cultivated in the agricultural landscape. Powered by TCPDF (www.tcpdf.org)
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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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Grammars with Restricted Derivation Trees
Koutný, Jiří ; Janoušek, Jan (referee) ; Vojnar, Tomáš (referee) ; Meduna, Alexandr (advisor)
V této disertační práci jsou studovány teoretické vlastnosti gramatik s omezenými derivačními stromy. Po uvedení současného stavu poznání v této oblasti je výzkum zaměřen na tři základní typy omezení derivačních stromů. Nejprve je představeno zcela nové téma, které je založeno na omezení řezů a je zkoumána vyjadřovací síla takto omezené gramatiky. Poté je zkoumáno několik nových vlastností omezení kladeného na cestu derivačních stromů. Zejména je studován vliv vymazávacích pravidel na vyjadřovací sílu gramatik s omezenou cestou a pro tyto gramatiky jsou zavedeny dvě normální formy. Následně je popsána nová souvislost mezi gramatikami s omezenou cestou a některými pseudouzly. Dále je prezentován protiargument k vyjadřovací síle tohoto modelu, která byla dosud považována za dobře známou vlastnost. Nakonec je zavedeno zobecnění modelu s omezenou cestou na ne jednu, ale několik cest. Tento model je následně studován zejména z hlediska vlastností vkládání, uzávěrových vlastností a vlastností syntaktické analýzy.
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Network Architecture and Interconnection of Embedded Systems
Trchalík, Roman ; Drábek, Vladimír (referee) ; Srovnal, Vilém (referee) ; Švéda, Miroslav (advisor)
The thesis focuses on the architecture of embedded systems. It summarizes the current state of accepted standards from IEEE 1451 family, which deals with creating an environment for the sensors and their involvement in various networks. These standards describe the open, network-independent communication architecture for a sensor-based system. One of the main outcomes of this work is the architectures presented as case studies, which can be used as design patters for embedded applications. They are demonstrated on ZigBee technology suitable mainly for small devices with very low power consumption. Based on these studies the new design of universal gateway was proposed. Its major advantage is that it allows interconnection of the endpoints based on different sensor network technologies. Additionally, the thesis deals with modifying the routing protocol of ZigBee network in order to reduce power consumption required to transmit one data packet.
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The Pump with a Diffuser with Stochastic Blades (Runner and Diffuser)
Dobšáková, Lenka ; Melichar, Jan (referee) ; Veselý, Jindřich (referee) ; Haluza, Miloslav (advisor)
This doctoral thesis studies the non-uniform blade cascade for centrifugal pumps. Influence of non-uniform blade cascade is investigated on the impeller and diffuser. A non-uniform blading impeller of pumps in this doctoral thesis was examined in terms of influence on efficiency characteristic. The idea of using non-uniform blading is to obtain a flat efficiency characteristic. Then the centrifugal pump could be used on larger scale of power with achieving a sufficiently high efficiency. The work is based on experimental measurements and numerical simulations of non-uniform hydraulic pump components. Non-uniform impeller and the diffuser were newly designed for this research. A new measuring track of small submersible pumps was needed to design and build for measurements. Different pump combinations with conventional hydraulics on one working point and hydraulics with non-uniform were measured. All measurements were evaluated and characteristics of efficiency, head and power were obtained for each measured combination. Some of pump combinations (which were measured in experiment) were numerically simulated by program Ansys Fluent. Data needed to evaluate the characteristic of efficiency and specific energy were collected from each numerical simulation. A theoretical consideration concerns the influence of non-uniform blade cascade applied on diffuser. The suggestion how to decrease hydraulic losses in canals was done. The theoretical consideration how to make a flat efficiency characteristic was made.
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Comparison of trucks of selected power range
Effenberk, Jan ; Šařec, Petr (advisor) ; Balada, Ivo (referee)
The main purpose of this bachelor thesis is to compare semitrailer trucks made by major European manufacturers. Maximum engine power of compared vehicles is limited to 340 kW. Secondary aim of this thesis is provision of theoretical knowledge of key mechanisms and issues of modern trucks. The thesis is devided into two main parts. The first one includes history and development of road transport and trucks. Basic technical terms and legislation are described there as well. Following chapters are dedicated to brief characteristic of mechanisms and their types. The second part of this thesis focuses on truck comparison according to selected parameters using chosen method of multi-criteria analysis. The thesis is concluded with results evaluation, ranking of each truck and discussion about certain issues.
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