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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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Determinants of Industrialization in sub-Saharan Africa and Possibilities for their Development
Sejkora, Jiří ; Jiránková, Martina (advisor) ; Šaroch, Stanislav (referee) ; Fárek, Jiří (referee) ; Adamcová, Lenka (referee)
Sub-Saharan economies need structural changes that would enhance their productivity, increase economic growth and development. In this regard, industrialization plays a key role. Using regression analysis, the aim of this dissertation thesis is to identify main factors (determinants) of industrialization in sub-Saharan Africa. The results indicate that infrastructure and economy size (measured by population size) represent main determinants of industrialization in the region. The thesis also deals with possibilities for development of those determinants. Case study of infrastructure development in Mauritius emphasizes privatization, cooperation with external subjects etc. Negative consequences of small economy size can be overcome by preferential trade agreements (under certain circumstances), as shown by analysis of the three smallest economies in the region.
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Proposing the financial performance prediction index for decision support of the hospital management
Hajdíková, Taťána ; Černá, Anna (advisor) ; Lieskovská, Vanda (referee) ; Lazar, Jaromír (referee)
Dissertation thesis deals with the managerial needs in the area of financial health. Managers need a tool to reveal the impending financial failure or to assess the financial quality of the organization. They link their decisions to performance, ability to pay, employee productivity, financial resources and financial risk. In the theoretical part of the thesis it is necessary to explain the non-profit sector and its connection with the hospital environment. It is also necessary to introduce models used both in the Czech Republic and abroad, which share common elements. The basic aim of this thesis is to propose a financial performance prediction index for decision support of the hospital management, the owners of hospitals and insurance companies. To achieve the basic goal, three sub-goals must be accomplished. The first goal is to divide the hospitals into healthy and unhealthy by using the multi-criteria methods. The second goal is, based on an expert approach with the support of statistical methods, the selection of indicators appropriate for the hospital environment and the third goal is to find a suitable method for the determination of weighted representation of individual indicators in the proposed index and to assemble the final form of the new financial index for the hospital environment.
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Global Economy Outlook - October 2016
Česká národní banka
The October issue of Global Economic Outlook presents the regular monthly overview of recent and expected developments in selected territories, focusing on key economic variables: inflation, GDP growth, leading indicators, interest rates, exchange rates and commodity prices. In this issue, we focus in detail on the industrial producer price index (PPI), which, alongside the consumer price index (CPI), is a key indicator of inflation on the production side of the economy. We also explain the specifics of the PPI, especially in the EU, and present a model simulation indicating the sensitivity of the PPI to a change in oil prices.
Fulltext:  PDF; PDF
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Aging population in the Czech Republic and its consequences
Tomsová, Veronika ; Prášilová, Marie (advisor) ; Anna, Anna (referee)
The thesis deals with the demographic progression in the Czech republic and consequences of population ageing. Teoretical part characterize basic concepts related to demography, ageing and the pension system and describe causes and consequences of population ageing. Analytical part is focused on period from 2005 to 2015. Process of population ageing is evalueted using selected indicators. Evaluation of progression population, age composition, average age, life expentancy and selected indices are part of thesis. Data relating to pension system are analyzed in the context of ageing population. Method of time series analysis was used for analysis and prediction selected indicators. The thesis contains suggestions and recommendations relating to the evalueted indicators.
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Evaluation of the importance of international trade for Finland
Beneš, Michal ; Regnerová, Olga (advisor) ; Zdeněk, Zdeněk (referee)
The diploma thesis is focused on Finnish international trade and its importance for the national economy. The thesis is divided into two parts: theoretical part and practical part.
The theoretical part is done using the method of literature research and contains relevant information about the international trade. It is focused on foreign market entry modes, delivery and payment terms, the importance of international trade in the national economy and economic sanctions using in international trade.
The practical part first describes the Finnish economy using the key economic indicators and then analyses the Finnish international trade. The analysis is mainly focused on the international trade with goods and contains chapters about development indicators, commodity and territorial structure, major export-oriented companies and government export support services. The thesis also analyses international trade between Czech Republic and Finland and the impact of Russian economic sanctions on Finnish exporters. In the final part, the results are summarized and evaluated and there are proposals to increase Finnish exports and strategies and recommendations for Czech exporters when trading with Finland.
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Comparison of the performance of economic entities
LUKŠ, Mirek
The diploma thesis deals with a construction of the appropriate comparative model on the methodical basis of multi-criteria evaluation of alternatives, which are based on the economic indicator considered as a standard for determination the specific order of the companies in this thesis compared. Moreover, there is further a comparison incorporated, which consists of the position of in the thesis selected comparative model against regularly existing models such as specifically the Altman index (Z-score) and the index IN99. An integral part of the thesis is also a graphical analysis of the specific the model entering inputs such as indicators, criterions, which are considered to be a crucial part for the correct utilization of the model.
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Regional population projections
DVOŘÁKOVÁ, Aneta
This thesis deals with the regional population projections. The theoretical part is divided into several chapters, which describe and explain the basic concepts, such as demographics, birth rate, death rate and more. There are also analyzed the actual projection methods and specifying formulas. Last but not least consulted on the population projection of the Czech Republic in 2050 and the most recent projections up to the year 2100th. Own part is about the screening for districts in South Bohemian region. Projections were prepared for districts: Ceske Budejovice, Cesky Krumlov, Jindrichuv Hradec, Prachatice, Pisek, Strakonice and Tabor. As evaluation indicators were elected, population, life expectancy, total fertility rate and the secondary sex ratio or even sex ratio. Projections for population and life expectancy has been created specially for men and women.
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The comparison of growth performance of beef breed Aberdeen Angus twins
KOCÁBEK, Jan
Aberdeen Angus (originated in Scotland) is the second most common beef breed in the Czech Republic due to its resistance to adverse climatic events, modesty, earliness, ease of calving, low birth weight of calves and good maternal instincts of cows. The main economic indicator of suckler cows rearing is the number of born and weaned calves. Production of twins is possible way to improve these indicators. The aim of this thesis was to compare the growth potential of twins of Aberdeen Angus beef breed with individuals who were born as singletons. The work is focused on comparing the weight at birth, in 120 and 210 days of age. Most twins in the population of Aberdeen Angus breed reared in the Czech Republic in 2009-2013 was born in 2012 - 9.44 % (270 pcs.), the least in 2013 - 6.67 % (184 pcs.). The incidence of twins by birth order increased from 1 to 3 birth order (78, resp. 130, resp. 131 pcs.) as further increasing order resulted into decline of twin's incidence. The difference in weight between twins and singletons at birth was 5.81 kg, in 120 days 28.32 kg and 37.32 kg 210 days (P 0.001). Differences within twins by sex were for bulls and heifers statistically significant (P 0.001). The relationship between weight at birth and calving ease was also investigated - in the case of twins relationship was not statistically significant (P> 0.05). The lowest mortality rate of twins was in 2013 - 8.70 % (16 pcs.), the highest mortality rate was in 2012 36.67 % (99 pcs.). Most twins were born in 2011 (179 pcs.), whereas least twins were born in 2010 (160 pcs.).
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