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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 current state and prospects for sustainable development of tourism in Slovakia.
Libantová, Silvia ; Indrová, Jarmila (advisor) ; Chaloupka, Radek (referee)
Tourism contributes to the prosperity of destinations by bringing financial resources, new jobs, a higher level of services and infrastructure development. However, if tourism does not develop sustainably, it is accompanied by negative factors, as well. Especially, negative impacts on the environment, such as: water and soil contamination, increased noise and overcrowded destination during the high season. As a response to the worsening state of the environment and possible irreversible changes caused by irresponsible human behavior, the idea of sustainable development is becoming more important. The theoretical part describes tourism in the Slovak Republic and highlights plans for sustainable tourism development. In the practical part, the results of the questionnaire, related to the awareness of sustainable tourism in the Slovak Republic, are evaluated. The main objective of this thesis is to evaluate the current situation in the field of sustainable tourism and to make suggestions for its future development.
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Non-invasive methods for sex and steroid homones determination in gibbons of the genus Nomascus
Bolechová, Petra ; Bartoš, Luděk (advisor) ; Pavel, Pavel (referee)
The gibbon primates of the family Nomascus are classified as critically endangered species, and, to date, basic understanding and information about their biology is missing. With regard to the status of these animals in the wild and captive populations in zoos, being familiar with their reproduction, may improve captive breeding programs. Data collection in this study was to be carried out by the practical use of non-invasive methods (polymerase chain reaction for DNA extraction and enzyme immunoassays), using faecal samples for analysis. The first method, polymerase chain reaction, was used for sex determination in juveniles, because of their coat colour and visual similarity of secondary sex characteristic in both sexes; it is not possible to determinate sex without handling the animal. Another main purpose of this study is to try and answer the hypothesis regarding the ovarian cycle of females, factors influencing their hormone concentration and also the onset of sexual maturity in females and the timing of their fur colour change. Hypotheses were checked by monitoring the concentration of progesterone and oestrogen faecal metabolites and by evaluation of the composition of breeding groups of gibbons with the ZOO influence. During a four year period (from 2010 till 2014), there were a total of 51 animals analysed from 16 different zoos with a faecal sample count totalling 1618 samples. The results confirmed the use of noninvasive methods for sex determination, and thus ensuring the maximum welfare standards. Endocrinological analysis confirmed the hypothesis of the influence of the environment (ZOO) to the hormone concentrations and female´s pregnancy effect in conjunction with her age on the final results of the male - father hormone concentrations. The initial information in this study is the confirmation of the onset of ovarian cycle in young females without connection to their fur colour change and a significant factor of a mother´s impact and her territoriality. This study is the first to present a long term monitoring of ovarian cycles in females and hormone concentrations of other individuals, both male and female, and from various age groups. The results allow us to understand the possible impact of zoo environments on the reproductive status of these gibbons and contribute to the general improvement of breeding management.
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I/O Aerosol in Kindergarten - Case Study.
Ondráček, Jakub ; Talbot, Nicholas ; Cusack, Michael ; Vodička, Petr ; Ždímal, Vladimír ; Schwarz, Jaroslav
In last decades, people spend more and more time indoors. When various indoor sources are present, the indoor air quality is driven mainly by these sources. Without the presence of significant indoor sources, the situation is very different and the concentration of aerosol particles in indoor environment follows behavior of outdoor particles (taking into account losses of aerosol particles due to deposition on indoor surfaces and during penetration indoors. Many epidemiological studies show direct link between dose/exposition to fine (< 1µm) and ultrafine (< 100 nm) particles and adverse health effects. With regards to the fact that indoor environment is besides the adults occupied usually also by kids in longer time periods, it is very important to study the indoor environment in a great detail and to understand the behavior of aerosol particles indoors. In the case of the kids being exposed to the indoor aerosol particles, the adverse health effect can be more pronounced and the consequences more dangerous. Nevertheles, at the same time it is necessary to monitor the outdoor environment as well by observing its changing daily pattern and trying to identify the possible sources of outdoor air pollution.\n
Fulltext: content.csg -  PDF
Plný tet: SKMBT_C22016102412233 - PDF
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Network-wide Security Analysis
de Silva, Hidda Marakkala Gayan Ruchika ; Šafařík,, Jiří (referee) ; Šlapal, Josef (referee) ; Švéda, Miroslav (advisor)
Práce představuje model a metody analýzy vlasností komunikace v počítačových sítích. Model dosažitelnosti koncových prvků v IP sítích je vytvořen na základě konfigurace a síťové topologie a umožňuje ukázat, že vabraný koncový uzel je dosažitelný v dané síťové konfiguraci a stavu. Prezentovaná práce se skládá ze dvou částí. První část se věnuje modelování sítí, chování směrovaích protokolů a síťové konfiguraci. V rámci modelu sítě byla vytvořena modifikovaná topologická tabulka (MTT), která slouží pro agregaci síťových stavů určených pro následnou analýzu. Pro analýzu byl použit přístup založený na logickém programování, kdy model sítě je převeden do Datalog popisu a vlastnosti jsou ověřovány kladením dotazů nad logickou databází. Přínosy práce spočívají v definici grafu síťových filtrů, modifikované topologické tabulce, redukce stavového prostoru agrgací síťových stavů, modelů aktivního síťového prvku jako filter-transformace komponenty a metoda pro analýzu dosažitelnosti založena na logickém programování a databázích.
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Exposure of children to atmospheric aerosol in school gyms
Šafránek, Jiří ; Braniš, Martin (advisor) ; Holcátová, Ivana (referee) ; Heller, Jan (referee)
Research into indoor environment has shown that schools are buildings with high- levels of particulate matter concentrations. This is especially the case of schools situated in high-density traffic or in industrial areas. Several studies have also proven the impact of PM on the teenage generation's health. So far no detailed study has been performed to cover the environment of school gyms where the PM dynamics are different from other indoor microenvironments. This different dynamics relates to the gym environment heterogeneity and to the human activities taking place in it. Due to higher pulmonary ventilation, the exposure of the exercising pupils can reach levels possibly noxious to their health. Size resolved mass concentrations of aerosol were measured in three elementary Schools in Prague. One school was situated in the city centre with high traffic density. The second school was situated on a plateau on the periphery with a medium level traffic. The third school can be found in Prague south-western suburbia, in an open landscape, with low traffic density. PM concentrations were measured simultaneously in naturally ventilated gyms and outdoors ajacent to the particular school building. Two pairs of monitors were used throughout the study: A DustTrak Aerosol Monitor and a Personal Cascade...
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Effective using of potential of bilingual environment
HOVORKOVÁ, Eva
The dissertation thesis "How to use the potential of bilingual environment efficiently" endeavors to highlight bad as well as good practices in bilingual upbringing. Bilingualism represents at present a very topical issue. In connection with increasing globalization, the issue of learning of foreign languages is more and more emphasised. People living in mixed marriages have often no idea how to bring their children up. In many cases they take steps that lead to irreversible consequences. The theoretical part of the thesis gives a survey of bilingualism, the division and kinds of bilingualism and ways of its acquisiton. The theory is practically illustrated in the empirical part through various examples. 42 case studies have been carried out, which include characteristic and uncharacteristic respondents. The findings of the research are compared with the facts mentioned in the reference works. The aim of the dissertation thesis is to find out which educational methods should parents follow in bilingual education and which methods they should better avoid.
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Impact of Current Information Technology Trends on the Future of Grey Literature
Savić, Dobrica
This paper deals with emerging information technology (IT) and other trends and their impact on the grey literature. It is based on analysis of the most prevalent trends in general information management and new IT solutions, which will define and impact the digital future of related information management activities, as well as the grey literature. The analysis was done based on seven reports issued in 2016 by five world leading consulting and service companies that have a special interest in researching the impacts of IT on our business environments, work procedures and behaviors.
Fulltext: idr-1032_3 - PDF
Slides: idr-1032_1 - PDF; idr-1032_2 - PDF
Video: idr-1032_4 -  MP4
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The reflection of František Bakule's work in a relation to a current special educational practice
BALÍKOVÁ, Tereza
František Bakule was a significant Czech teacher during the first half of the 20th century. He was known as the first director of the "Jedlicka Institute in Prague" as well as the founder of so-called "Bakule´s Institute" as well as one of the few representatives of the "Czech alternative approach towards education" which is very well recognized all around the world. His legacy and teachings, however, are currently not being developed on the systematic level and neither they are being put into practise by Czech professional mainstream educational community. We also need to mention that is not used by even the stream of special education, in contrast to many foreign alternative pedagogical trends, which are gaining popularity and are generally applied with success. The aim of this thesis is therefore to analyse the work of Frantisek Bakule through the prism of contemporary school educational environment with emphasis on the education of students with disabilities. The first chapter is devoted to outlining the life journey of Frantisek Bakule, particularly focusing on the major milestones that influenced the formation of his personality, his ideas, inspiration and motivation which was reflected in his teachings and then in his very own coherent concept of education. To be specific, we are introduced to his family background and a significant part is then devoted to description of Frantisek´s experience as a teacher, including stages of operating in Jedlicka´s Institute and in his own "Bakule´s institute". The second part is then focused solely on Bakule´s specific educational concept. First, the core principles of the concept are defined. Later parts then talk about Bakule´s original curriculum and a his proposal of an ideal classroom environment. The text also contains a detailed description of how Bakule approached several subjects, which were at the core of his teaching concept, namely "Work activities", "Music education" and "Arts". Original teaching practices are analysed by using current teaching methodology and terminology. Due to the identified aim and goals of the thesis, the third chapter analyses the current concept of education of the above, according to Bakule´s core areas and principles. The text is designed specifically to be subsequently reflecting the work of Frantisek Bakule from the perspective of today's teaching methods, namely the methods of special education. The idea is to define common points and possible differences and uncover hidden inspirational potential, which is then the main content of the fourth and final chapter. Based on the analysis and all its subsequent reflections, the final chapter tells us that although Bakule´s educational goals don´t differ too significantly from the current concept embedded in the relevant framework of educational programs, to achieve such goals we are currently using very different techniques and methods in comparison to Bakule´s ways. Even though Bakule himself tested and verified all of his concepts in practice, which can be very simply described as "do not teach students about life and work, but through life and work", and these concepts also have been proven correct by various subsequent results of psychological researches, the current system still doesn´t draw from them too much. From all the above it is quite obvious that the legacy of life´s work of Frantisek Bakule is currently not utilized nor it is being appreciated by our professional pedagogical community. On the other hand, we need to note that it may also be due to the level of fragmentation in which his concept and materials were preserved to the present days.
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