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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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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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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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New Methods for Increasing Efficiency and Speed of Functional Verification
Zachariášová, Marcela ; Dohnal, Jan (referee) ; Steininger, Andreas (referee) ; Kotásek, Zdeněk (advisor)
Při vývoji současných číslicových systémů, např. vestavěných systému a počítačového hardware, je nutné hledat postupy, jak zvýšit jejich spolehlivost. Jednou z možností je zvyšování efektivity a rychlosti verifikačních procesů, které se provádějí v raných fázích návrhu. V této dizertační práci se pozornost věnuje verifikačnímu přístupu s názvem funkční verifikace. Je identifikováno několik výzev a problému týkajících se efektivity a rychlosti funkční verifikace a ty jsou následně řešeny v cílech dizertační práce. První cíl se zaměřuje na redukci simulačního času v průběhu verifikace komplexních systémů. Důvodem je, že simulace inherentně paralelního hardwarového systému trvá velmi dlouho v porovnání s během v skutečném hardware. Je proto navrhnuta optimalizační technika, která umisťuje verifikovaný systém do FPGA akcelerátoru, zatím co část verifikačního prostředí stále běží v simulaci. Tímto přemístěním je možné výrazně zredukovat simulační režii. Druhý cíl se zabývá ručně připravovanými verifikačními prostředími, která představují výrazné omezení ve verifikační produktivitě. Tato režie však není nutná, protože většina verifikačních prostředí má velice podobnou strukturu, jelikož využívají komponenty standardních verifikačních metodik. Tyto komponenty se jen upravují s ohledem na verifikovaný systém. Proto druhá optimalizační technika analyzuje popis systému na vyšší úrovni abstrakce a automatizuje tvorbu verifikačních prostředí tím, že je automaticky generuje z tohoto vysoko-úrovňového popisu. Třetí cíl zkoumá, jak je možné docílit úplnost verifikace pomocí inteligentní automatizace. Úplnost verifikace se typicky měří pomocí různých metrik pokrytí a verifikace je ukončena, když je dosažena právě vysoká úroveň pokrytí. Proto je navržena třetí optimalizační technika, která řídí generování vstupů pro verifikovaný systém tak, aby tyto vstupy aktivovali současně co nejvíc bodů pokrytí a aby byla rychlost konvergence k maximálnímu pokrytí co nejvyšší. Jako hlavní optimalizační prostředek se používá genetický algoritmus, který je přizpůsoben pro funkční verifikaci a jeho parametry jsou vyladěny pro tuto doménu. Běží na pozadí verifikačního procesu, analyzuje dosažené pokrytí a na základě toho dynamicky upravuje omezující podmínky pro generátor vstupů. Tyto podmínky jsou reprezentovány pravděpodobnostmi, které určují výběr vhodných hodnot ze vstupní domény. Čtvrtý cíl diskutuje, zda je možné znovu použít vstupy z funkční verifikace pro účely regresního testování a optimalizovat je tak, aby byla rychlost testování co nejvyšší. Ve funkční verifikaci je totiž běžné, že vstupy jsou značně redundantní, jelikož jsou produkovány generátorem. Pro regresní testy ale tato redundance není potřebná a proto může být eliminována. Zároveň je ale nutné dbát na to, aby úroveň pokrytí dosáhnutá optimalizovanou sadou byla stejná, jako u té původní. Čtvrtá optimalizační technika toto reflektuje a opět používá genetický algoritmus jako optimalizační prostředek. Tentokrát ale není integrován do procesu verifikace, ale je použit až po její ukončení. Velmi rychle odstraňuje redundanci z původní sady vstupů a výsledná doba simulace je tak značně optimalizována.
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Navigation of mobile robots
Rozman, Jaroslav ; Matoušek,, Václav (referee) ; Šolc, František (referee) ; Zbořil, František (advisor)
Mobile robotics has been very discussed and wide spread topic recently. This due to the development in the computer technology that allows us to create better and more sophisticated robots. The goal of this effort is to create robots that will be able to autonomously move in the chosen environment. To achieve this goal, it is necessary for the robot to create the map of its environment, where the motion planning will occur. Nowadays, the probabilistic algorithms based on the SLAM algorithm are considered standard in the mapping in these times. This Phd. thesis deals with the proposal of the motion planning of the robot with stereocamera placed on the pan-and-tilt unit. The motion planning is designed with regard to the use of algorithms, which will look for the significant features in the pair of the images. With the use of the triangulation the map, or a model will be created. The benefits of this work can be divided into three parts. In the first one the way of marking the free area, where the robot will plan its motion, is described. The second part describes the motion planning of the robot in this free area. It takes into account the properties of the SLAM algorithm and it tries to plan the exploration in order to create the most precise map. The motion of the pan-and-tilt unit is described in the third part. It takes advantage of the fact that the robot can observe places that are in the different directions than the robot moves. This allows us to observe much bigger space without losing the information about the precision of the movements.
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Multimedia Data Processing in Heterogeneous Distributed Environment
Kajan, Rudolf ; Ferko,, Andrej (referee) ; Míkovec, Zdeněk (referee) ; Herout, Adam (advisor)
Pervasive computing sa zameriava odstránenie zložitostí pri interakcii s výpočtovou technikou a zvýšenie efektivity pri jej každodennom používaní. Ale i po viac ako 15 rokoch od sformulovania hlavných cieľov Pervasive computingu existujú aspekty interakcie ktoré stále nie sú súčasťou užívateľskej skúsenosti s dnešnou technológiou. Bezproblémová integrácia s prostredím vedúca k technologickej neviditeľnosti, alebo interakcia naprieč rôznymi zariadeniami predstavujú stále veľkú výzvu. Hlavným cieľom tejto práce je prispieť k tomu, aby sa ciele Pervasive computingu priblížili k realizovaniu tým, že predstavíme spôsob intuitívneho zdieľania informácií medzi osobným a verejne umiestneným zariadením. Predstavili sme tri interakčné techniky, ktoré podporujú intuitívnu výmenu obsahu medzi osobným zariadením a zdieľaným displejom. Tieto techniky sú založené na prenose videa, rozšírenej realite a analýze pohľadových dát. Okrem interakčných techník sme tiež predstavili mechanizmus pre získavanie, prenos a rekonštrukciu aplikačného stavu na cieľovom zariadení.
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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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Controlling System and the Competitiveness of a Small Service Company
PODLAHOVÁ, Žaneta
The bachelor thesis deals with evaluating the current system of controlling and analysing of the competitiveness of a selected small company in the South Bohemian region. The business subject of this company is to provide services in the real estate industry, whose aim is to satisfy its customers. The practical part contains more detailed description of the company, including its history with the present and depicts its management system. The methods used are Porter's five forces model, PEST and SWOT analysis and competition analysis. Porter's five forces model analyses the surrounding environment and examints competitiveness. PEST analysis is a simple and widely used tool that helps you analyse the Political, Economic, Socio-Cultural, and Technological changes in business environment. SWOT analysis deals with the external and internal environment. This theory describes the strengths and weaknesses of the chosen company, and its opportunities and threats. Competition analysis deals with the main competitors of company. The theoretical part applies these method. Finally, I made the proposals which help to increase competitiveness of company.
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The Role of Nurse in the Prevention of Disease of Civilisation
PAVLOVÁ, Martina
The current state Prevention is a complex care of a patient when we are trying to prevent from the occurrence or development of a disease, or when we want to prevent from its consequences and mitigate them. Recommendations for prevention set by a doctor must be on a scientific basis, and they must be a part of all branches of medicine. Their effectiveness depends on the cooperation between patients and medical staff. The basic and most efficient method of prevention is the health promotion and health education, which is closely associated with it. The term health promotion involves a set of activities and precautions for the purpose of making health better and sustaining it. Diseases of civilisation (hereinafter "DoC") are groups of diseases which are distinguished by their association to our lifestyles. Human body is more and more threatened from unfavourable influences of external environment, such as the quality of atmosphere, work environment and environment itself, the lack of physical movement, unhealthy diet, smoking, and alcohol consumption. The list of diseases of civilisation varies and changes together with our society and the development of our lifestyles. Among the most common or frequent diseases of current time are cardiovascular diseases, which involve atherosclerosis, hypertension, myocardial infarction, stroke, coronary artery disease and obesity. Furthermore, between civilization diseases include diabetes mellitus type 2 or cancer, etc. The goal of the thesis There are two goals set for this paper. The first goal was to find out what the role of a nurse in the prevention of diseases of civilisation was. The second goal was to find out what the above mentioned role of a nurse was from the point of view of patients. Methodology For the purpose of the research part of this thesis, qualitative research using semistructured interviews was carried out. Respondents were divided into two groups; the first one consisted of eight nurses working at internal medicine and neurological department of the hospital in České Budějovice and a nurse working in a private office of a general practitioner for adult patients. The second group consisted of eight patients of the above mentioned health facilities. Results According to our findings, nurses and patients have different oppinions on the role of a nurse. Nurses in disease prevention see themselves as an equivalent to a doctor when undertaking this practice and giving guidance. The patient speaks only to the nurse who emphasized what they were told by the doctor and reiterated the main points. They make available to them leaflets and brochures or Internet resources. In contrast, most patients see a nurse as a more important source of information than the doctor. Patients have the feeling that the doctor does not have enough time or does not want to be botherd with questions. Rather the patient turns to his nurse, which they sees as more appropriate and someone to whom they can confide in without bothering. Summary The goal of the thesis was to focus on prevention, DoC, and the role of a nurse in the prevention of such diseases, as well as to study this issue, look at it from the point of view of patients and nurses via the interviews carried out in this paper, and to analyse such information. Based on this analysis are published recommendations for nurses and patients.
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