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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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Differences between men and women in the Czech labour market
Stroukal, Dominik ; Kadeřábková, Božena (advisor) ; Pavelka, Tomáš (referee) ; Němec, Otakar (referee)
This thesis consists of five articles that apply current world research on labor economics at the Czech Republic and confirms the significant differences between men and women in this market. It shows that gender has a significant influence on the preference on the labor market and, consequently, on employment and health. First, the thesis shows that preferences are relevant determinant of career and then we study the difference in preference of salary for men and women. Subsequently it shows that gender plays a significant role in explaining the relationship between homeownership, and unemployment, as well as unemployment and health. The first chapter was able to demonstrate that the preference for a career has a positive influence on the choice of career. The influence of higher education on prioritizing career proved to be positive and significant. Probability of a career choice is reduced by the presence of children, however, is not dependent on their number, which is contrary to the theory of preferences. The second chapter shows that Czech women prefer more non-monetary rewards than men. It has also been shown that people with university education are same in the preferences of non-monetary rewards regardless of the gender of the respondents, however, compared to the world's research, the Czech higher education increases this preference. It turned out that women prefer risk less than men. The third chapter demonstrates that although the housing market undermines labor mobility and employment in the Czech Republic at the regional level, therefore, that in regions with a higher rate of home ownership is higher unemployment, at the individual level, the owners of housing are unemployed are less likely. The estimates are significantly different for men and women. Men living in owner-occupied housing have a higher likelihood of employment than women. At regional level, however, this thesis shows that the high rate of home ownership increases unemployment for both men and women, in the long run only to women. The fourth chapter showed that men transition to homeownership reduces the likelihood of unemployment next year. For women, this relationship has proved to be insignificant. In addition, as insignificant showed the opposite relationship, the transition from unemployment to the newly acquired home ownership. The last chapter shows that the change in the working status to unemployment will increase in the future probability of worse health. Influence in less than two years, however, proved to be significant. An important conclusion is that men have a significantly stronger relationship between health and unemployment than women.
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A Comparison of Preconditioning Methods for Saddle Point Problems with an Application to Porous Media Flow Problems
Axelsson, Owe ; Blaheta, Radim ; Hasal, Martin
The paper overviews and compares some block preconditioners for the solution of saddle point systems, especially systems arising from the Brinkman model of porous media flow. The considered preconditioners involve different Schur complements as inverse free Schur complement in HSS (Hermitian - Skew Hermitian Splitting preconditioner), Schur complement to the velocity matrix and finally Schur complement to a regularization block in the augmented matrix preconditioner. The inverses appearing in most of the considered Schur complements are approximated by simple sparse approximation techniques as element-by-element and Frobenius norm minimization approaches. A special interest is devoted to problems involving various Darcy, Stokes and Brinkman flow regions, the efficiency of preconditioners in this case is demonstrated by some numerical experiments.
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STRAIN ENGINEERING OF THE ELECTRONIC STRUCTURE OF 2D MATERIALS
del Corro, Elena ; Peňa-Alvarez, M. ; Morales-García, A. ; Bouša, Milan ; Řáhová, Jaroslava ; Kavan, Ladislav ; Kalbáč, Martin ; Frank, Otakar
The research on graphene has attracted much attention since its first successful preparation in 2004. It possesses many unique properties, such as an extreme stiffness and strength, high electron mobility, ballistic transport even at room temperature, superior thermal conductivity and many others. The affection for graphene was followed swiftly by a keen interest in other two dimensional materials like transition metal dichalcogenides. As has been predicted and in part proven experimentally, the electronic properties of these materials can be modified by various means. The most common ones include covalent or non-covalent chemistry, electrochemical, gate or atomic doping, or quantum confinement. None of these methods has proven universal enough in terms of the devices' characteristics or scalability. However, another approach is known mechanical strain/stress, but experiments in that direction are scarce, in spite of their high promises.\nThe primary challenge consists in the understanding of the mechanical properties of 2D materials and in the ability to quantify the lattice deformation. Several techniques can be then used to apply strain to the specimens and thus to induce changes in their electronic structure. We will review their basic concepts and some of the examples so far documented experimentally and/or theoretically.
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ELECTRON BEAM REMELTING OF PLASMA SPRAYED ALUMINA COATINGS
Matějíček, Jiří ; Veverka, J. ; Čížek, J. ; Kouřil, J.
Plasma sprayed alumina coatings find numerous applications in various fields, where they enhance the properties of the base material. Examples include thermal barriers, wear resistance, electrical insulation, and diffusion and corrosion barriers. A typical structure of plasma sprayed coatings, containing a multitude of voids and imperfectly bonded interfaces, gives them unique properties - particularly low thermal conductivity, high strain tolerance, etc. However, for certain applications such as permeation barriers or wear resistance, these voids may be detrimental.\nThis paper reports on the first experiments with remelting of plasma sprayed alumina coatings by electron beam technology, with the purpose of densifying the coatings and thereby eliminating the voids. Throughout the study, several parameters of the e-beam device were varied - beam current, traverse velocity and number of passes. The treated coatings were observed by light and electron microscopy and the thickness, structure and surface morphology of the remelted layer were determined and correlated with the process parameters. Based on the first series of experiments, the e-beam settings leading to dense and smooth remelted layer of sufficient thickness were obtained. In this layer, a change of phase composition and a marked increase in hardness were observed.\n
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Arctic tundra dendrochronology
Lehejček, Jiří ; Svoboda, Miroslav (advisor) ; Monika, Monika (referee)
Historically unprecedented environmental change in the Arctic ecosystems is often given into the context of its past and possible future development. In the region where instrumental meteorological observations are scarce archives need to be investigated in order to address this issues. The comprehensive synthesis one of the archives: long-live circumpolar evergreen Juniperus communis L. shrub is presented here. 20 individuals from southwest Greenland were investigated at the cell anatomy level to understand the ecology of the species and unhide its potential for environmental and climate reconstructions. The findings are as follows:
i) Stop of exponential cross-sectional conduit-lumen widening with increasing age is in contrast with conduit-lumen nature of trees. This indicates that shrubs do not need to saturate their water and nutrient demands via traits of classical hydraulic conductivity law but rather developed different mechanisms. Extreme weather conditions result in prostrate growth form. However, different weather factors probably influence shrub growth differently: While snow and wind act mechanically (a), temperature influences the form of growth physiologically (b). a) So long as the young shrub stem has high resilience to bend back to an upright position after snow melt and so long as it can withstand the wind during the vegetation season it most likely grows upright and the conduit-lumens widen. b) Temperature, resp. freeze-thaw events are responsible for the shrubs preference of safety (finite size of conduit-lumens) over hydraulic efficiency, thus not allowing for more primary growth. All of these (and other) factors are apparently working together and the transition of vertical to more horizontal growth is gradual. As a consequence, the conduit-lumen sizes may not have to be further increased (due to ecophysiological restrictions possibly also must not) because water is no longer transported against gravity.
ii) Observed age/growth trend has to be taken into consideration for further employment of the wood anatomical parameter in paleoenvironmental studies. That is, shrub cell parameters can only be used for this purposes if correctly detrended. This allows for more accurate as well as longer reconstructions because youth trend was often neglected in reconstructions based on shrub annual-rings.
iii) The south-western Greenland Ice-Sheet (GrIS) melt rates reconstruction is presented for the whole 20th century. This part of GrIS is considered as the most active. According to the presented reconstruction current GrIS melt rates are not uncommon for the last century being comparable to first decades of 20th century. This finding is particularly important contribution to the debate on Atlantic meridional overturning circulation (AMOC). Too high fresh water inputs into the Northern Atlantic from GrIS melting may slow down or even stop the AMOC which would result in more continental climate in Europe. Presented results indicate that this threshold lies higher than observed current melt rates of GrIS.
Fascinating Juniperus comunnis species has shown to be able to address many ecological as well as environmental open questions and due to its longevity and abundant distribution has a great potential to become an important player in the Arctic research.
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Population genetic analysis of Old Kladruber horse
Vostrá Vydrová, Hana ; Majzlík, Ivan (advisor) ; Karel, Karel (referee)
The Old Kladruber horse, along with the Lipizzaner horse, Andalusian horse and Lusitano horse, is of the original Italo-Spanish type. The Old Kladruber horse is kept in two colour varieties (grey and black). Because the population is closed, there is a concern about the loss of genetic variation. The genetic diversity and population structure were analysed in the Old Kladruber horse breed based on the pedigree information of animals that were registered in the Studbook to identify factors that may have affected the genetic variability of the breed. Pedigree records collected from 1729 to 2013 contained information on 7971 animals that were used in the analyses. The pedigree depth was up to 33 generations, with an average of 15.1 complete generations. The effective number of founders and ancestors contributing to the current genetic pool was 92.69 and 17.16, respectively. The average values of the inbreeding coefficient were as follows: 13% (with a maximum value of 29%) for the reference population (individuals that can currently take part in reproduction, n=612), 11% for the grey variety (with a maximum value of 25%) and 15% for the black variety (with a maximum value of 29%). The proportion of inbred animals was high (99%). The average rate of inbreeding in the reference population was 1%: 0.8% for the grey variety and 1.1% for the black variety, and the respective estimates of the effective population sizes were 52 for the reference population, 62 for the grey variety and 45 for the black variety. The estimated percentage of genetic diversity lost due to non-random mating within subpopulations and the reference population was 1.0, 1.0 and 1.2%, respectively. The total loss of genetic diversity in the reference population, in the grey variety and in the black variety was 11%, 13% and 17%, respectively.
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Cooperation of high schools with external contractors in preparing school educational programs
Tulach, David ; Lačev, Alek (advisor) ; Hochel, Matej (referee)
This thesis, Cooperation of high schools with external contractors in preparing school educational programs, deals with the question whether it would be possible and beneficial for high schools to cooperate with companies on the preparation or modification of their educational programs, with the goal of improving the quality of education. After initial contributions from experts who provided negative replies to this question, the view was focused on the root of the issue - what are the historical pillars of public schools and pedagogy, what does science say about learning and teaching, how pedagogy reacts to the crisis of science. After comparing literal sources and results from interview with the experts, in combination with a trace and activity analysis, a theory was established that public education is reaching a point of crisis, has not changed in its essence since its beginning and that the best solution might be the establishment of alternative educational institutions.
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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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