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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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Building and using small computer networks
Borecký, Jiří ; Pinkas, Otakar (advisor) ; Šmejkal, Ivo (referee)
This thesis deals with the construction and use of smaller computer networks. To build a better and more efficient computer network was used corporate network of parents, which is mainly used for the operation of accounting. The input information was used for generating analysis of the current state of the computer network. Additionally makes a proposal, which leads to improvement of the computer network and then testing whether the proposal was successful.
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The capacity of the European Union to form a common foreign policy: The approach towards Russia during the crisis in Ukraine
Grycová, Adéla ; Rolenc, Jan Martin (advisor) ; Cibulková, Petra (referee)
The thesis deals with the issues of framing and europeanization of the foreign policy of the European Union in the context of an actorness of the EU. These two theoretical concepts are applied on the case of an approach of the Czech Republic and European Union towards Russian Federation during the crisis in Ukraine. The aim of this thesis is to find out if the European Union is capabble of affecting the behaviour of a member state in order to create unified and operational foreign policy. The first chapter deals with teoretical definition of the two concepts and detailed description of the stances of Czech Republic and European Union follows in the second one. On the basis of these chapters the assessment is conducted. The last part firstly concludes if any attempt of influecing is present and secondly the success rate of the attempt is evaluated.
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World Trade in Crude Oil
Benešová, Nela ; Čajka, Radek (advisor) ; Bolotov, Ilya (referee)
This master´s thesis deals with trade with crude oil and its impact on the world economy. Everyone, who wants to start to trade with crude oil, should find out basic terminology and information about crude oil that is characterized in the first chapter. The hunt for oil started many years ago, therefore the history is also mentioned in this master´s thesis. The second chapter focuses on the world trade with crude oil. Territorial structure and trade flows are described in this part of the master´s thesis. Nevertheless, the crude oil also has an impact on the world economy and economies of single states. The third chapter analyses states, where the inhabitants live beyond means of people from other countries but these states are so depended on crude oil that if this trade stopped, these countries would go bankrupt. However, there are also exceptions. Even though, there are states that have huge sources of crude oil, they still have to deal with financial problems. The forth chapter characterizes the trade with crude oil of the Czech Republic because it is a net importer of crude oil and the last chapter focuses on new trends in crude oil such as shale oil and trading at a crude oil market.
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Demonstrate the principles of application development for Android on the example of a simple game
Tatoušek, Petr ; Pecinovský, Rudolf (advisor) ; Oraný, Vladimír (referee)
Demonstration of the Android application development principles explained on a simple game is a thesis describing in it's theoretical part Android OS. It also briefly describes it's history and especially it's architecture emphasizing on my thesis' part relevant to the practi-cal part of my dissertation. It also focuses on the general applications' architecture princi-ples for this operating system. In the practical part of the thesis I tend to describe the application development principles for Android OS. This is achieved on an sample application. This sample application is an implementation of a text-based adventure game in the Java language. It uses SQLite data-base for storing the game data. There is a game framework which enables entering diffe-rent game data to the database and thus playing different games with divergent game plays.
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Possibilities of Big Data use for Competitive Intelligence
Verníček, Marek ; Molnár, Zdeněk (advisor) ; Šperková, Lucie (referee)
The main purpose of this thesis is to investigate the use of Big Data for the methods and procedures of Competitive Intelligence. Among the goals of the work is a toolkit for small and large businesses which is supposed to support their work with the whole process of Big Data work. Another goal is to design an effective solution of processing Big Data to gain a competitive advantage in business. The theoretical part of the work processes available scientific literature in the Czech Republic and abroad as well as describes the current state of Competitive Intelligence, and Big Data as one of its possible sources. Subsequently, the work deals with the characteristics of Big Data, the differences from working with common data, the need for a thorough preparation and Big Data applicability for the methods of Competitive Intelligence. The practical part is focused on analysis of Big Data tools available in the market with regard to the whole process from data collection to the analysis report preparation and integration of the entire solution into an automated state. The outcome of this part is the Big Data software toolkit for small and large businesses based on their budget. The final part of the work is devoted to the classification of the most promising business areas, which can benefit from the use of Big Data the most in order to gain competitive advantages and proposes the most effective solution of working with Big Data. Among other benefits of this work are expansion of the range of resources for Competitive Intelligence and in-depth analysis of possibilities of Big Data usage, designed to help professionals make use of this hitherto untapped potential to improve market position, gain new customers and strengthen the existing user base.
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The role of the nurse is to aid in the improvement of the quality of life for children who have been through meningitis
ŠPAČKOVÁ, Jana
The role of the nurse is to aid in the improvement of the quality of life for children who have been through meningitis. In recent years, the issue of quality of life has become of interest in many disciplines and the general public. In health care, the quality of life is known as HRQoL - Health Related Quality of Life - loosely translated as ?the quality of life related to health?. The term of ?diagnostic quality of life in children and adolescents? is primarily used for the area of professional health care and it is an important indicator of disease severity and the outcomes of provided care. The objective of this thesis was to assess the quality of life of children who have been through meningitis, to identify the main areas in which the quality of life of these children is reduced, and to suggest nursing interventions aimed at improvements. The data collection took place in the period November 2009 - June 2010 at the Clinic for Childhood Infectious Diseases, University Hospital Brno. A qualitative research used the technique of studying written documents and, subsequently, non-standardized in-depth interviews with respondents were carried out. Prior the beginning of the qualitative survey, five research questions were established. Question 1: What kind of care and what interventions do children expect from nurses? Question 2: What kind of care and what interventions do parents expect from nurses? Question 3: How to evaluate subjectively the quality of children?s? life after meningitis as compared to the state prior the disease? Question 4: How do parents see the quality of life of their child after meningitis as compared to the state prior the disease? Question 5: In which areas is the quality of children?s life reduced most? Question 6: What nursing interventions can help nurses to improve the children?s lives? All of the questions were answered using a quantitative research method involving a standardized questionnaire named ?HEALTH AND SATISFACTION QUESTIONNAIRE?. This questionnaire is used in the project ?QOLOP? ? Quality of Life Longitudinal Study of Paediatric Oncology Patients. Hypothesis H 1 was defined prior the start of the quantitative research: The quality of life of children who have been through meningitis is lower than in healthy children. This hypothesis was not confirmed. It is clear, from what has been mentioned above, that the objective of this thesis has been met. This project will be useful in practice. The generated ?Algorithm of Initial Care for a Child with Meningitis? and ?Subsequent Care of a Child with Meningitis? should help nurses orientate and identify the basic needs of children with this disease. Moreover, this thesis can be used as a theoretical basis for the education of nursing students.
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Comparison of old and current cine lenses in combination with modern digital camera
Jakubec, František ; HOJDA, Petr (advisor) ; MIKŠ, Antonín (referee)
A Director of Photography has many artistic possibilities when working with cine lenses. Today, we can produce many optical effects in digital post-productions; however, working with lenses and with their defects (aberrations) is very interesting when you use them with modern recording technology. This thesis examines a small part of these issues. The theoretical part is about general qualities of optical systems, their aberrations, and measurement of picture quality. Furthermore, there is also a description of the movie camera and lenses, which were used for testing. The analytical part is about analyzing real footage from tests.
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Giuseppe Verdi: "Don Carlos" - opera complex scenographic project
Heřmánková, Lucie ; DAVID, Milan (advisor) ; TEMPÍR, Nikola (referee)
This bachelor’s thesis aims to find complex scenographic solution of Don Carlos opera composed by Italian author Giuseppe Verdi. Apart from my own creative solution I also present theoretical chapters of authors biography, relation to his work and I compare several Don Carlos productions by Josef Jelínek who designed six unique costume variations.
During process of making the set design I came up with lots of topics to think about. I chose freedom as main topic by studying past productions, libretto and musical part. This topic is one of the key elements of the creative solution and therefore I defined it further in part of this thesis. I am also looking for artistic ways that would be the most suitable and adequate for the opera, musical-dramatic genre, in which music could be more important than libretto. I am trying to find connections to contemporary society and keep the story up to date.
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