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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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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 impact of South China Sea dispute on trade relations between China and Vietnam
Nguyen Hong, Viet ; Vlčková, Jana (advisor) ; Hasík, Gabriel (referee)
This bachelor thesis investigates the impact of South China Sea dispute on mutual relations between China and Socialist Republic of Vietnam. Thesis lays great emphasis on the analysis of mutual trading relations. The goal of this work is to find out if the dispute over territory has negative influence on mutual relations and to what extent. Therefore, thesis is divided into 3 main chapters. The introductory chapter describes position and development of each country. Second chapter uses findings from the introductory part for the analysis of political and trade relations of both countries. It focuses on the history of mutual relations and mainly it lays emphasis on current mutual relations. Last chapter of the thesis is dedicated to the issues regarding South China Sea. Motives and causes of this dispute are described in this chapter. It provides a view on the course of this territorial dispute, and also impacts on mutual relations are analyzed. The output of all three chapters helps to formulate following conclusion. Dispute over South China Sea has impact on mutual relations. Predominantly, it influences political relations between China and Vietnam, therefore, this dispute is often mentioned in media. However, according to available data this dispute has not had major effect on trading relations. Mutual trading between both countries went off in dispute period without any limitations and barriers.
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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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The role of nurse in the care of child patient with hemangiom.
ŠESTÁKOVÁ, Růžena
One of the most important areas of society-wide tasks influencing the health of the whole population is child care. It includes care of children with a hemangioma. Hemangiomas are the most common benign (not malignant) vascular tumours of a child age. This benign tumour may be present as early as at birth or appear in the first weeks of life. It is usually located on or under the skin surface but may also affect internal organs. Although a hemangioma may affect any body part, it is mostly located on the head and neck. A hemangioma is diagnosed in a tenth of new-born children. Hemangiomas typically appear at neonatal age or infancy. The objectives of the diploma thesis "Nurse's Roles in Care of a Child Patient with a Hemangioma" are to examine the roles of nurses in care of a child patient with a hemangioma, as seen by parents (mothers) of the children, and to identify which of the roles is the most important for the parents (mothers). It has also been ascertained whether nurses deal with any problems while providing this care and whether occurrence of a hemangioma in a child has any influence on the child's family. It has also been ascertained whether any complications are encountered in the treatment of children with a hemangioma. A qualitative research was used for data processing. Several methods of data collection were used. The researcher used a case history according to the model of Virginia Henderson, semi-structured interview with mothers of patients, data content analysis and secret participant observation during outpatient checks. The last method used was a survey aimed at nurses who took care of children with a hemangioma, asking them whether they dealt with any problems and complications in such children. The first research set consisted of ten child patients who were selected on purpose on the basis of pre-set criteria. The first criterion was presence of a hemangioma; five patients were hospitalised with a hemangioma and underwent a treatment with propranolol, while the other five patients with a hemangioma underwent only a conservative treatment. Last but the most important criterion was that mothers of patients with a hemangioma granted their consent to the research. These mothers formed the second research set and underwent a semi-structured interview focused on their personal experience with a hemangioma and on the work of nurses as seen by mothers. The last research set consisted of ten nurses who were also selected on purpose on the basis of a very important criterion, which was care of child patients with a hemangioma. This thesis may be of a benefit not only for professionals who are in contact with children with a hemangioma but may also serve to deepen general knowledge of other healthcare professionals who may encounter this disease either in their professional or private life. Based on the information acquired for the diploma thesis, was prepared for nurses and will be presented at professional workshops.
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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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History of vegetational development in the Cheb basin from sedimentary record of the SOOS National Nature Reserve
Suda, Tomáš ; Kuneš, Petr (advisor) ; Bešta, Tomáš (referee)
Vegetation development in the Cheb basin ( W Czech Republic) recorded in the sediments of the SOOS ational ature Reserve This thesis focuses on palaeoecological research of quaternary sediments in the Soos National Nature Reserve (Cheb basin, NW Czech Republic). Quaternary history of this locality is poorly known, despite it is a valuable and protected area with high natural qualities. The Soos basin is also known for its unique geological record, which is expected to cover information on landscape dynamics at least during the Holocene. A lake existed in the Soos basin enabling accumulation of diatomite and peat sediments of a broad palaeoecological potential. Records were analysed with method of pollen analysis and were dated using 14C. The results of this study bring information about vegetation development in the area of Cheb basin as well as development of lake ecosystem. It also gives a new insight on lake's origin and its age. The accumulation of peat sediments started in the Preboreal period and was continuous at least until the Atlantic following with a hiatus, therefore further detection of vegetation development is impossible. The beginning of diatomite accumulation, as well as the existence of the lake goes back to the Bølling interstadial, according to radiocarbon dating. However, this...
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Awareness of vegetarians about deficit of certain nutritions in vegetarian diet and about ways to compensate them
VORLÍČKOVÁ, Markéta
This thesis deals with vegetarians' awareness of the lack of specific nutritional substances in the vegetarian diet and their compensation. The aim is to explore whether vegetarians have sufficient information about the nutritional composition of their diet, whether they are interested in researching this information and whether the information is available and sufficient. I also looked at whether people with this eating preference are preventing potential nutritional deficits and subsequent health problems. There were designated the following three research questions: "How often and where do most vegetarians get information about a meatless diet?", "How can you achieve a full fledged vegetarian diet?" and "What is vegan awareness on the potential deficiencies in their diet, and how do they try avoid these?". In the theoretical part I deal with vegetarianism as a lifestyle, vegetarianism and its subgroups, the reasons for going to this way of life, the composition of a vegetarian diet with a focus on nutrients that may be deficient, vegetarianism and its impact on the body at different stages of development and ultimately the impact of a meatless diet on human health. The practical section is an elaborated form of qualitative research, specifically I chose semi-structured interviews. I collected the data from the interviews. The interview contained fourteen or fifteen questions, and women were also questioned about the pregnancy period. I asked questions regarding the issue of vegetarianism, veganism or raw foodism. I was interested in individual eating habits, nutrition knowledge and personal experience of the respondents. The data was collected between January 2014 and March 2014. The research group consisted of 6 respondents. The group was made up of women and men in the age range from 20 to 30 years. Among respondents there were vegetarians, vegans and raw foodists and the period of time in which they have been eating this way is different for every person. All respondents were familiar with the purpose of providing an interview and agreed to the publication. The interviews I conducted in person and were recorded on a dictaphone mobile phone. The results of my work show that most respondents do research about a meatless diet. They logically state that most intensive research took place while they were switching their eating habits, but now they still keep finding out new information. The most commonly used way was the Internet, specifically through websites such as www.soucitne.cz or www.vegan-fighter.com. Other sources used are books, articles, studies, and information received from friends or family members. The respondents argue that because the information was obtained this way, their diet is balanced. They are often trying to maintain diversity in their diet, for example, consume legumes and combine various foods such as legumes with cereals. Raw foodists state that they often consume sprouts, seeds, nuts, and of course a large amount of raw vegetables and fruits. All Vegans and Raw foodists know about the possible lack of vitamin B12, and some for this reason, use supplements. Also mentioned are supplements or protein complex supplements designed specifically for vegans.
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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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