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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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Analysis of drawing contributions from the Regional Operational Programme in the Košice Region 2007 - 2013
Hupka, Peter ; Kalábová, Markéta (advisor) ; Abrhám, Josef (referee)
Regional policy is becoming one of the strategic priorities of the European Union after its extension. The main tools of the policy are subsidies for less advanced regions in EU. This work aims to evaluate the Regional operational programme in the Košice region during the programming period 2007 to 2013. In the theoretical part author describes the process of forming the European Union, the overall characteristics specified by EU funds and gives basic information on Slovak Republic and Košice Region. The analytical section is dedicated to the characteristics of the Regional operational program. This work compares the individual priority axes of the operational program and the successful utilization of the allocation. For an objective assessment Košice region is compared with other regions of the Slovak Republic at the level of priority axis. Based on the analysis the author reviewed the regional operational programme in the Košice region as successful with space for improvement in the fulfilment of allocations
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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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Analysis of readiness of the Czech Republic for entry into the Eurozone
Skála, Martin ; Pavelka, Tomáš (advisor) ; Krameš, Jaroslav (referee)
The aim of this thesis is to analyze readiness of the Czech Republic for accession to the European Monetary Union. Although we celebrated 12th anniversary of our membership in the European Union, the Czech government still has not set a date of entrance to the Eurozone. The theoretical part of my thesis focuses on analysis of fulfillment of Maastricht criteria, which had to be fulfilled by each candidate country for membership in the currency union. In the practical part of this thesis I will evaluate the macroeconomics impacts of adapting the common European currency in new member countries. In conclusion, I will try to outline benefits and costs of membership of the Czech Republic in the Eurozone.
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Analysis of Financing Research and Development in the Czech Republic
Vacek, Jan ; Hnilica, Jiří (advisor) ; Sieber, Patrik (referee)
The topic of this bachelor Thesis is an Analysis of Financing Research and Development in the Czech Republic. Research and Development (R&D) plays an important role in improving the competitive ability of the Czech Republic, for it constitutes a source for increasing productivity, economic growth and employment. The results of R&D lead to creation of new products and services, which in return increases the quality of life of the Czech citizens. This bachelor thesis focuses on analysis of financing R&D in the Czech Republic. The objective is to find out who finances R&D in the Czech Republic, where do these funds go to, and what they are used on. This thesis also focuses on R&D employees and R&D departments in which they work. The bachelor thesis is concluded by comparison between the R&D data for Czech Republic and other countries form the Europian Union.
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Age management
Jirásková, Barbora ; Dvořák, Marek (advisor)
This thesis processes the concept of the human resources management with respect to the age structure of employees in the intentions of the Czech Republic. In the theoretical part, there is outlined the history of the application of the principle of age management, focusing on current demographic trends, forecasts of population age structure, the aging workforce and the need to preserve the ability to work into old age. Points to the need to adapt corporate strategy, personnel management trend of an aging population. It presents ideas for the main underlying programs and legislative measures which form the basis of the latest concepts and strategic plans in the Czech Republic and Europe. The empirical part deals with a specific level of allowance organization established by TSU and two sub investigation. The first is a case study of age management staff. The resulting data are confronted with the results of a survey among employees of the organization. The second investigation are interviews with members of management and employees of the HR department on the issue of the introduction of age management, their awareness of the concept of age management, the question of age discrimination, the issue of maintaining the continuity of knowledge in the organization and their views on these topics. The outcome of this survey indicates a willingness and readiness of the organization has already received age management principles adhere to and develop further.
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Evaluation of the European Cohesion Policy in Selected Region
Podzimková, Ivana ; Tomšík, Karel (advisor) ; Pavel, Pavel (referee)
The diploma's thesis is aiming to evaluate European policy of social cohesion and its growth options in the selected region. The evaluation is connected to the Elbe cycle route and it is based on analyses.
The theoretical part of the thesis introduces the subject of European policy of social cohesion while defining its legislation and framework of the legislation. It also defines the embodiment of regional politics within legislation of the local government i.e. the Czech Republic.
Analyses of the development of the selected project i.e. the Elbe cycle route and its impact on Hradec Kralove district will be dealt with in the practical part of the thesis. Business results of entities participating on the Elbe cycle route project will be gathered and used in order to evaluate selected indicators. Final assessment will be based on benchmarking. Method of comparison, analyses and syntheses will be used to evaluate gathered data. Applicable data will be gathered by research of related literature. Information will be also provided by the executive entities connected to the project, regional websites focussed on cycle tourism and by the town of Smiřice. Data gathered by the entities that cooperate on supervision of the Elbe cycle route project will be used for the statistic assessment.
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The Red Army Fraction - Left Terrorism in Germany
Kříž, Miroslav ; Handl, Vladimír (advisor) ; Pešek, Jiří (referee)
This thesis deals with the theme of the Red Army Fraction. Special emphasis is put on the cooperation between the West-German terrorist organization and the State Security of the German Democratic Republic. This thesis follows genesis of the left terrorism in the Federal Republic of Germany in the context of cooperation with the GDR Ministry of Security. The first part of the work analyses the origin of the group, followed by its activities until the end. The next part is devoted to a brief survey of bilateral contacts of both the German states from the mid 60s to the late 80s of the last century. This is the basis for the following chapter. The relevant part of this thesis is represented by chapter 3 which gives analysis of the competition between Stasi and RAF terrorist groups, from the early contacts of the 1st RAF generation members. It mentions the participation of Bewegung 2.Juni terrorist group in the development of the true competition of the so called Second Generation of RAF and Stasi, and, consequently, chapter 3 offers the analysis of the reasons for which the special RAF terrorist group left for the GDR {the so called aussteigers}, from their integration, special tasks fulfilling in the frame of the conception of RAF -Stasi cooperation until their arrest in 1990. The final part of chapter 1 is...
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