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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 use of smaller computer networks
Kyzivát, Marek ; Pinkas, Otakar (advisor) ; Šmejkal, Ivo (referee)
The thesis describes the initial state of the computer network Basic Schools and Kindergartens Ohradní (ZŠMŠ Ohradní) in Prague 4 and then its reconstruction, which I largely contributed. ZŠMŠ Ohradní consists of four pavilions and from one building on the other side of the street. The aim of this study is to assess the initial state of the network and point out the shortcomings that we discovered. We found deficiencies in the operation stress tests, measurements and data cabling overall analysis. Original networks connectivity was 100Mb/s. Together with a colleague, we are network administrators. Furthermore, I am going to introduce a new form of network, which has identified deficiencies improved, by using on newer technologies. I will describe its structure, address allocation, active and passive components, and operated services. New network is capable of 1Gb/s, and its spine is going to be 10Gb/s soon. Benefits of this reconstruction is faster, more stable and more modern network that will facilitate the work of employees of ZŠMŠ Ohradní. To these improvements, I have mainly contributed by measurements. I participated in the design and implementation of new form of data network. I collaborated with fellow Poc to the configuration of active elements and network services in reconstructed network.
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The influence of water activity on respiration behaviour of women after breast ablation
Černá, Tereza ; Čechovská, Irena (advisor) ; Břečková, Gabriela (referee)
Title: The influence of water activity on respiration behaviour of women after breast ablation. Aim: We aim to design and verify a programme of water exercises for women after breast ablation which would have a positive influence on their health. In our pedagogical experiment we want to discover the effect of breathing exercises in water environment on respiration capacity and strength of respiration muscles (inspiration and expiration muscles). Methods: Sociological research was used in order to find suitable probands. The examination of functions of respiration muscles was used in order to evaluate strength of respiration muscles. We measured strength of respiration muscles (inspiration PI max and expiration muscles PE max). Spirometry testing, volume-time curve and a flow-volume loop, set values for inspiration (VCinsp) and expiration (VCexp). The examination was carried out in Krajska zdravotni a.s, Usti nad Labem at the department of Functional Diagnostic. Results were evaluated by statistic program STATIS TICA. We used describing statistics, categorization, data analysis, t-tests, Wilcoxon and Mann Whitney testing. Conclusion: Water activity related to breast exercises had a positive influence on values of PI max, VC insp a VC exp which demonstrate results of Wilcoxon test. Some differences...
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Pressure influence on the magnetic and transport properties of the f-electron compounds
Míšek, Martin ; Javorský, Pavel (advisor) ; Kamarád, Jiří (referee)
In this thesis, we describe the work with a new pressure cell, its implementation in Joint Laboratory for Magnetic Studies, together with testing measurements necessary for ensuring good environmental conditions control and trouble-free operation. We have chosen a single crystal of the CePtSn compound to be the first representative measurement. We measured electrical resistivity along crystallographic b-axis in conditions: T = 2-300 K, p = 0-2.5 GPa and magnetic field B = 0-14 T applied along b-axis. We observed only minimal pressure influence on temperatures of magnetic phase transitions, however interesting and rather unusual behavior in magnetic fields was revealed. Previous works reported two field-induced transitions at low temperatures and ambient pressure, with values of the critical fields BcLF ~ 4 T and BcHF ~ 11.5 T, accompanied with large magnetoresistence step of -30% and +10%, respectively. With application of pressure, we observed shift of the critical field of low-field transition BcLF to the higher fields, whereas the value of critical field of high-field transition BcHF was unaffected with applied pressure. At a p ~ 1.5 GPa the two transitions merged and only one step was observed. With pressure further increasing above 1.5 GPa, situation with two transitions, similar to the lower pressure...
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Ball-Joint Limited Heating during Accelerated Testing
Kříž, Ondřej ; Porteš, Petr (referee) ; Ramík, Pavel (advisor)
The object of this work is design model of ball joint and define boundary conditions for real condition representation as most exact as possible. Then set parameters of test in TRW-DAS, a.s. for prevention of reacceleration with change of failure mode. Summary of ball joints, their testing and accelerated tests is in the beginning of the work. Next part describes ball joint creation in Pro/Engineer, transfer to Ansys, preparing to solution, fatigue test evaluation and comparing with create model.
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Automatized technologikal workplatze grinding and polishing plumbing fittings
Dvořák, Luboš ; Osička, Karel (referee) ; Prokop, Jaroslav (advisor)
he aim of this thesis is possibilities analyse of automatization of finishing operations by producing bodies of plumbing fittings and selection it’s optimal version. The objective is project of workplace for conditions of concrete production plant and verification of return of it’s operating. A part of thesis is design of workplace and design of production machines and komplete technology of prodicing of parts in setting of production plant. Than there is partial verification of profected technology by real testing.
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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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The aplication of Benford's law in accounting and auditing
Kabourková, Lucie ; Procházka, David (advisor) ; Rada, Miroslav (referee)
This bachelor thesis focuses on the Benford's law, also called the First-Digit Law. The major objective of this study is to describe the application of the law customarily in accounting and auditing. It outlines possible complications in the practical application, but attempts to eliminate the aforementioned shortcomings. Selected financial statements served as subjects for the empirical part of the study. Financial statements are matched against the expected Benford's common distribution utilizing the Pearson's chi-squared test.
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Methods of modelling and statistical analysis of an extremal value process
Jelenová, Klára ; Volf, Petr (advisor) ; Branda, Martin (referee)
In the present work we deal with the problem of etremal value of time series, especially of maxima. We study times and values of maximum by an approach of point process and we model distribution of extremal values by statistical methods. We estimate parameters of distribution using different methods, namely graphical methods of data analysis and subsequently we test the estimated distribution by tests of goodness of fit. We study the stationary case and also the cases with a trend. In connection with distribution of excesess and exceedances over a threshold we deal with generalized Pareto distribution.
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Optimization of dispatch of goods from rack system of logistics warehouse.
Chlup, Jiří ; Klapka, Jindřich (referee) ; Šeda, Miloš (advisor)
The diploma thesis submitted solves problems of optimization of goods expedition from rack system of a logistic store. It concerns solution of a practical task which optimizes a passage route through the rack system and evaluates individual orders for creation of optimal expedition dispatching batch. The existing dispatching system, use of sources and creation of time schedule is being described at the beginning. Description of general practical solutions of seeking the shortest way through the graph through appointed nodes follows. Chosen solution and its practical implementation are introduced afterwards. Comparative tests with existing system and their evaluations are mentioned at the end of the thesis.
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