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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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Economic diplomacy of the Czech Republic - a current situation and new challenges for the future
Polednik, Petr ; Peterková, Jana (advisor) ; Trávníčková, Zuzana (referee)
This thesis deals with economic diplomacy of the Czech Republic. The first chapter focuses on a definition, functions and tasks, players and models of management of economic diplomacy. The second chapter characterizes from a perspective of state actors approaches to economic diplomacy in selected European countries which can server as an inspiration for the Czech Republic. The third chapter is devoted to the current situation of the economic diplomacy of the Czech Republic, planned innovations and its possible development and challenges in the coming years.
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Legal analysis on the management of the refugee crisis in the Federal Republic of Germany
Sikorská, Eliška ; Grmelová, Nicole (advisor) ; Kříž, Radim (referee)
This thesis analyzes the management of refugee crisis in the Federal Republic of Germany in relation to the applicable law of the European Union. In theoretical introduction, the thesis focuses on the definition of key concepts and the related areas of EU law. The second part is devoted to the policy of the Federal Republic of Germany led by Federal Chancellor Angela Merkel and the actions adopted. In the last part, these actions are analyzed in accordance with the main research question of this thesis, namely whether Germany is dealing with the immigrant crisis in accordance with the law of the European Union.
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Establishing a Marketing fund in the Czech Republic to support the agricultural and food sector
Moudrá, Erika ; Hesková, Marie (advisor) ; Ehlová, Zdenka (referee)
The thesis deals in its theoretical part of the Czech food market - their promotions and opportunities for improvement in the context of establishing the Marketing fund with the insipration taken from the Austrian and German models. It shows some of the proven mechanisms of applied Wine Fund of the Czech Republic. A separate chapter is devoted to the Federation of the Food and Drink Industries of the Czech Republic, which its 20 years of history inseparable part of the food market and one of the main promoters of establishing a Marketing fund in the Czech Republic. Other chapters are devoted to the Austrian model of Marketing fund (Agramarkt austriacus AMA) which works flawlessly since Austria's entry to the European Union and analysis of implementation of the Fund in the Czech environment.
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International trade with fresh fruit and vegetables
Laketić, Aleksandar ; Štěrbová, Ludmila (advisor) ; Halík, Jaroslav (referee)
The main goal of my Master´s thesis is to evaluate dynamic environment of international trade with fresh fruit and vegetables. In the first part of my thesis I analyzed importance of the production of fresh fruit and vegetables for economies of selected countries. Next I had described the trade flows and patterns. In the second part I made a characterization of payment terms and trade negotiations in the context of international trade with fresh fruit and vegetables. Furthermore I made an analysis of import and export rules and regulations of the EU. Based on this analysis I came to general conclusions on the trade policies of countries and communities. In the last part of my thesis I applied findings from the previous parts on the analysis of two cases. The first analyzed case is the situation of imports of Chinese pomelo to the EU, with regards to maximal residue levels of pesticides. Second analyzed case is the situation of South African citruses imported to the EU, with regards to the problematic of citrus black spots.
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The Consumer dispute resolution
Marková, Kristýna ; Švarc, Zbyněk (advisor) ; Hásová, Jiřina (referee)
The thesis deals with the consumer dispute and ways how to resolve it. The main aim of this thesis is to analyze and evaluate if disadvantages of court proceeding in the Czech republic still overweight its advantages, and thus whether the topic of alternative disputes resolution of consumer disputes is actual, then to give an overview and evaluation of alternative disputes resolution for consumer dispute which the Czech republic offers in the context of Community Law of the European Union, and finally to outline the development of future initiatives in this area.
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