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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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Multicriteria games
Tichá, Michaela ; Dlouhý, Martin (advisor) ; Lachout, Petr (referee) ; Čičková, Zuzana (referee)
Theory of multicriteria games is a special field of game theory, when one or more players have at least two payoff functions and want to maximize simultaneously. The work introduces a number of new findings. It examined the concept of finding equilibria in pure strategies in noncooperative multicriteria game. It is possible to find all the equilibria in pure strategies by full search and solving two linear programs for each point. Furthermore, two linear programs are formulated for verifying that a selected point is the equilibrium of the game or not. In the noncooperative games is also introduced the concept that with knowledge of the equilibrium of bimatrix game determines preferences of the players. Although finding the equilibrium point of the bimatrix game is nonlinear problem, finding the preferences is linear problem. The latest findings in the noncooperative games is a generalization of the concept that solves multicriteria game by assigning weights to each criterion of each player. The work demonstrates that it may not be necessarily linear weights, but it can be more general function that describes the player's preference. The remaining part is devoted to knowledge in cooperative games. There is considered that the players know their preferences and are able to express them by weights. The game with known preferences is defined and solved with the use of bargaining theory. Then it is generalized to a case where players have more payoff functions, from which they can choose. Finally, the multicriteria case of voting game is defined. It is designed completely new concept, which selects the winning coalition in the voting game. This concept is then applied to the real situation after the elections to the Chamber of Deputies in 2013.
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Růst Mycobacterium smegmatis na agarovém médiu a agarovém médiu pokrytém celofánovou folií - morfologická a proteomová studie
Ramaniuk, Volha ; Weiser, Jaroslav (advisor) ; Beranová, Jana (referee)
Biofilm formation is one of the most common bacterial survival strategies. Majority of bacterial species are able to form these three-dimensional structures, including pathogens like Mycobacterium tuberculosis. Representatives of Mycobacterium genus widely occur in the nature, although they can cause serious problems when they appear in medical equipment and artificial replacements of the human body. Non-pathogenic Mycobacterium smegmatis mc2 155 was used as a model organism in our experiments. We investigated morphology of the three- and six-day-old colonies (in fact biofilms) on agar and agar covered with cellophane using Stereo microscope and Scanning Electron Microscope. We found that a type of surface as well as a carbon source has a great influence on the morphology of the M. smegmatis colonies. We isolated proteomes from the agar and cellophane cultures and from planktonic culture. Two-dimensional electrophoresis was used as the main proteomic method. Proteomic data were analyzed using PDQuest software. Then the sets of proteins detected by qualitative and quantitative analyses were compared using Venn diagrams. As a result, we recognized 7 unique proteins that might be specific for recognition and adhesion of bacteria to the cellophane, no unique protein in agar proteome and 46 unique...
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Chosen natural resources: focuses of conflicts nad its economic consequences
Sytný, Patrik ; Vošta, Milan (advisor) ; Sankot, Ondřej (referee)
The bachelor´s thesis aims to three chosen natural resources, which are petroleum, natural gas and water, and conflicts based on disputes over them. The aim of the thesis was to valorize nature of the conflicts, define their main focus and draw prospective economic consequences. Professional literature that deals with this kind of issue, was used in order to find out the true nature of the conflicts. The result is an evaluation, which has proven, that the most influental conflicts are rising over disputes over petroleum. Their economic and political impacts are very perceptible and economically measurable in the way of GDP, the total product and other economic indicators. In the thesis has been also proven that the conflicts on the basis of natural gas have similiar nature and extent as it is in the case of petroleum, even thought in a smaller amount. The least important conflicts in a meaning of economic impacts are those over water, by those has been proven, that they do not poses such an impact on economic and political situation as petroleum or natural gas nowdays.
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Support for Nurses in Death Cases at Resuscitation Units and Intensive Care Units
LAYEROVÁ, Helena
At Resuscitation Units and Intensive Care Units nurses face the issue of dying and death every day. Very often they are in contact with the dying and their immediate family and they are expected to have professional approach and provide comprehensive care. Stress that the nurses experience in these situations results into mental, emotional and physical exhaustion, and can be manifested by psychosomatic problems. Preparation of nurses to these situations and support of their management is therefore a key factor for the management of this demanding profession. The theoretical part of the thesis contains a description of the current state of the issue, characterizes resuscitation and intensive care, and deals with the issue of death and dying in Resuscitation Units nad Intensive Care Units, managing situations associated with death and the support of nurses in these situations. The work has four goals. The first objective is to determine what method of preparation of nurses is in practice ensured in Resuscitation Units and Intensive Care Units for the performance of high-quality nursing care for dying patients. Another objective is to determine whether and how the nurses are prepared and trained in the field of management of situations connected with the death of a patient in Resuscitation Units and Intensive Care Units. The third objective is, whether there is and what is the form of assistance to nurses in RU and ICU provided by the team and the management of the Department in case of deaths of patients, and the fourth objective is to determine what form and manner of support nurses expect and require. Research part of the thesis was carried out by quantitative investigation using an anonymous questionnaire. Respondents were answering 38 questions, 13 questions were closed, 21 half open and 4 were open. The support is most frequently understood as a psychological support, good teamwork, communication, supervision and representation where necessary. Management is expected primarily to provide support through education, ensuring supervision, corresponding financial support and professional psychological assistance where necessary. On the basis of this work?s results a proposal for the course for paramedical professions working in RS and ICU called ?Course of the Strategy of Difficult Situations Management in the Care for the Dying and Their Close Family in Intensive and Urgent Care?, was made.
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Implementation of philosophy of CRM in selected company in airline industry
Pavelka, Jakub ; Koliš, Karel (advisor) ; Konvalinka, Michal (referee)
The aim of this Bachelors Thesis is to define the philosophy, individual phases and the most important principles in building the customer relationship management and their theoretical concepts applied in selected company in airline industry. Based on the identification of places and processes that have the most significant impact on interaction between customers and company will be formulated fundamental measures for the implementation of the philosophy.
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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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Analysis of Reporting in Business and its Technological Coverage by Microsoft BI
Lučan, Martin ; Pour, Jan (advisor) ; Pavlíčková, Jarmila (referee)
This master thesis deals with an analysis of reporting in business and its technological coverage by Microsoft Business Intelligence portfolio. The main objective of this work is to analyze the individual organization's requirements on reporting and coverage options. This work can serve as a tool for implementation of reporting in a company or for increasing the efficiency of reporting. The first part is theoretical. It deals with Business Intelligence as an environment for reporting. It also defines the basic concepts. The next part covers the area of reporting. This section provides an insight into the history, definition of outcomes and detailed classification of reporting from different perspectives. Furthermore, the definition of users reporting and the reporting standards in companies is also covered. At the end of this chapter, there is the definition of the benefits of reporting for companies. The main part of this master thesis is an analysis of the requirements for reporting in companies. The chapter defines five key perspectives which are described in a greater detail. The methods how companies should methodically approach these requirements are also discussed. The chapter further looks at the requirements for a concrete report. An output of this chapter is an effective template for gathering requirements for a specific report. The last chapter focuses on reporting portfolio analysis of Microsoft and defines the concept of Microsoft. It provides detailed information about reporting products that Microsoft offers. An analyses and a mapping of the individual characteristics of the products and the requirements is defined in this thesis.
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Corporate social responsibility of SAP
Vaníková, Zuzana ; Müllerová, Františka (advisor) ; Sitter, Barbora (referee)
The thesis deals with corporate social responsibility. The subject of investigation is the CSR strategy of the chosen company. The theoretical part describes the corporate social responsibility from a historical and a current perspective. Above all, the thesis puts emphasis on the social pillar, namely the activities of the company in relation to its stakeholders, particularly employees and volunteering. Volunteering is an important part of corporate social responsibility. The questionnaire and subsequently its statistical evaluation answers the question whether the students currently studying in two economic universities consider SAP as a responsible company and how they relate to volunteerism.
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