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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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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 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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A neuroprotective effect of the 3α5β-pregnanolon glutamate in the animal model of ischemic brain injury
Kletečková, Lenka ; Valeš, Karel (advisor) ; Zach, Petr (referee)
The neuroactive steroid 3α5β-pregnanolon glutamate (3α5βP-Glu) is the synthetic analogue of a naturally-occurring 3α5β-pregnanolon sulfate. Both agents inhibit preferentially tonically activated NMDA receptors by a use-dependent mechanism. The aplication of 3α5βP-Glu could reduce the excitotoxic injury of the brain during ischemic conditions, in which plays role the excessive activation of NMDA receptors. The objectives of this study are to determine the effect of systemic aplication of 3α5βP-Glu on an oxygen saturation and a regional cerebral blood flow in the brain of laboratory rat. Subsequently to establish and critically evaluate the animal model of a global ischemic brain injury. Finally to test the neuroprotective potential of 3α5βP-Glu on cognitive funtions in this model. The oxygen saturation and regional cerebral blood flow were measured in the area of dorsal hippocampus. Both observed parametres were significantly increased after the application of3α5βP-Glu. These findings confirm the assumption that 3α5βP-Glu has a neuroprotective effect. The bilateral occlusions of arteriae carotis communis following placement of the rat into a hypoxic box has been utilized as a model of global ischemic brain injury. The aplication of 3α5βP-Glu increased significantly the rats survival. However,...
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The model of adaptive behavior for the development of Czech assessment scales for children
Chadimová, L. ; Urbánek, Tomáš ; Seifert, M. ; Ivanková, K.
We introduce results of cluster analysis conducted during the development of Czech assessment scales of adaptive behavior in children and adolescents. Within the frame of National Institute of Education we organized the group of experts on the topic of adaptive behavior, both from the academical and practical areas. Every member of the expert group obtained 300 items inspired by local or foreign methods of adaptive behavior assessment. The experts were instrued to cathegorize the items, which they found meaningful with regard to the construct of adaptive behavior and its manifestation on the Czech background. Based on results we compiled consequent model of adaptive behavior, that becomes the base structure for newly developed assessment scales. We compare this structure with the model of adaptive behavior used by DSM-V.\n
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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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Fluidized-bed Combustion of Dry Stabilized Sewage Sludge in Oxy-fuel Mode
Moško, Jaroslav ; Pohořelý, Michael ; Durda, Tomáš ; Zach, Boleslav ; Šyc, Michal ; Svoboda, Karel
Sewage sludge is an inevitable waste stream from wastewater treatment and its disposal is complicated due to specific characteristics of its composition. Sewage sludge combustion/incineration is the only suitable way for disposal of large volumes of sewage sludge containing POPs and some heavy metals. Sewage sludge combustion reduces the volume of such waste and causes destruction of organic contaminants. Oxy-fuel combustion is a technology for simplifying CO2 sequestration from the flue gas by using nearly pure oxygen instead of air for the combustion. In order to control the combustion temperature, part of the flue gas is recycled to combustion chamber. The paper brings information about investigation of the effects of combustion temperature and concentration of oxygen in inlet combustion media on the emissions of NOx, N2O and SO2 in FB combustion of sewage sludge. The experimental results have shown that an increase in combustion temperature leads to an increase in NOx and to a decrease in N2O emissions in the temperature range 750–930 °C. The lowest SO2 emissions were measured in the temperature interval from 800 to 820 °C in all experiments with different oxygen concentration in inlet gas. It was found that when the oxygen concentration in inlet gas increased, the emissions of SO2 increased while emissions of NOx slightly decreased.
Fulltext: content.csg -  PDF
Plný tet: SKMBT_C22016112214480 - PDF
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Effect of snowpack on runoff generation during rain on snow event.
Juras, Roman ; Máca, Petr (advisor) ; Ladislav , Ladislav (referee)
During a winter season, when snow covers the watershed, the frequency of rain-on-snow (ROS) events is still raising. ROS can cause severe natural hazards like floods or wet avalanches. Prediction of ROS effects is linked to better understanding of snowpack runoff dynamics and its composition. Deploying rainfall simulation together with hydrological tracers was tested as a convenient tool for this purpose. Overall 18 sprinkling experiments were conducted on snow featuring different initial conditions in mountainous regions over middle and western Europe.
Dye tracer brilliant blue (FCF) was used for flow regime determination, because it enables to visualise preferential paths and layers interface. Snowpack runoff composition was assessed by hydrograph separation method, which provided appropriate results with acceptable uncertainty. It was not possible to use concurrently these two techniques because of technical reasons, however it would extend our gained knowledge. Snowmelt water amount in the snowpack runoff was estimated by energy balance (EB) equation, which is very efficient but quality inputs demanding. This was also the reason, why EB was deployed within only single experiment.
Timing of snowpack runoff onset decrease mainly with the rain intensity. Initial snowpack properties like bulk density or wetness are less important for time of runoff generation compared to the rain intensity. On the other het when same rain intensity was applied, non-ripe snowpack featuring less bulk density created runoff faster than the ripe snowpack featuring higher bulk density. Snowpack runoff magnitude mainly depends on the snowpack initial saturation. Ripe snowpack with higher saturation enabled to generate higher cumulative runoff where contributed by max 50 %. In contrary, rainwater travelled through the non-ripe snowpack relatively fast and contributed runoff by approx. 80 %.
Runoff prediction was tested by deploying Richards equation included in SNOWPACK model. The model was modified using a dual-domain approach to better simulate snowpack runoff under preferential flow conditions. Presented approach demonstrated an improvement in all simulated aspects compared to the more traditional method when only matrix flow is considered.
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