In this thesis we examine the effect of foreign exchange interventions in small open economy, focusing on the Czech experience. In the first part we model volatility development before and after the intervention using GARCH model. In the second part we estimate relationship between macroeconomical variables using vector autoregressive model. In this part we estimate impulse response function of exchange rate and inflation. In second part of VAR modeling we provide counterfactual analysis, which compare actual development of variables with alternative scenario in which the interventions would not happen . Our results suggest that the interventions is associated with few months delayed decrease in volatility. Base on scenario analysis the interventions increased inflation by approximately 1.5 % and without the intervention the economy would in deflation around -1 % nowadays. KEYWORDS: Vector autoregression, Volatility modelling, Monetary policy, Intervention Author's e-mail: jantimko16@gmail.com Supervisor's e-mail: tomas.holub@cnb.cz

Banks finance their operations in several ways, by shareholders equity, receiving deposits from customers and by borrowing from investors and other financial institutions. One widely used approach is to issue a bond. Bonds issued on the foreign capital markets is a way to increase the financing options and mitigate risk exposure. When a bank converts foreign capital to domestic capital, there is a degree of currency risk involved. One commonly used instrument for converting capital from one currency to another is a cross currency swap. Since the Global Financial Crisis 2007-2009 regulations imposed by regulators have increased. Banks are required to have sound risk management practises where risk exposure is estimated. In response to recent regulations banks have several departments which assess and follow up risks taken in the operations. As a result, at least two systems are used when valuing financial instruments, one where all trades are conducted, the front office system, and one where risk exposure is estimated, the risk system. The aim of this project is to investigate why there is a discrepancy between the two systems. We will also analyse how this discrepancy affects risk measures. By replicating the two systems’ valuation it is possible to distinguish why there is a discrep- ancy between the systems, regarding the valuation of cross currency basis swaps. When the replication is in place, risk measure calculations are conducted to enable analysis of the impact on risk measures. There are two main differences found between the two systems and how they value a cross currency basis swap: (i) how the underlying risk factors are used; and (ii) how an upcoming cash flow is settled. The effect of these discrepancies are that the risk system overestimate the risk exposure compared with the front office system. / Banker finansierar sin verksamhet på flera olika sätt, %har flera möjligheter att, t.ex. genom eget kapital, inlåning och upplåning från investerare och andra finansiella institutioner. Ett vanligt förfarande är att emittera en obligation, där obligationer emitterade på den utländska kapitalmarknaden är ett sätt att öka finansieringsalternativen och därmed minska riskexponeringen mot den inhemska marknaden. När en bank konverterar utländskt kapital till kapital i den nationella valutan, finns en viss valutarisk inblandad. Ett vanligt instrument för att växla kapital från en valuta till en annan är en valutaswappar. Allt sedan den Globala Finanskrisen 2007-2009 har regleringen från tillsynsmyndigheter ökat. Banker är skyldiga att ha sunda riskhanteringsstrategier för att uppskatta sin riskexponering. Till följd av nya regleverk har banker idag flera avdelningar vilka estimerar och följer upp risker som tas i verksamheten. Ett resultat av detta är att åtminstone två system används vid värdering av finansiella instrument, ett system där all handel utförs, och ett där riskexponeringen estimeras. Syftet med detta projekt är att undersöka eventuella skillnader i värderingen av valutabasisswappar och vidare analysera hur detta påverkar olika riskmått. Det verkar vara en diskrepans mellan de två systemen där finansiella instrument värderas, speciellt med avsende på valutabasisswappar. Genom att replikera de två systemens värdering är det möjligt att urskilja varför det finns en diskrepans. Replikering av de två systemen låg till grund för beräkningen av riskmått samt analysen av hur skillnaderna påverkar dessa. % Resultat De huvudsakliga skillnaderna mellan de två systemen avsenede värderingen av valutabasisswappar är: (i)hur de underliggande riskfaktorerna används, och (ii) hur nästkommande kassaflöde (kupong) bestäms. Effekten av dessa skillnader är att systemet där riskexponering estimeras övervärderar risken jämfört med om risken skulle estimerats i systemet där all handel utförs.

Cílem této diplomové práce je nejen teoreticky popsat řízení kurzového rizika, ale také zpracovat konkrétní případovou studii a nastínit, jak je tato problematika řešena v českých podmínkách. Základem je teoretické vymezení podstaty problému a jeho analýza. Důraz je také kladen na objasnění fungování vybraných hedgingových instrumentů. Takto získané teoretické poznatky jsou poté aplikovány na konkrétní případ jedné z největších dopravních firem v České republice. Nechybí tedy rozbor všech vazeb firmy, které mají vliv její devizovou pozici, predikce vývoje měnového kurzu a analýza současného způsobu zajištění. Nedílnou součástí práce je pak i několik návrhů, které mohou vést ke zlepšení fx managementu firmy.

This thesis aims to back-test the ability of implied volatility carry trade strategies to outperform the carry trade strategies in the FX markets. Recent research has shown that the profitability of the strategies is partly attributable to the market mispricings of the forward volatility agreements and a tendency of the forward implied volatility to overestimate the future spot implied volatility. This thesis uses a similar approach to construct portfolios containing 10 developed as well as 9 emerging market currencies. Our approach is based on the assumption that Uncovered Interest rate Parity (UIP), Forward Unbiasedness Hypothesis (FUH) and Forward Volatility Unbiasedness Hypothesis (FVUH) do not hold and therefore providing investors with several opportunities to construct trading strategies taking advantage of these market mispricings. In this thesis, we show that the foreign exchange carry trade strategy composed of the specific developed and emerging country's currencies can be outperformed by portfolio consisting of the implied volatility carry trade strategies in the FX market over the analysed period. The portfolios are adjusted to the riskiness which is accounted for by the VIX and VXY-G7 index for developed and VIX and VXY-EM index for emerging economies. The strong performance of the strategies outlined in this thesis can be of significant value to FX traders and portfolio managers.

The goal of this master thesis was to develop a method for real-time classification of market trading data at the Foreign Exchange (FX) department at the Skandinaviska Enskilda Bank (SEB). The characteristics in the market data sets were analyzed using Principal Component Analysis (PCA). The analysis showed that the principal component subspaces for two different types of market data, normal and abnormal, for the EUR/USD instrument where significantly different. The result from the PCA naturally led into the construction of a Single-class detector, for detecting if quote updates were normal or abnormal based on training data. The market data sets were shown to possess multicollinear characteristics, resulting in low-rank properties of the covariance matrices. To overcome this problem the solution was to transform the data using PCA, resulting in full-rank properties of the covariance matrices of the transformed data. This vital step made it possible to classify quote updates for the EUR/USD instrument. The project resulted in a classification algorithm which is able to successfully classify if a quote update is normal or abnormal with respect to training data in real-time. The algorithm is versatile in the sense that it can be implemented on any market for any currency pair, and can easily be extended to classify the relative behaviour between several currency pairs in real-time.

No description available.

Autodesk Inventor is a full 3D CAD system. This system includes tools for working environment tool, component design tool including information data management and technical support. The target of the first part is to describe the most important new features brought by Autodesk Inventoru 2009 version. In of next chapters the work describes creation common iPart, which is basically different variants set (proportions, material …) of one entity, and preparation before correct publication to the content center, which is a virtual database of all iPart. Also there is presented how to create the content center, how to work with it and adjust data. The aim of work is then the creation database a stator and a rotor packet for the firm ATAS electromotor Náchod Inc. In the thesis there is described creation of the lamination as an iPart and their publication to the new content center.

The global foreign exchange (FX) market is one of the world's largest financial markets and a significant part of this market concerns the trading of FX swaps. For banks and other financial institutions, it is of great interest to model these swaps as accurately as possible, as this could improve their risk management. Numerous methods exist for modeling FX swaps, but it is not always clear if one model is superior to another. The purpose of this thesis is therefore to analyze, evaluate and compare different models that represent the stochastic processes in the FX swap market. To accomplish this, the thesis employs the reality model evaluation methodology developed by \citet{Blom_fx_pdf}. With this methodology, likelihood values for an out-of-sample period can be determined for a model, thereby enabling a statistical comparison to ascertain which model more accurately reflects the true distribution. This thesis will compare two models for FX swap prices: an interest rate model and a PIP-model. The PIP-model is constructed by determining a multivariate distribution based on in-sample observations of pips. The likelihood values for the out-of-sample observations can therefore be determined directly. The interest rate model, on the other hand, will be implemented using Blomvall's reality model evaluation in order to determine the likelihood values. It is constructed by evaluating risk factors of the FX swaps, rather than historical pips. The risk factors evaluated in this thesis are forward curves, the spot price and spikes in the supply and demand curve at certain dates. The results show that the interest rate model better represents the true distribution of FX swaps compared to the PIP-model. The statistical test of the out-of-sample likelihood values shows that the probability of the interest rate model outperforming the PIP-model is approximately 100 \%. Additionally, the result suggests that an implementation of the interest rate model using a Student's t-distribution is more advantageous than using a normal distribution, a conclusion also supported by a statistical test. Moreover, the effectiveness of Blomvall's reality model evaluation in determining likelihood values is confirmed, thus enabling the statistical comparison of different models.

As últimas quatro décadas foram importantes para o desenvolvimento da malha rodoviária brasileira. O sistema de rodovias do país recebeu incentivos financeiros à sua expansão e diversas soluções estruturais para pontes e viadutos foram criadas a fim de atender à demanda de infraestrutura. Em contrapartida, a carência de programas de manutenção preventiva tem causado um crescimento significativo no número de estruturas desse tipo que se encontra em estágio avançado de deterioração. Dessa maneira, esta dissertação propõe um plano de monitoramento de curta duração para monitorar o comportamento estrutural de uma ponte rodoviária curva de concreto armado já em serviço. A partir da revisão do estado-da-arte no assunto, são apresentados os tipos de monitoramento, as possíveis grandezas a serem monitoradas e as ferramentas para medi-las, assim como suas vantagens e desvantagens. A fim de avaliar estruturalmente o comportamento da ponte e auxiliar no plano de monitoramento, uma hierarquia de seis modelos numéricos é desenvolvida. Então, o plano de monitoramento proposto é aplicado na ponte sob estudo para aquisição de dados, que são posteriormente tratados e confrontados com os dois modelos numéricos mais complexos da hierarquia em um processo de análise e calibração desses modelos. Dessa análise, é possível mostrar a representatividade dos modelos desenvolvidos e a relação entre complexidade do modelo, número de parâmetros adotados para a representatividade da estrutura e convergência de resposta. / The last four decades were important for the development of the Brazilian highway system. Investments were made on the expansion of highways and many structural solutions for bridges and viaducts were developed in order to attend the countrys demand. In contrast, the lack of preventive maintenance programmes has caused a significant increase in the number of those structures found in advanced deterioration stage. Thus, this thesis aims to suggest a short-term monitoring plan to monitor the structural behaviour of a curved highway concrete bridge in service. From studies on state-of-the-art in monitoring, it is presented its types, magnitudes and tools to measure them structures, as well as their advantages and disadvantages. In order to assess the structural behaviour of the bridge and support the monitoring plan, a hierarchy of six numerical models is developed. Then, the proposed monitoring plan is applied to the bridge under study for data acquisition. Afterwards, this data is processed and compared with the two more complex numerical models of the hierarchy in a process of analysis and calibration of these models. From this analysis, it is possible to show the representativeness of the developed models and the relationship between model complexity, number of parameters and convergence.

Neste trabalho estudamos diferentes variantes dos modelos GARCH quando consideramos a chegada da informação heterogênea sob a forma de dados de alta freqüência. Este tipo de modelos, conhecidos como HARCH(n), foram introduzidos por Muller et al. (1997). Para entender a necessidade de incorporar esta característica da heterogeneidade da informação, estudamos o problema da agregação temporal para processos GARCH e a modelagem destes em dados de alta freqüência e veremos quais são as desvantagens destes modelos e o porquê da necessidade de corrigi-lo. Propusemos um novo modelo que leva em conta a heterogeneidade da informação do mercado financeiro e a memória longa da volatilidade, generalizando assim o modelo proposto por Müller et al.(1997), e estudamos algumas das propriedades teóricas do modelo proposto. Utilizamos estimação via máxima verossimilhança e amostrador de Griddy-Gibbs, e para avaliar o desempenho destes métodos realizamos diversas simulações. Também fizemos aplicações a duas séries de alta freqüência, a taxa de câmbio Euro- Dólar e o índice Ibovespa. Uma modificação ao algoritmo de Griddy-Gibbs foi proposta, para ter uma janela móvel de pontos, para a estimação das distribuições condicionais, a cada iteração. Este procedimento foi validado pela proximidade das estimações com a técnica de máxima verossimilhança. Disponibilizaremos algumas bibliotecas para o pacote S-Plus em que as análises descritas neste trabalho poderão ser reproduzidas. Informações relativas a tais bibliotecas estarão disponíveis na página Web http://www.ime.usp.br/~ruilova. / In this work we study different variants of GARCH models to analyze the arrival of heterogeneous information in high frequency data. These models, known as HARCH(*n*) models, were introduced by Müller et al.(1997). To understand the necessity to incorporate this characteristic, heterogeneous information, we study temporal aggregation on GARCH processes for high frequency data, and show some problems in the application of these models and the reason why it is necessary to develop new models. We propose a new model, that incorporates the heterogeneous information present in the financial market and the long memory of the volatility, generalizing the model considered by Müller et al.(1997). We propose to estimate the model via maximum likelihood and Griddy-Gibbs sampler. To assess the performance of the suggested estimation procedures we perform some simulations and apply the methodology to two time series, namely the foreign exchange rate Euro-Dollar and the series of the Ibovespa index. A modification of the algorithm of Griddy-Gibbs sampler was proposed to have a grid of points in a mobile window, to estimate the condicional distributions, in each iteration. This was validated by the similar results between maximum likelihood and Griddy-Gibbs sampler estimates obtained. We implemented the methods described in this work creating some libraries for the SPlus package. Information concerning these libraries is available in the Web page http://www.ime.usp.br/~ruilova.