Thesis "The use of currency futures in the business in terms of CR" deals with financial derivatives. Defines the various types of derivatives, their history and development of currency futures and forward contracts in the CR and in the world. Another part is devoted to the use of currency futures and forwards in the business in the Czech Republic. The thesis is to evaluate the evolution of exchange rates EUR/CZK and USD/CZK.

As atividades agrícolas promovem modificações na estrutura física do solo e nas interações que ocorrem no seu interior. As mudanças promovidas nestas atividades podem gerar alterações do processo hidrogeoquímico no solo. Este estudo tem por objetivo estudar o processo hidrológico e o transporte de espécies químicas em solos agrícolas do Sul do Brasil, quando submetidos à chuva de alta intensidade, em lisímetros de drenagem, que são dispositivos experimentais. Sete lisímetros instalados em quatro bacias hidrográficas situadas nos estados do Sul do Brasil foram utilizados nos experimentos, apresentando os mesmos procedimentos metodológicos de dimensionamento e instalação. Nestes, foram realizadas simulações, com diferentes intensidades de chuva, com monitoramento do escoamento superficial e o de drenagem, analisadas quimicamente para as espécies químicas amônio, nitrato, nitrito, fosfato, carbono orgânico e inorgânico total. Foram realizados 77 ensaios de simulação de chuva, com intensidades de chuva variando entre 30 e 140 mm h-1, correspondendo a um período de retorno da ordem de 1 a 1000 anos, respectivamente, correspondendo a chuvas extremas. As séries de dados geradas foram analisadas quanto às suas evoluções temporais e espaciais, magnitude e o processo de transporte envolvido. Os modelos SWAP - Soil, Water, Atmosphere, Plant Environment e ANIMO - Agricultural Nutrient Model foram aplicados às séries, visando avaliar o processo hidrogeoquímico representados. Os modelos são de base física e apropriados para uso em escala de lisímetro. A geração de escoamento superficial, as taxas de infiltração de água no solo e a drenagem interna, em eventos pluviométricos de alta intensidade são influenciadas pelas práticas de manejo e pelo estádio de desenvolvimento da cobertura vegetal e a própria intensidade da chuva. Para elevadas intensidades de chuva tem-se o aumento da água retida na superfície, com consequente alteração na carga hidráulica, proporcionando aumento das taxas de infiltração e do escoamento no perfil do solo. As simulações de chuvas intensas mostram que as concentrações de nitrato nas águas de escoamento superficial e de drenagem são mais elevadas do que aquelas de amônio, nitrito, fosfato, carbono orgânico total e carbono inorgânico. O modelo SWAP simulou adequadamente os componentes do balanço hídrico no lisímetro nas escalas de tempo diário e das chuvas simuladas. Os coeficientes de eficiência de Nash-Sutcliffe na calibração e na verificação, na escala diária, foram superiores a 0,8 para o escoamento de drenagem. Para o nitrato e o fosfato, o modelo ANIMO simulou corretamente as concentrações nas datas de coletas de amostras de águas do escoamento superficial e de drenagem da série de dados diários. Nos períodos dos ensaios de chuvas simuladas, o modelo SWAP apresentou coeficientes de eficiência da ordem de 0,8 para a calibração e verificação do escoamento de drenagem. As evoluções das vazões dos ramos de ascensão e das vazões máximas dos hidrogramas foram adequadamente reproduzidas. O modelo ANIMO simulou com boa precisão as variações temporais das concentrações de nitrato e de fosfato nos períodos de verificação e de calibração das séries de ensaios de simulação de chuva. / Agricultural activities promote modifications in the physical structure of the soil and the interactions that occur within. The changes promoted these activities can generate changes in hydrogeochemical processes in the soil. This study aims to the hydrological processes and transport of chemical species in agricultural soils in southern Brazil, when subjected to rain of high intensity in drainage lysimeters, are experimental devices. Seven lysimeters installed in four catchment areas in the southern states of Brazil were used in the experiments, which present the same methodology and manufacturing facility. In these were performed simulations with different rainfall intensities. Were monitored runoff, drainage and analyzed water samples collected for chemical species ammonium, nitrate, nitrite, phosphate, total organic and inorganic carbon. 77 tests were performed to simulate rain, precipitation intensities ranging between 30 and 140 mm h-1, corresponding to return period of about 1 to 1,000 years, respectively, corresponding to extreme rainfall. The datasets generated were analyzed for their spatial and temporal evolutions, their magnitudes and transport processes involved. The models SWAP - Soil, Water, Atmosphere, Environment and Plant and ANIMO - Agricultural Nutrient Model, was applied to the series, to evaluate the hydrogeochemical processes represented. The models are based on physical and suitable for use in lysimeter scale. The generation of runoff, infiltration rates and soil water drainage built in high intensity rainfall events are influenced by management practices and the development stage of the vegetation cover and the very intensity of precipitation. For high intensity rainfall has increased water retained in the surface, with a consequent change in hydraulic head, providing increased rates of infiltration and runoff in the soil profile. The simulations show that the heavy rainfall nitrate concentrations in water runoff and drainage are higher than those of ammonium, nitrite, phosphate, total organic carbon and inorganic carbon. The SWAP model adequately simulated the water balance components in the lysimeter and daily time scales of simulated rainfall. The coefficient of efficiency Nash-Sutcliffe calibration and verification in a daily were more than 0.8 drain for disposal. For nitrate and phosphate, the model correctly simulated ANIMO concentrations on the dates of sample collection of water runoff and drainage series of daily data. During periods of rainfall test, the model presented SWAP efficiency ratios on the order of 0.8 for calibration and verification of drainage outlets. The evolutions of the flow of arms to rise and peak flows of hydrographs were properly reproduced. The model adequately simulated ANIMO temporal variations in the concentrations of nitrate and phosphate during periods of verification and calibration of the test suites rainfall simulation.

As atividades agrícolas promovem modificações na estrutura física do solo e nas interações que ocorrem no seu interior. As mudanças promovidas nestas atividades podem gerar alterações do processo hidrogeoquímico no solo. Este estudo tem por objetivo estudar o processo hidrológico e o transporte de espécies químicas em solos agrícolas do Sul do Brasil, quando submetidos à chuva de alta intensidade, em lisímetros de drenagem, que são dispositivos experimentais. Sete lisímetros instalados em quatro bacias hidrográficas situadas nos estados do Sul do Brasil foram utilizados nos experimentos, apresentando os mesmos procedimentos metodológicos de dimensionamento e instalação. Nestes, foram realizadas simulações, com diferentes intensidades de chuva, com monitoramento do escoamento superficial e o de drenagem, analisadas quimicamente para as espécies químicas amônio, nitrato, nitrito, fosfato, carbono orgânico e inorgânico total. Foram realizados 77 ensaios de simulação de chuva, com intensidades de chuva variando entre 30 e 140 mm h-1, correspondendo a um período de retorno da ordem de 1 a 1000 anos, respectivamente, correspondendo a chuvas extremas. As séries de dados geradas foram analisadas quanto às suas evoluções temporais e espaciais, magnitude e o processo de transporte envolvido. Os modelos SWAP - Soil, Water, Atmosphere, Plant Environment e ANIMO - Agricultural Nutrient Model foram aplicados às séries, visando avaliar o processo hidrogeoquímico representados. Os modelos são de base física e apropriados para uso em escala de lisímetro. A geração de escoamento superficial, as taxas de infiltração de água no solo e a drenagem interna, em eventos pluviométricos de alta intensidade são influenciadas pelas práticas de manejo e pelo estádio de desenvolvimento da cobertura vegetal e a própria intensidade da chuva. Para elevadas intensidades de chuva tem-se o aumento da água retida na superfície, com consequente alteração na carga hidráulica, proporcionando aumento das taxas de infiltração e do escoamento no perfil do solo. As simulações de chuvas intensas mostram que as concentrações de nitrato nas águas de escoamento superficial e de drenagem são mais elevadas do que aquelas de amônio, nitrito, fosfato, carbono orgânico total e carbono inorgânico. O modelo SWAP simulou adequadamente os componentes do balanço hídrico no lisímetro nas escalas de tempo diário e das chuvas simuladas. Os coeficientes de eficiência de Nash-Sutcliffe na calibração e na verificação, na escala diária, foram superiores a 0,8 para o escoamento de drenagem. Para o nitrato e o fosfato, o modelo ANIMO simulou corretamente as concentrações nas datas de coletas de amostras de águas do escoamento superficial e de drenagem da série de dados diários. Nos períodos dos ensaios de chuvas simuladas, o modelo SWAP apresentou coeficientes de eficiência da ordem de 0,8 para a calibração e verificação do escoamento de drenagem. As evoluções das vazões dos ramos de ascensão e das vazões máximas dos hidrogramas foram adequadamente reproduzidas. O modelo ANIMO simulou com boa precisão as variações temporais das concentrações de nitrato e de fosfato nos períodos de verificação e de calibração das séries de ensaios de simulação de chuva. / Agricultural activities promote modifications in the physical structure of the soil and the interactions that occur within. The changes promoted these activities can generate changes in hydrogeochemical processes in the soil. This study aims to the hydrological processes and transport of chemical species in agricultural soils in southern Brazil, when subjected to rain of high intensity in drainage lysimeters, are experimental devices. Seven lysimeters installed in four catchment areas in the southern states of Brazil were used in the experiments, which present the same methodology and manufacturing facility. In these were performed simulations with different rainfall intensities. Were monitored runoff, drainage and analyzed water samples collected for chemical species ammonium, nitrate, nitrite, phosphate, total organic and inorganic carbon. 77 tests were performed to simulate rain, precipitation intensities ranging between 30 and 140 mm h-1, corresponding to return period of about 1 to 1,000 years, respectively, corresponding to extreme rainfall. The datasets generated were analyzed for their spatial and temporal evolutions, their magnitudes and transport processes involved. The models SWAP - Soil, Water, Atmosphere, Environment and Plant and ANIMO - Agricultural Nutrient Model, was applied to the series, to evaluate the hydrogeochemical processes represented. The models are based on physical and suitable for use in lysimeter scale. The generation of runoff, infiltration rates and soil water drainage built in high intensity rainfall events are influenced by management practices and the development stage of the vegetation cover and the very intensity of precipitation. For high intensity rainfall has increased water retained in the surface, with a consequent change in hydraulic head, providing increased rates of infiltration and runoff in the soil profile. The simulations show that the heavy rainfall nitrate concentrations in water runoff and drainage are higher than those of ammonium, nitrite, phosphate, total organic carbon and inorganic carbon. The SWAP model adequately simulated the water balance components in the lysimeter and daily time scales of simulated rainfall. The coefficient of efficiency Nash-Sutcliffe calibration and verification in a daily were more than 0.8 drain for disposal. For nitrate and phosphate, the model correctly simulated ANIMO concentrations on the dates of sample collection of water runoff and drainage series of daily data. During periods of rainfall test, the model presented SWAP efficiency ratios on the order of 0.8 for calibration and verification of drainage outlets. The evolutions of the flow of arms to rise and peak flows of hydrographs were properly reproduced. The model adequately simulated ANIMO temporal variations in the concentrations of nitrate and phosphate during periods of verification and calibration of the test suites rainfall simulation.

Philosophiae Doctor - PhD / In this thesis we study a range of related commercial banking problems in discrete and continuous time settings. The first problem is about a capital allocation strategy that optimizes the expected future value of a commercial bank’s total non-risk-weighted assets (TNRWAs) in terms of terminal time utility maximization. This entails finding optimal amounts of Total capital for investment in different bank assets. Based on the optimal capital allocation strategy derived for the first problem, we derive stochastic models for respectively the bank’s capital adequacy and liquidity ratios in the second and third problems. The Basel Committee on Banking Supervision (BCBS) introduced these ratios in an attempt to improve the regulation of the international banking industry in terms of capital adequacy and liquidity management. As a fourth problem we derive a multi-period deposit insurance pricing model which incorporates the optimal capital allocation strategy, the BCBS’ latest capital standard, capital forbearance and moral hazard. In the fifth and final problem we show how the values of LIBOR-in-arrears and vanilla interest rate swaps, typically used by commercial banks and other financial institutions to reduce risk, can be derived under a specialized version of the affine interest rate model originally considered by the bank in question. More specifically, in the first problem we assume that the bank invests its Total capital in a stochastic interest rate financial market consisting of three assets, viz., a treasury security, a marketable security and a loan. We assume that the interest rate in the market is described by an affine model, and that the value of the loan follows a jump-diffusion process. We wish to find the optimal capital allocation strategy that maximizes an expected logarithmic utility of the bank’s TNRWAs at a future date. Generally, analytical solutions to stochastic optimal control problems in the jump setting are very difficult to obtain. We propose an approximation method that exploits a similarity between the forms of the control problems of the jump-diffusion model and the diffusion model obtained by removing the jump. With the jump assumed sufficiently small, the analytical solution of the diffusion model then serves as a proxy to the solution of the control problem with the jump. In the second problem we construct models for the bank’s capital adequacy ratios in terms of the proxy. We present numerical simulations to characterize the behaviour of the capital adequacy ratios. Furthermore, in this chapter, we consider the approximate optimal capital allocation strategy subject to a constant Leverage Ratio, which is a specific non-risk-based capital adequacy ratio, at the minimum prescribed level. We derive a formula for the bank’s TNRWAs at constant (minimum) Leverage Ratio value and present numerical simulations based on the modified TNRWAs formula. In the third problem we model the bank’s liquidity ratios and we monitor the levels of the liquidity ratios under the proxy numerically. In the fourth problem we derive a multi-period deposit insurance pricing model, the latest capital standard a la Basel III, capital forbearance and moral hazard behaviour. The deposit insurance pricing method utilizes an asset value reset rule comparable to the typical practice of insolvency resolution by insuring agencies. We perform numerical computations with our model to study its implications. In the final problem, we specialize the affine interest rate model considered previously to the Cox-Ingersoll-Ross (CIR) interest rate dynamic. We consider fixed-for-floating interest rate swaps under the CIR model. We show how analytical expressions for the values of both a LIBOR-in-arrears swap and a vanilla swap can be derived using a Green’s function approach. We employ Monte Carlo simulation methods to compute the values of the swaps for different scenarios. We wish to make explicit the contributions of this project to the literature. A research article titled “An Optimal Portfolio and Capital Management Strategy for Basel III Compliant Commercial Banks” by Grant E. Muller and Peter J. Witbooi [1] has been published in an accredited scientific journal. In the aforementioned paper we solve an optimal capital allocation problem for diffusion banking models. We propose using the solution of the Brownian motions control problem of [1] as the proxy in problems two to four of this thesis. Furthermore, we wish to note that the methodology employed on the final problem of this study is actually from the paper [2] of Mallier and Alobaidi. In the paper [2] the authors did not present simulation studies to characterize their pricing models. We contribute a simulation study in which the values of the swaps are computed via Monte Carlo simulation methods.

The subject of this thesis is recent development of credit evaluation industry and analysis of rating agency`s behaviour in relation to official rating changes. In the first chapter, fundamental limitations of analytical ratings are defined. Stating both advantages and disadvantages arising mainly from market defficiency, the second one introduces credit default swap as an alternative manner for credit risk measurement. Next part summarizes existing academic activity in context of rating informatory value, highlighting abnormal and asymmetric market reactions. Based on Moodys` approach, the fouth chapter provides reader with the concept of market implied ratings that are consequently used to analyse relation between CDS-IR and official ratings. The last subchapters investigate sensitivity ratio of how rating gap level determines prospective response of rating agency.

The subject of the Master thesis „Financial Derivatives in Praxis“ is the analysis of the all kinds of financial derivates.The first part of the thesis deals with the general description of the derivates. In the next part of the thesis analysis of individual spices of derivates and their dividing into interest rate derivates and currency derivates is made. The final, practical part of the thesis, is devoted to the practical using of derivates in the hedging interest rate and currency risk on specific examples of companies and the offer of hedging on the Czech financial market.

We introduce a new insurance instrument allowing retirees to hedge against risk of mortality and risk of default. At retirement, the retiree is allowed to purchase an annuity that provides a defaultable income stream over his lifetime. The time of mortality and time of default are both uncertain, but are accompanied by determined hazard rates. The retiree will make consumption and investment choices throughout his lifetime, which have certain restrictions: the retiree can never enter a bankruptcy state (negative total wealth), and the investment choices are made in a risk-free financial instrument (such as a treasury bill or bond) and a risky instrument (such as commodities or stock). The retiree also makes insurance premium payments which hedge against mortality and default risks simultaneously. This new form of insurance is one which can be implemented by financial institutions as a means for retirees to protect their illiquid assets. In doing so, we calculate the optimal annuity rate a retiree should purchase to maximize his utility of consumption and bequest.Throughout the paper, we develop stochastic control models for a retiree's optimal investment and consumption policies over an uncertain planning horizon in several models which may or may not allow for insurance purchases. We find exact solutions to several models, and apply dynamic programming and the logarithmic transformation to other models to find numerical solutions when constraints are needed. We also analyze the effects of loading on insurance, analyzing the effects of more expensive insurance on the retiree's control policies and value functions. In particular, we will consider the model in which the retiree can purchase life insurance and credit default insurance (in the form of a credit default swap, or CDS) separately to hedge against life events. CDS's do not exist for annuities, but we extend this model by incorporating life insurance and the CDS into a single entity, which can be a viable, and realistic, option to hedge against risk. This model is beneficial in providing a solution to the annuity problem by showing that minimal annuity purchase is optimal.

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.

By participating in the market a party buys and sells different types of contracts resulting in the collection of contracts growing. With a large collection of contracts come the hurdles of an increasing operational cost, a harder-to-manage order book, and an increase in counterparty risk. To combat these problems we set out to minimize the size and quantity of contracts by performing what is called a compression. We have looked into three different types of compression methods for interest rate swap contracts. One method is specialized for central clearing, Coupon Blending, and two methods for bilateral clearing, Closed Loops, and the Network Simplex Method. By using Monte Carlo Simulations, all three methods could be compared to one another to conclude the significant findings. The clear winner for centrally cleared contracts was Coupon Blending which could terminate over 92% of the contracts, and reduce the total absolute size of the contracts by over 75%. Network Simplex came in as a close second which could also reduce the total absolute size of the contracts by over 75% but only terminate 86%. Coupon Blending and Network Simplex, both had very similar accuracy in their compression. However, NetworkSimplex performed better at keeping the system’s total risk intact. For bilateral clearing, NetworkSimplex performed the best where the Closed Loops strategy was not an optimized approach. / Genom att delta i den finansiella marknaden köper och säljer en participant olika sorters kontrakt vilket resulterar i att samlingen av kontrakt växer. Med en ständigt växande samling av kontrakt skapas problem som, att kostnaden för hantering ökar, att orderbokens hantering blir svårare och en ökad risk för konkurs. För att undvika dessa problem kan man utföra kompression vilket är att försöka reducera kontrakten i antal och storlek. Vi har studerat tre olika typer av kompressionsstrategier för kompression av ränteswappar. Den första strategin är Coupon Blending som är specialiserad för central clearing medan de två andra, Closed Loops och Network Simplex Metoden är utvecklade för bilateral clearing. Genom att använda Monte Carlo Simuleringar på alla tre strategier kunde vi dra slutsatser kring deras egenskaper och effektivitet. Den bästa strategin var Coupon Blending som kunde terminera över 92% av alla kontrakt, och samtidigt reducera den totala absoluta storleken på kontrakten med 75%. Network Simplex presterade också bra och kunde reducera den totala absoluta storleken på kontrakten med 75% och terminera 86% av kontrakten. Coupon Blending och Network Simplex hade bägge en liknande noggrannhet, men Network Simplex var något bättre på att hålla systemets totala risk intakt. För bilateral clearing presterade Network Simplex bäst där Closed Loops strategin inte var tillräckligt optimerad.

For least developing countries with large rural population living in severe poverty such as Ethiopia, access to modern and sustainable energy services is a real challenge. Dealing with the lack of modern energy services at local level and the needs for economic development at national level is a major challenge in the policy and decision making process. This particular study takes the case of Ethiopia to investigate the existing challenges and future prospects of mainstreaming sustainable energy access into the country’s development planning process, and the consequences for international development financiers, national policy makers, private actors and local energy planners and experts. The roles and approaches of various developmental agencies are reviewed based on the effectiveness and sustainability of cooperation models with governmental institutions. To this end, this study establishes an understanding of institutional, financial and policy elements related to both state and non-state actors. Accordingly, readiness of the rural energy sector to adopt sector–perspective and national development approaches to mainstream sustainable energy access is investigated. The thesis emphasizes the need for all stakeholders to cooperate and take advantage of local potentials and external opportunities in light of the new momentum for sustainable energy access in the global agenda.