Proposals for a Needed Adjustment of the VaR-based Market Risk Charge of Basle II

We analyze around 200 different financial time series, i.e. components of Dow Jones, Nasdaq, FTSE and Nikkei with seven different VaR approaches. We differentiate our analysis according to characteristics that can be observed. Our analysis shows that in high risk situations in which the time series show high volatility risk and high fat tail risk the current Basle II guidelines fail in the attempt to cushion against large losses by higher capital requirements. One of the factors causing this problem is that the builtin positive incentive of the penalty factor resulting from the Basle II backtesting is set too weak. Therefore, we propose adjustments regarding the Basle II penalty factor that take different risk situations into account and lead to higher capital buffers for forecast models with a systematic risk underestimation.Risk evaluation, Value-at-risk, Basle II backtesting, GARCH

A comprehensive study in PAT-applications for a QbD-compliant development of continuous biopharmaceutical production

The development of continuously operated integrated pharmaceutical production processes needs a tremendous expenditure. Beside the installation of a full-scale production, scale-down concepts are essential to meet the QbD-specifications of the FDA. In this presentation the surrounding PAT-field of such a plant for production of potential Malaria vaccines (shown in ICB I and ICB II) is discussed in order to create model based QbD-compliant strategies. This includes fully automated processing, global process monitoring with additional classical and spectroscopic measurement procedures including enhanced data processing and MVDA. A full-scope model of the plant allows an in-silico development of process control. The two-stage upstream line is scaled-down in a sixfold sequential/parallel operated bioreactor plant including flow analysis at-line measurements for substrates- and target protein-detection. This plant allows a fully automated simultaneous DoE-process optimization and identification of CPP-Critical Process Parameters. The DoE-model and Monte Carlo simulations create also the Design Space and the Control Space of QbD-production. Similar methods are used in the down-stream area for optimization of cyclic protein purification. These methods are applied with an AEKTAT avant which is developed especially for DoE. The main focus of the work lies on the development of a global MVDA-based monitoring system for biotechnological variables like cell mass, glycerol-, ammonium-, total secreted-, and target protein-concentration but also on the evaluation of process quality (reproducibility) of the running processes. Applications of NIR-, Raman-, and 2D-Fluorescence-Spectroscopy and the appropriate PLSR-modeling leads to a partly success. This was improved by using the nonlinear SVR-Support Vector-machine Regression. However, a MVDA-application with only classical process variables from agitation, aeration, temperature, feeding, pH, pO2, and process balances creates astonishing results in a satisfying bio-monitoring up to the on-line detection of the secreted target protein concentration. The quality of running processes was evaluated with a GB-Golden Batch approach. The GB-tunnel was created with data from QbD-conformed process courses and then used for an on-line observation and prediction of actual first principal components. A MPC-Model Predictive Control was also implemented in order to avoid a leaving of the GB-tunnel by correction of process set-points. These methods open the way to an on-line release of pharmaceutical products

Efficacy of plasma-polymerized allylamine coating of zirconia after five years

Plasma-polymerized allylamine (PPAAm) coatings of titanium enhance the cell behavior of osteoblasts. The purpose of the present study was to evaluate a PPAAm nanolayer on zirconia after a storage period of 5 years. Zirconia specimens were directly coated with PPAAm (ZA0) or stored in aseptic packages at room temperature for 5 years (ZA5). Uncoated zirconia specimens (Zmt) and the micro-structured endosseous surface of a zirconia implant (Z14) served as controls. The elemental compositions of the PPAAm coatings were characterized and the viability, spreading and gene expression of human osteoblastic cells (MG-63) were assessed. The presence of amino groups in the PPAAm layer was significantly decreased after 5 years due to oxidation processes. Cell viability after 24 h was significantly higher on uncoated specimens (Zmt) than on all other surfaces. Cell spreading after 20 min was significantly higher for Zmt = ZA0 > ZA5 > Z14, while, after 24 h, spreading also varied significantly between Zmt > ZA0 > ZA5 > Z14. The expression of the mRNA differentiation markers collagen I and osteocalcin was upregulated on untreated surfaces Z14 and Zmt when compared to the PPAAm specimens. Due to the high biocompatibility of zirconia itself, a PPAAm coating may not additionally improve cell behavior

Robust Design Methodology for the development of commercial vehicle braking systems

Today’s product requirements demand an ever increasing functionality for the same space and usually the same number of components. Thereby, the quality, reliability and robustness of these products should be preserved or even be increased. This target conflict cannot be solved without compromises. The research community between the Institute of Machine Components (IMA), University of Stuttgart, and the Knorr-Bremse Systeme für Nutzfahrzeuge GmbH is seeking for new solutions for these challenges. The new approaches for designing robust and reliable products are being implemented directly in a current development project of an innovative Air Disc Brake (ADB). With “Systematic Method for Axiomatic Robustness-Testing” (SMART), reliability methods and the basic concept of Robust Design methodology are related to the Taguchi Method. SMART is based on three phases: System, Parameter and Tolerance Design; accordingly, the sample phases of VDA (Association of German Automotives) are used as milestones. In the System Design, SMART focuses on the decreasing complexity according to the functional dependences of the DPs, thus precluding early random failures. In the Parameter Design phase, SMART gives the developer an approach for modeling an adaptive simulation model (SIM-SMART). This model also enables the simulation of random and possible fatigue failures in addition to the nominally robust DPs. In the early stage of product development, reliability predictions are possible. In the iterative Tolerance Design phase, the final tolerance limits for robust and reliable products are defined with consideration of compromises in terms of costs, quality and technical feasibility. With the application of SMART, a design concept of a new generation of an ADB with less complexity is created. The extensive functions for flexible function studies are modeled with the objective of SIM-SMART. Accordingly to this model, parameter studies for determination of the nominal adjustment levels can be performed and their random and fatigue failures modeled. In conclusion, more accurate reliability test strategies are recommended using the definition of tolerance limits. The cost aspect and technical feasibility are also taken into account. So far, SMART has not been added to the iterative Tolerance Design phase. With this paper, the method is not only extended to this phase, but also sufficiently validated. In addition, SMART can predict and analyze random failures. With its three coherent and iterative phases, it is an as yet unpublished and unimplemented approach for designing even more robust and reliable products. Robust Design Methodology and reliability methods are fundamental building blocks for products with high quality requirements. SMART presents an approach to support the designing of robust, reliable, highly functional and innovative ADB

Dynamic response of mesoscopic metal rings and thermodynamics at constant particle number

We show by means of simple exact manipulations that the thermodynamic persistent current $I ( \phi , N )$ in a mesoscopic metal ring threaded by a magnetic flux $\phi$ at constant particle number $N$ agrees even beyond linear response with the dynamic current $I_{dy} ( \phi , N )$ that is defined via the response to a time-dependent flux in the limit that the frequency of the flux vanishes. However, it is impossible to express the disorder average of $I_{dy} ( \phi , N )$ in terms of conventional Green's functions at flux-independent chemical potential, because the part of the dynamic response function that involves two retarded and two advanced Green's functions is not negligible. Therefore the dynamics cannot be used to map a canonical average onto a more tractable grand canonical one. We also calculate the zero frequency limit of the dynamic current at constant chemical potential beyond linear response and show that it is fundamentally different from any thermodynamic derivative.Comment: 19 pages, postscript (uuencoded, compressed