Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid

Appropriate risk management is crucial to ensure the competitiveness of financial institutions and the stability of the economy. One widely used financial risk measure is Value-at-Risk (VaR). VaR estimates based on linear and parametric models can lead to biased results or even underestimation of risk due to time varying volatility, skewness and leptokurtosis of financial return series. The paper proposes a nonlinear and nonparametric framework to forecast VaR that is motivated by overcoming the disadvantages of parametric models with a purely data driven approach. Mean and volatility are modeled via support vector regression (SVR) where the volatility model is motivated by the standard generalized autoregressive conditional heteroscedasticity (GARCH) formulation. Based on this, VaR is derived by applying kernel density estimation (KDE). This approach allows for flexible tail shapes of the profit and loss distribution, adapts for a wide class of tail events and is able to capture complex structures regarding mean and volatility. The SVR-GARCH-KDE hybrid is compared to standard, exponential and threshold GARCH models coupled with different error distributions. To examine the performance in different markets, one-day-ahead and ten-days-ahead forecasts are produced for different financial indices. Model evaluation using a likelihood ratio based test framework for interval forecasts and a test for superior predictive ability indicates that the SVR-GARCH-KDE hybrid performs competitive to benchmark models and reduces potential losses especially for ten-days-ahead forecasts significantly. Especially models that are coupled with a normal distribution are systematically outperformed

Großflächige Abscheidung von Graphen - Ein wichtiger Schritt für neuartige Bauelemente

Das wachsende Interesse an Graphen beruht auf seiner unverwechselbaren Bandstruktur und seinen damit zusammenhängenden herausragenden physikalischen Eigenschaften. Es wird daher weltweit nach einem Verfahren gesucht, Graphen großflächig und mit hoher Qualität abzuscheiden. In einer an der TH Wildau [FH] speziell für diese Aufgabe konzipierten Reaktionskammer wurde die Herstellung mittels chemischer Gasphasenabscheidung auf katalytischen Metalloberflächen für verschiedene Parameter studiert und deren Verträglichkeit mit der CMOS -Technologie untersucht. Die ersten Tests erfolgten auf Nickel, da hier eine im Volumen stattfindende katalytische Reaktion einsetzt. In weiteren Schritten fiel die Wahl auf Kupfer, da hier die Reaktion an der Oberfläche stattfindet und daher ein stabilerer Prozess realisiert werden konnte. Die Qualitätsprüfung der erzeugten Schichten erfolgte mittels Ramanspektrometrie

Update breast cancer 2021 part 5 – advanced breast cancer

Despite the COVID 19 pandemic and mostly virtual congresses, innovation in the treatment of breast cancer patients continues at an unabated pace. This review summarises the current developments. Initial overall survival data for CDK4/6 inhibitor treatment in combination with an aromatase inhibitor as the first advanced line of therapy in treatment-naive postmenopausal patients have been published. Similarly, a trial comparing trastuzumab-deruxtecan versus trastuzumab-emtansine revealed a clear benefit regarding progression-free survival. Understanding of biomarkers making checkpoint inhibitor therapy particularly effective is increasing, and new compounds such as oral selective estrogen receptor destabilisers (SERDs) are entering clinical development and completing the first phase III trials

Update breast cancer 2021 part 4 – prevention and early stages

This past year has seen new and effective options for further improving treatment outcome in many patients with early-stage breast cancer. Patients with hormone receptor-positive disease benefited significantly from the addition of the CDK4/6 inhibitor abemaciclib to endocrine adjuvant therapy. In triple-negative disease, data were presented for two treatment regimens. Patients with advanced disease (stage 2 and 3) benefit from neoadjuvant treatment with the immune checkpoint inhibitor pembrolizumab in combination with standard chemotherapy, regardless of PD-L1 expression. When neoadjuvant therapy has failed to achieve the desired remission in BRCA1 and BRCA2 mutations, the administration of the PARP inhibitor olaparib has demonstrated an impressive response. Other data address translational issues in HER2-positive breast cancer and neoadjuvant therapy approaches with the oral SERD giredestrant and the PARP inhibitor talazoparib. This review presents and analyses the findings of this yearʼ s most important study outcomes

Update breast cancer 2022 part 4 – advanced-stage breast cancer

For the treatment of patients with advanced HER2-negative hormone receptor-positive breast cancer, several substances have been introduced into practice in recent years. In addition, other drugs are under development. A number of studies have been published over the past year which have shown either an advantage for progression-free survival or for overall survival. This review summarizes the latest results, which have been published at current congresses or in specialist journals, and classifies them in the clinical treatment context. In particular, the importance of therapy with CDK4/6 inhibitors – trastuzumab deruxtecan, sacituzumab govitecan and capivasertib – is discussed. For trastuzumab deruxtecan, an overall survival benefit in HER2-negative breast cancer with low HER2 expression (HER2-low expression) was reported in the Destiny-Breast-04 study. Similarly, there was an overall survival benefit in the FAKTION study with capivasertib. The lack of overall survival benefit for palbociclib in the first line of therapy raises the question of clinical classification