Multi-period efficiency measurement in data envelopment analysis: The case of Taiwanese commercial banks

In measuring the overall efficiency of a set of decision making units (DMUs) in a time span covering multiple periods, the conventional approach is to use the aggregate data of the multiple periods via a data envelopment analysis (DEA) technique, ignoring the specific situation of each period. This paper proposes using a relational network model to take the operations of individual periods into account in measuring efficiencies. The overall and period efficiencies of a DMU can be calculated at the same time. Notably, the overall efficiency is a weighted average of the period efficiencies, and the weights are the most favorable ones for the DMU being evaluated. This model, together with two existing ones, is applied to measure the efficiency of 22 Taiwanese commercial banks for the period of 2009–2011. The three-year multi-period analysis shows that the proposed model is more discriminative than the existing ones in ranking the performance of the banks. The period efficiencies for the three years increased steadily, indicating that the performances of the Taiwanese banks examined in this work were improving over this period.     

基于银行监管资本的存款保险定价研究

结合存款保险定价的期权定价法和期望损失定价法,提出了利用银行破产时被保险存款的期望损失来定价存款保险的新思路,该方法的特点是存款保险定价不仅仅与银行资产的风险和收益有关,而且与银行资本持有状况和存款的参保比率有密切关系.通过理论推导得到了存款保险定价公式.运用极大似然估计方法与测算原理,实证研究了其敏感性、可行性与合理...     

Risk-based decompositions of the meta profit efficiency of Taiwanese and Chinese banks

This study measures the profit efficiencies of Taiwanese and Chinese banks with the assumption that both types could operate under the metafrontier. To consider the risk consideration of banks, we include equity capital as a quasi-fixed input and develop the risk-based measures of the meta Nerlovian profit efficiency. We further decompose meta profit efficiency and gap into technology and allocative efficiencies and gaps. We use 34 Taiwanese banks and 70 Chinese banks in 2011 to empirically measure profit efficiency and its decompositions. Empirical results show that the Chinese state-owned banks perform the best in meta profit efficiency, followed by Chinese joint-equity banks and Taiwanese state-owned banks. These three types of banks are performing better than the other types of banks in Taiwan and China. We also find that Taiwanese private banks perform better in profit and technical efficiencies versus Chinese city banks.     

Risk management and managerial efficiency in Chinese banks: A network DEA framework

Risk management in Chinese banks has traditionally been the Cinderella of its internal functions. Political stricture and developmental imperative have often overridden standard practice of risk management resulting in large non-performing loan (NPL) ratios. The training and practice of risk managers remain second class compared with foreign banks operating in China. This paper surveys Chinese bank risk managers and constructs metrics of risk management practice and risk management organisation. The metrics are used as intermediate inputs in a Network DEA framework to produce a measure of income efficiency. A statistical test is carried out to assess the importance of the risk metrics in evaluating bank income efficiency.     

宏观经济变量影响下的银行极端操作风险研究

操作风险管理是当前金融和监管机构密切关注的焦点,但其低频高危数据的严重缺失一直阻碍着极端操作风险度量模型的应用.本文构建了考虑发生频度的复合泊松过程应用模型,从广义帕累托分布(GPD)与广义极值分布(GEV)两种角度度量商业银行的极端操作风险.通过采用国际活跃银行的资本市场数据,基于宏观经济变量影响的Fama-French多因素模型,剥离传统的市场风险、信用风险以及流动性风险等获得综合操作风险极端数据,模拟测度外部事件影响下的银行极端操作风险发现:基于POT(过阈值峰值模型)方法估算的OpCVaR(操作风险的条件在险价值)高于其累积的在险价值,而BMM(分块极值模型)方法提供了一定期限内金融机构的最大损失额频度;且实证分析发现中资银行就其外部宏观经济影响下的极端操作风险而言,普遍低于其国际同行,但排除此次金融危机的系统性影响,则国际活跃银行的风控能力更稳定,这对改善我国银行操作风险管理和监管极具实践意义.     

基于非参数方法的银行操作风险度量

金融业全球化竞争和金融管制放松,导致商业银行面临的操作风险不断增加,操作风险已成为金融监管的焦点.因此,对商业银行和其它金融机构来说,可靠的操作风险度量正变得越来越重要.文章采用基于厚尾分布的非参数方法度量我国商业银行操作风险,给出了VaR的点估计方法和3种区间估计方法(正态近似法NA,经验似然法EL,数据倾斜法DT).此方法的优点在于不用假设操作风险损失分布,这样可以消除参数化模型设定差异而带来的估计偏差.同时,根据厚尾分布的特征,提出了新的厚尾分布样本均值求法,调整后均值更注重对尾部的描述和刻画.实证结果表明:调整后的厚尾分布样本均值大于简单算术平均值,更符合右偏厚尾的分布特征;非参数方法得到的VaR点估计和区间估计考虑了厚尾的因素,解决了传统VaR低估风险的问题,更接近真实情况;VaR 3种区间估计的方法能够提升对风险衡量的准确性,其中DT方法所得到的区间估计最为准确.     

The impact of communicative efficiency on franchisee performance

The objective of this study is to examine how franchise network members can organize networking activities efficiently. Conceptualising the franchise organisation as a social network arrangement, this chapter argues that efficient resource transmission among franchisees is essential in the quest for competitive advantage and economic rents, and is the key to higher individual (and in aggregation, collective) performance. Thus, efficient exchange reinforces the superiority of the network form of organisation to alternative organisational designs. The study suggests that interfranchisee communication is the strategic means for efficient exchange. Hypotheses are tested on a sample of 121 fashion retail franchisees.     

Ranking using η-efficiency and relative size measures based on DEA

In this paper, we propose a new way to define the size of organizations or Decision Making Units (DMUs) based on Data Envelopment Analysis (DEA). A great number of managerial decisions, social and economic activities, political analysis and engineering process include in their analysis some information about the size of corporations. Usually, organizations consider particular attributes such as revenues, employees, number of clients, profit and so forth to evaluate their sizes, which could result on an incomplete and/or partial size evaluation. Here, we investigate this question more deeply and propose a non-parametric approach for ranking size. To address this issue, we first construct a DEA super-efficiency target vector defined over an extended Technology set and find a common set of weights to determine new efficiencies and sizes, possibly greater than one. After, we define rotation and translation of DMUs and show how to construct a range area, associated to η-efficiencies and relative sizes that are less than or equal to one. Additionally, based on managerial decisions, we show how to use these ideas to achieve new η-efficiency and relative size goals for one or more DMUs in the set. We consider an empirical application to illustrate our approach on a dataset of international airlines and conclude the paper with some final remarks and future directions.     

基于秩依期望效用理论的鹰鸽博弈均衡解分析

运用秩依期望效用理论研究鹰鸽博弈模型,在考虑局中人带有情绪因素的条件下研究博弈均衡解的存在性条件以及局中人情绪因素对均衡解的影响规律.研究发现:局中人情绪因素虽然不影响纯战略意义下的博弈均衡解,但对混合战略纳什均衡解存在非常大的影响.如果博弈双方争夺的利益大于双方同时采取"鹰"策略时的总成本,则无论局中人情绪如何,博弈不存在混合战略均衡;如果博弈双方争夺的利益小于双方同时采取"鹰"策略时的总成本,则当局中人同为悲观情绪且情绪指数的倒数之和小于等于1时,博弈不存在混合战略均衡解;否则,混合战略均衡解存在.特别地,如果博弈双方争夺的利益等于双方同时采取"鹰"策略时的总成本,则无论局中人情绪如何,存在且有无数个混合战略均衡.此外,在混合战略均衡存在的条件下,各自的混合均衡战略是分别关于自身或对方情绪指数的单调函数.     

基于期望准则和分布自由的回购契约协调模型

将供应链管理引入需求分布自由的市场环境中,以回购契约作为管理的激励机制,研究均为风险中性的供应商—零售商构成的供应链系统的最优订购—定价决策以及回购契约的协调性问题.研究需求分布自由环境下供应链系统的协调性具有重要意义,尤其是对缺乏充分历史销售数据的新产品,短生命周期产品而言.基于期望收益准则和需求分布自由,分别建立供应链系统、零售商和供应商的上界、下界和最小期望收益模型,并在不同的需求依赖价格模式(加型模式和乘型模式)下,分析供应链的最优订购—定价决策以及回购契约的协调性.研究发现,供应链系统的期望收益在由上界向下界乃至退化为最小期望收益时,回购契约的协调能力逐渐增强.即,在上界期望收益模型中,回购契约无法协调供应链系统;在下界期望收益模型中,存在唯一的一组回购契约参数协调供应链系统;在最小期望收益模型中,回购参数是批发价格的反应函数,回购契约可以灵活地协调供应链系统.     

Forecasting political decisions and their impact on business

The economic and technical background against which business enterprises operate is largely determined by political decisions. These decisions influence the market, constrain freedom of action, and create new investment openings. It is therefore important for business organizations to attempt to evaluate possible political changes in their strategic planning in order to test the realism of their economic and/or technical planning.     

存款保险制度对银行利率风险影响的实证研究

利用东盟六国与中国在经济、贸易和货币等方面较强的同步性和联动性特征, 选取2000年至2015年东盟六国主要商业银行的数据作为样本, 使用银行净息差3年移动标准差作为利率风险的代理变量, 实证检验建立存款保险制度对银行利率风险水平的影响, 以及这种影响是否因银行规模、银行业集中度和国家法制水平的差异而产生变化.研究表明, 存款保险制度的建立能够显著减少银行净息差的波动, 对利率风险具有稳定作用, 且这种稳定作用受到银行规模、银行业集中度和国家法制水平的影响.无论在短期或长期, 存款保险制度对银行利率风险的稳定作用都十分显著, 银行业集中度降低使得存款保险制度对银行利率风险的稳定作用增强.虽然提升国家法制水平在短期减弱存款保险制度对银行利率风险的稳定作用, 但在长期则相反.此外, 相比样本中高收入国家的商业银行, 存款保险制度对于中高收入和中低收入国家的银行利率风险稳定作用更为显著.     

Counseling models and their impact on how therapists handle values issues

Counseling is not a value free enterprise. Therapeutic models are value laden. Counselors and clients are both emotionally invested in right living issues. Since no therapy is value free, clients face the dilemma of finding a therapist with values similar to their own or having their values challenged. Therapists face the ethical issue of clarifying their own values and determining how to make them known.     

Measuring impact of Lean implementation on construction safety performance: a structural equation model

Abstract

The construction industry is a risky endeavour. Therefore, it is essential to develop significant safety measures for lowering risks and ensuring safety during projects. However, current safety applications are yet to be developed given the increasing number of workplace accidents. Among these, Lean applications have the potential to improve safety standards and enhance safety performance. Within this context, this study develops components for Lean implementation and construction safety performance, and it presents a conceptual framework to study the relationship between them. A questionnaire was designed and given to Lean practitioners to quantify the impact of the components. Structural Equation Modelling was used to analyse the framework and validate the relationship between Lean implementation and safety performance. The results of the study indicate that there is a significant relationship between Lean implementation and safety performance. The findings also imply that firms that perform well in implementing Lean practices achieve better safety performance. The primary contribution of this research is to prove that Lean practices are closely related to safety performance, with the aim of encouraging construction practitioners to work in a safer environment by using well-established Lean practices. Moreover, the study aims to expand the use of Lean practices to achieve better safety performance by revealing the strong ties between safety and Lean. Finally, this study can guide construction practitioners to adopt Lean techniques and apply them in their projects to enhance safety performance.     

黄河流域水资源空间利用结构的实证分析

以投入产出技术为基础,利用结构分解分析技术构建了水资源空间结构分解分析模型,并对黄河流域水资源利用和消费方式情况做了详实的结构分解分析,揭示了黄河流域水资源利用和消费的不合理结构,提出了合理利用水资源的有效措施.     

Centralized resource allocation based on efficiency analysis for step-by-step improvement paths

The existing centralized resource allocation models often assume that all of the DMUs are efficient after resource allocation. For the DMU with a very low efficiency score, it means the dramatic reduction of the resources, which can cause the organizational resistance. In addition, in reality, it is particularly difficult for the DMUs to achieve their target efficiencies in a single step, especially when they are far from the efficient frontier. Thus, gradual progress towards benchmarking targets is gaining importance. In this paper, we present a new approach for resource allocation based on efficiency analysis under a centralized decision-making environment. Through our approach, the central decision-maker can obtain a sequence of intermediate benchmark targets based on efficiency analysis, which provide a level-wise improvement path to direct the DMUs to reach their ultimate targets on the efficient frontier in an implementable and realistic manner. Numerical examples are presented to illustrate the application procedure of the proposed approach.     

Information quality deficiencies in delivery schedules and their impact on production scheduling

The purpose of this paper is to explore how different delivery schedule characteristics affect the quality of shared delivery schedule information and, in turn, how deficiencies in quality affect a supplier’s production scheduling process. It describes a case study conducted in the Swedish automotive industry involving a supplier that operates as the first-, second- and third-tier supplier to an original equipment manufacturer. The study reveals how four delivery schedule characteristics – namely, receiving frequency, planning period, frozen period and demand variation – create information quality (IQ) deficiencies in five dimensions of IQ: completeness, conciseness, reliability, timeliness and credibility. At the same time, it demonstrates how such deficiencies affect the supplier’s production scheduling process by requiring additional rescheduling, reworking and follow-up activities as well as additional capacity problems, safety time, safety stock and backlogs. In effect, the paper extends previous IQ-related research by considering IQ in delivery schedules.     

Ecological risk-benefit analysis of a wetland development based on risk assessment using "expected loss of biodiversity".

Ecological risk from the development of a wetland is assessed quantitatively by means of a new risk measure, expected loss of biodiversity (ELB). ELB is defined as the weighted sum of the increments in the probabilities of extinction of the species living in the wetland due to its loss. The weighting for a particular species is calculated according to the length of the branch on the phylogenetic tree that will be lost if the species becomes extinct. The length of the branch on the phylogenetic tree is regarded as reflecting the extent of contribution of the species to the taxonomic diversity of the world of living things. The increments in the probabilities of extinction are calculated by a simulation used for making the Red List for vascular plants in Japan. The resulting ELB for the loss of Nakaikemi wetland is 9,200 years. This result is combined with the economic costs for conservation of the wetland to produce a value for the indicator of the "cost per unit of biodiversity saved." Depending on the scenario, the value is 13,000 yen per year-ELB or 110,000 to 420,000 yen per year-ELB (1 US dollar = 110 yen in 1999).     

基于DEA/AR博弈交叉效率方法的学术期刊评价研究

学术期刊的评价问题是期刊研究领域的重要课题之一.传统数据包络分析方法在评价多维指标下的期刊绩效时都是基于“自评”模式.由于未能考虑“他评”,造成评价结果容易被夸大等问题.本文在非合作博弈框架下基于数据包络分析/保证域博弈交叉效率方法研究期刊的投入产出绩效评价问题,并选取17种中国科技核心期刊为例展开分析.研究发现:1)某些具有很高行业影响力的期刊,虽然具有较高的产出值,但是刊文量较多,导致实际评价结果不够理想;2)指标权重的偏好变化会使得期刊评价值出现增加、不变和减少三种情况;3)期刊在自引频次上存在着过度、适度和不足三种情形.相关评价结果可为期刊工作者在提升期刊竞争力方面提供决策参考.