Data Envelopment Analysis in the Financial Services Industry : A Guide for Practitioners and Analysts Working in Operations Research Using DEA.

By: Paradi, Joseph CContributor(s): Sherman, H. David | Tam, Fai KeungMaterial type: TextTextSeries: eBooks on DemandInternational Series in Operations Research and Management Science Ser: Publisher: Cham : Springer, 2017Copyright date: ©2018Description: 1 online resource (379 pages)Content type: text Media type: computer Carrier type: online resourceISBN: 9783319697253Subject(s): Industrial management-Effect of inflation onGenre/Form: Electronic books.Additional physical formats: Print version:: Data Envelopment Analysis in the Financial Services Industry : A Guide for Practitioners and Analysts Working in Operations Research Using DEADDC classification: 658.15 LOC classification: HF4999.2-6182Online resources: Click here to view this ebook.
Contents:
Intro -- Foreword -- Acknowledgments -- Contents -- List of Figures -- List of Tables -- Introduction -- References: Introduction -- Data Envelopment Analysis, in Brief, with Little Math! -- Introduction -- Chapter 1: DEA Models Overview -- Basic DEA Models -- Introduction -- Model Types -- Radial Models: CCR -- Radial Models: BCC -- Additive Models -- SBM Model -- Practical Extensions -- Input, Output, and Data Issues -- Inputs and Outputs -- The DEA ``Family Tree´´: Evolution of Applications and Methodology -- Summaries of DEA Research and Publications -- Methodological Developments -- Application Developments -- First Use of DEA in Banking by Topic: DEA Banking Timeline -- Appendix: Chapter 1 (Sherman and Zhu 2006) -- How DEA Works and How to Interpret the Results -- The Mathematical Formulation of DEA -- References -- Chapter 2: Survey of the Banking Literature -- Introduction -- Literature Pertinent to This Work -- References -- Chapter 3: Survey of Other Financial Services Literature -- Introduction -- Thrifts and Similar Institutions -- Insurance -- Investment Funds (Mutual Funds, Hedge Funds and Pension Funds) -- Mutual Funds -- Hedge Funds -- Pension Funds -- Stock Selection -- Concluding Remarks -- References -- DEA in Banking -- Introduction -- Reference -- Chapter 4: Banking Corporation Studies: In-Country Studies -- Introduction -- Case 1: Indonesia -- Case 2: India -- Different Points of View Result in Different Outcomes -- References -- Chapter 5: Banking Corporation Studies: Multinational Studies -- Introduction -- Cross-Country Bank Branch Comparisons -- References -- Chapter 6: Bank Branch Productivity Applications: Basic Applications - Efficiency Measurement -- Introduction -- References -- Chapter 7: Bank Branch Productivity Applications: Managing Bank Productivity -- Introduction -- Applying DEA to Growth Bank.
Specifying Resource Inputs and Service Outputs -- DEA Branch Productivity Results -- Conclusions -- References -- Chapter 8: Bank Branch Productivity Applications: Focused Applications to Improve Performance -- Introduction -- Improvement Targets for Efficient DMUs -- References -- Chapter 9: Bank Branch Productivity Applications: Strategic Branch Management Issues Addressed with DEA -- Introduction -- Concluding Remarks -- References -- Chapter 10: Bank Branch Operational Studies Using DEA -- Introduction -- Mergers and Acquisition: Potential Use of DEA to Monitor and Manage the Process -- Product Efficiency and Business Growth -- Conclusions -- References -- Chapter 11: Bank Branch Benchmarking with Quality as a Component -- Introduction -- Topic 1: Incorporating Quality Variables into a DEA Model -- Topic 2: Incorporating Quality as a Separate Dimension in DEA -- Introduction -- Incorporating Quality into DEA Benchmarking -- Model I: Standard DEA Model -- Model II: Quality as an Output in a Standard DEA Model -- Model III: Independent Quality and Productivity Dimensions -- Model IV: Quality-Adjusted DEA: Q-DEA -- Q-DEA Benchmarking with Application to a Bank Branch Network -- Phase 1: Improve Branch Network Quality -- Phase 2: Use Q-DEA to Reduce Branch Network Operating Costs -- Results of Q-DEA Benchmarking -- Conclusion and Future Directions -- References -- Non-banking Financial Services -- Introduction -- Chapter 12: Securities Market Applications: Risk Measurement of IPOs -- Introduction -- Objectives -- Phase I: Comparable Selection -- Pool of Candidates -- Variable Selection -- Negative Data -- Non-discretionary Factors -- Efficient IPOI Treatment -- Outliers -- Algorithm of Phase I -- Phase II: Short-Term Risk Assessment -- Stock Pricing Model -- Distribution of Stock Price 90 Days After the Issuing Day.
Calibrating the Distance Equation -- Validation of the Proposed Methodology -- Conclusion -- References -- Chapter 13: Securities Market Applications: Pension, Mutual and Hedge Fund Insights with DEA -- Topic 1: Pension and Mutual Funds -- Introduction -- Background on Pension and Mutual Funds -- Pension Funds (PFs) -- Mutual Funds (MFs) -- Comparing Pension Funds and Mutual Funds -- Data and Variables -- Methodology: Directly Comparing PFs and MFs -- Results and Discussion: Directly Comparing PFs and MFs -- Considering All DMUs -- Combining Efficient DMUs -- Methodology: Bridging Pension Funds and Mutual Funds Indirectly -- Results and Discussion: Bridging Pension Funds and Mutual Funds Indirectly -- Conclusions -- Topic 2: Hedge Funds -- Introduction -- Examining Funds of Funds Type Hedge Funds -- Hedge Fund Performance -- Hedge Fund Efficiency -- Hedge Fund Strategies -- Concluding Remarks Regarding Hedge Funds and DEA -- References -- Chapter 14: Securities Market Applications: Stock Market Valuation of Securities and Financial Services - Insights with DEA -- Introduction -- Topic 1: Stock Market Pricing Efficiency -- Topic 2: Private Firm Valuation -- Topic 3: Market Value Relationship to Corporate (Banking) Activity -- Introduction -- Topic 4: Stock Selection for Portfolios -- Introduction -- Data and Method Utilized -- Results -- Conclusions -- References -- Chapter 15: Financial Services Beyond Banking: Credit Unions -- References -- Chapter 16: Financial Services beyond Banking: Insurance -- Introduction -- Topic 1: The Canadian Insurance Industry -- Insurance Models and Input/output Specifications -- Model I: Production Performance Approach -- Model II: Investment Performance Approach -- Analysis and Results -- Analysis by Insurer Characteristics -- Summary and Conclusions -- Topic 2: The Chinese Insurance Industry -- Conclusions.
References -- Chapter 17: Financial Services Beyond Banking: Corporate Failure Prediction -- Conclusions -- References -- Chapter 18: Financial Services Beyond Banking: Risk Tolerance Measures for Portfolio Investors -- References -- Part IV: Guidance on Applying DEA, Interpreting Results, Recognizing Caveats and Other Useful Information -- Chapter 19: Guide to DEA Model Formulation -- Introduction -- DEA Model Formulation: A Guide to Applying DEA to Evaluate and Manage Performance -- Objectives of the Analysis -- Operations of the Set of DMUs -- Defining Inputs and Outputs: Adequacy and Completeness of the Data -- Preliminary DEA Analysis: Testing the Reasonableness of the Results -- Using the Efficiency Scores: Limitations of Ranking -- Using the Information on Excess Resources and Excess Capacity -- Increasing the Power of the Analysis: Adjusting Constraints and Weights on Inputs and Outputs -- Impact of Other DMU Characteristics: Categorical Variables, Segmenting the Analysis, Quality -- Developing Best Practice Benchmarks -- Management of the Process: Converting DEA Results into Initiatives to Improve Performance -- Pitfalls and Roadblocks -- Results Interpretation (Graphs, Reports, Etc.) -- Conclusions -- References -- Part V: Conclusions -- Chapter 20: Conclusions and Recommendations -- Reference -- List of DEA Software -- About the Authors -- Joseph C. Paradi, PhD, PEng, FCAE -- H. David Sherman, PhD, MBA, DBA, CPA -- Fai Keung Tam, PhD -- DEA Books -- Index.
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Intro -- Foreword -- Acknowledgments -- Contents -- List of Figures -- List of Tables -- Introduction -- References: Introduction -- Data Envelopment Analysis, in Brief, with Little Math! -- Introduction -- Chapter 1: DEA Models Overview -- Basic DEA Models -- Introduction -- Model Types -- Radial Models: CCR -- Radial Models: BCC -- Additive Models -- SBM Model -- Practical Extensions -- Input, Output, and Data Issues -- Inputs and Outputs -- The DEA ``Family Tree´´: Evolution of Applications and Methodology -- Summaries of DEA Research and Publications -- Methodological Developments -- Application Developments -- First Use of DEA in Banking by Topic: DEA Banking Timeline -- Appendix: Chapter 1 (Sherman and Zhu 2006) -- How DEA Works and How to Interpret the Results -- The Mathematical Formulation of DEA -- References -- Chapter 2: Survey of the Banking Literature -- Introduction -- Literature Pertinent to This Work -- References -- Chapter 3: Survey of Other Financial Services Literature -- Introduction -- Thrifts and Similar Institutions -- Insurance -- Investment Funds (Mutual Funds, Hedge Funds and Pension Funds) -- Mutual Funds -- Hedge Funds -- Pension Funds -- Stock Selection -- Concluding Remarks -- References -- DEA in Banking -- Introduction -- Reference -- Chapter 4: Banking Corporation Studies: In-Country Studies -- Introduction -- Case 1: Indonesia -- Case 2: India -- Different Points of View Result in Different Outcomes -- References -- Chapter 5: Banking Corporation Studies: Multinational Studies -- Introduction -- Cross-Country Bank Branch Comparisons -- References -- Chapter 6: Bank Branch Productivity Applications: Basic Applications - Efficiency Measurement -- Introduction -- References -- Chapter 7: Bank Branch Productivity Applications: Managing Bank Productivity -- Introduction -- Applying DEA to Growth Bank.

Specifying Resource Inputs and Service Outputs -- DEA Branch Productivity Results -- Conclusions -- References -- Chapter 8: Bank Branch Productivity Applications: Focused Applications to Improve Performance -- Introduction -- Improvement Targets for Efficient DMUs -- References -- Chapter 9: Bank Branch Productivity Applications: Strategic Branch Management Issues Addressed with DEA -- Introduction -- Concluding Remarks -- References -- Chapter 10: Bank Branch Operational Studies Using DEA -- Introduction -- Mergers and Acquisition: Potential Use of DEA to Monitor and Manage the Process -- Product Efficiency and Business Growth -- Conclusions -- References -- Chapter 11: Bank Branch Benchmarking with Quality as a Component -- Introduction -- Topic 1: Incorporating Quality Variables into a DEA Model -- Topic 2: Incorporating Quality as a Separate Dimension in DEA -- Introduction -- Incorporating Quality into DEA Benchmarking -- Model I: Standard DEA Model -- Model II: Quality as an Output in a Standard DEA Model -- Model III: Independent Quality and Productivity Dimensions -- Model IV: Quality-Adjusted DEA: Q-DEA -- Q-DEA Benchmarking with Application to a Bank Branch Network -- Phase 1: Improve Branch Network Quality -- Phase 2: Use Q-DEA to Reduce Branch Network Operating Costs -- Results of Q-DEA Benchmarking -- Conclusion and Future Directions -- References -- Non-banking Financial Services -- Introduction -- Chapter 12: Securities Market Applications: Risk Measurement of IPOs -- Introduction -- Objectives -- Phase I: Comparable Selection -- Pool of Candidates -- Variable Selection -- Negative Data -- Non-discretionary Factors -- Efficient IPOI Treatment -- Outliers -- Algorithm of Phase I -- Phase II: Short-Term Risk Assessment -- Stock Pricing Model -- Distribution of Stock Price 90 Days After the Issuing Day.

Calibrating the Distance Equation -- Validation of the Proposed Methodology -- Conclusion -- References -- Chapter 13: Securities Market Applications: Pension, Mutual and Hedge Fund Insights with DEA -- Topic 1: Pension and Mutual Funds -- Introduction -- Background on Pension and Mutual Funds -- Pension Funds (PFs) -- Mutual Funds (MFs) -- Comparing Pension Funds and Mutual Funds -- Data and Variables -- Methodology: Directly Comparing PFs and MFs -- Results and Discussion: Directly Comparing PFs and MFs -- Considering All DMUs -- Combining Efficient DMUs -- Methodology: Bridging Pension Funds and Mutual Funds Indirectly -- Results and Discussion: Bridging Pension Funds and Mutual Funds Indirectly -- Conclusions -- Topic 2: Hedge Funds -- Introduction -- Examining Funds of Funds Type Hedge Funds -- Hedge Fund Performance -- Hedge Fund Efficiency -- Hedge Fund Strategies -- Concluding Remarks Regarding Hedge Funds and DEA -- References -- Chapter 14: Securities Market Applications: Stock Market Valuation of Securities and Financial Services - Insights with DEA -- Introduction -- Topic 1: Stock Market Pricing Efficiency -- Topic 2: Private Firm Valuation -- Topic 3: Market Value Relationship to Corporate (Banking) Activity -- Introduction -- Topic 4: Stock Selection for Portfolios -- Introduction -- Data and Method Utilized -- Results -- Conclusions -- References -- Chapter 15: Financial Services Beyond Banking: Credit Unions -- References -- Chapter 16: Financial Services beyond Banking: Insurance -- Introduction -- Topic 1: The Canadian Insurance Industry -- Insurance Models and Input/output Specifications -- Model I: Production Performance Approach -- Model II: Investment Performance Approach -- Analysis and Results -- Analysis by Insurer Characteristics -- Summary and Conclusions -- Topic 2: The Chinese Insurance Industry -- Conclusions.

References -- Chapter 17: Financial Services Beyond Banking: Corporate Failure Prediction -- Conclusions -- References -- Chapter 18: Financial Services Beyond Banking: Risk Tolerance Measures for Portfolio Investors -- References -- Part IV: Guidance on Applying DEA, Interpreting Results, Recognizing Caveats and Other Useful Information -- Chapter 19: Guide to DEA Model Formulation -- Introduction -- DEA Model Formulation: A Guide to Applying DEA to Evaluate and Manage Performance -- Objectives of the Analysis -- Operations of the Set of DMUs -- Defining Inputs and Outputs: Adequacy and Completeness of the Data -- Preliminary DEA Analysis: Testing the Reasonableness of the Results -- Using the Efficiency Scores: Limitations of Ranking -- Using the Information on Excess Resources and Excess Capacity -- Increasing the Power of the Analysis: Adjusting Constraints and Weights on Inputs and Outputs -- Impact of Other DMU Characteristics: Categorical Variables, Segmenting the Analysis, Quality -- Developing Best Practice Benchmarks -- Management of the Process: Converting DEA Results into Initiatives to Improve Performance -- Pitfalls and Roadblocks -- Results Interpretation (Graphs, Reports, Etc.) -- Conclusions -- References -- Part V: Conclusions -- Chapter 20: Conclusions and Recommendations -- Reference -- List of DEA Software -- About the Authors -- Joseph C. Paradi, PhD, PEng, FCAE -- H. David Sherman, PhD, MBA, DBA, CPA -- Fai Keung Tam, PhD -- DEA Books -- Index.

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