The performance of a supply chain can be evaluated in either a cross-sectional or a time series manner, and data envelopment analysis is a useful method for both types of evaluation. In this paper we develop an index and indicator of productivity change that can be used with radial and non-radial models for supply chain malmquist index. The supply chain malmquist productivity index (SCMPI) can ...

Road safety index is an important indicator that has been recently introduced as a useful tool to measure the quality of life in many countries and cities. Road safety index is a complex index and it has at least three main components, including road user behavior, vehicle safety, and road infrastructure effects. Many researchers have selected studying road performance from road safety index pe...

The study shows the areas in which inefficient mutual funds are lagging behind and how they can improve their performance to bring them at par with other efficient mutual funds. Using data envelopment analysis approach, this study compares the relative efficiency of aggressive growth mutual funds. We study the efficiency of mutual funds in terms of risk-adjusted performance, load, 12b-1 plan, a...

one of the most applicable methods to measure efficiency is using data envelopment analysis (dea) models. dea measures efficiency for some homogenous units (units with the same inputs and outputs) and determines efficient and non-efficient units. since the evaluated efficiency for each unit is a relative value, it is clear that each unit tries to improve its performance and preserve (or even im...

the failure mode and effects analysis (fmea) is a widely used analytical technique that helps to identify and reduce the risks of failure in a system, component, or process. one important issue of fmea is the determination of the risk priorities of failure modes. risk ranking is produced in order to prioritize the focus on each of the failure modes that are identified. in this study, we applied...

Efficiency and evaluation is one of the main and most important demands of organizations, companies and institutions. As these organizations deal with a large amount of data, therefore, it is necessary to evaluate them on the basis of scientific methods to improve their efficiency. Data envelopment analysis is a suitable method for measuring the efficiency and performance of organizations. This...

Klaus Böcker and Claudia Klüppelberg investigate a simple loss distribution model for operational risk. They show that, when loss data are heavy-tailed (which in practice they are), a simple closed-form approximation for the OpVaR can be obtained. They apply this approximation in particular to the Pareto severity model, for which they obtain also a simple time scaling rule for the operational VaR.

Background and Research Objectives The risk assessment of high dimensional portfolios (X1, X2, . . . , Xd) is a core issue in the regulation of financial institutions and in quantitative risk management. In this regard, one usually attempts to measure the risk of the aggregate portfolio (defined as the sum of individual risks Xi) using a risk measure (such as the variance or the Value-at-Risk (...

This paper presents a general tail approximation method for evaluating the Valueat-Risk of any norm of random vectors with multivariate regularly varying distributions. The main result is derived using the relation between the intensity measure of multivariate regular variation and tail dependence function of the underlying copula, and in particular extends the tail approximation discussed in E...