List of DEA Software

1. DEAOS - Data Envelopment Analysis On Line (a web based application) see:

http://www.deaos.com/login.aspx?ReturnUrl¼%2fWelcome.aspx
2. 04-EMIS-05 DEA SOFTWARE TOOLS AND TECHNOLOGY – A State-of-
the-Art Survey - Richard S. Barr.
3. DEAFrontier by Joe Zhu, see: http://www.deafrontier.net/.
4. PIM-DEA Emrouznejad & Thanassoulis, see: http://www.deasoftware.co.uk/
AboutDevelopers.asp
5. DEAP – Tim Coelli at: http://www.owlnet.rice.edu/~econ380/DEAP.PDF
6. KonSi Data Envelopment Analysis DEA 5.1 – There are almost 7,000 down-
loads of this software: http://www.dea-analysis.com/.
7. DEA Solver-Pro – see: http://www.saitech-inc.com/Products/Prod-DSP.asp
8. Banxia Frontier Analyst Vs. 4 – http://www.banxia.com/frontier/
9. MaxDEA – A Chinese effort – http://www.maxdea.cn/.
10. Alta-Bering – EPO Software – http://altabering.com/epo-framework/software/
11. pyDEA – is a software package developed in Python for DEA use. Developers:
Andrea Raith, Olga Perederieieva, Fariza Fauzi, Licensed: MIT license. https://
pypi.python.org/pypi/pyDEA

© Springer International Publishing AG 2018 357

J.C. Paradi et al., Data Envelopment Analysis in the Financial Services Industry,
International Series in Operations Research & Management Science 266,
https://doi.org/10.1007/978-3-319-69725-3
About the Authors

Joseph C. Paradi, PhD, PEng, FCAE

Joseph was born in Budapest, Hungary, in 1941

smack into the Second World War. In 1957 he
emigrated to Canada. He attended the University
of Toronto to study Engineering from his basic
degree to a Doctorate. Immediately upon his depar-
ture from the University, he founded a computer
services firm, Dataline Inc. in 1969 and built it into
a large enterprise. In 1987 he sold the firm and in
January 1989 he left to return to his alma mater as a
Professor and has been teaching there ever since.
Dataline served the Financial Services Industry,
but specifically the investment and banking seg-
ments. It is not surprising that his academic inter-
ests turned to banking and other financial
establishments.
But one of the preconditions of returning to the University was that he could
pursue his deep belief that Engineers are the best suited group to start and grow
young high technology enterprises. Being a serial entrepreneur himself and with the
enthusiastic support from the University, a very successful program was created –
the Center for Management of Technology and Entrepreneurship.
His research focus is on the financial world using Data Envelopment Analysis;
he, his students and research associates applied this excellent Operations Research
tool to the improvement of the banking world by measuring and improving branch
operations and other activities in banks. Over time, his research group became one
of the leading such entities in the world in this domain.

© Springer International Publishing AG 2018 359

J.C. Paradi et al., Data Envelopment Analysis in the Financial Services Industry,
International Series in Operations Research & Management Science 266,
https://doi.org/10.1007/978-3-319-69725-3
360 About the Authors

He published his research in European Journal of Operational Research, Omega

Journal, International Journal of Business and Management, International Journal
of Information Technology & Decision Making, Journal of Productivity Analysis,
Annals of Operational Research, Computers & Operations Research and several
others.

H. David Sherman, PhD, MBA, DBA, CPA

H. David Sherman, is professor of accounting at

Northeastern University’s D’Amore-McKim School
of Business. He has served on the faculty of the
MIT Sloan School of Management; was visiting pro-
fessor at Harvard Business School, INSEAD
(France), Naval Postgraduate School, Technion
(Israel); and was an Academic Fellow in the Division
of Corporate Finance of the SEC. David holds an
M.B.A. and D.B.A. (doctorate) from Harvard Busi-
ness School and an A.B. in economics from Brandeis
University. He is a Certified Public Accountant (CPA) and practiced with Coopers
& Lybrand (now PWC). He has been a CFO of corporate and non-profit organiza-
tions, and has served on several public company and non-profit boards where he
chaired their audit committees. David has consulted on financial performance
issues with major corporations, banks and government organizations.
Professor Sherman is an expert on developing and using financial and
non-financial measures to evaluate and manage performance, on fair value account-
ing and International Financial Reporting Standards (IFRS). His research has long
focused on financial reporting, performance measurement/management, and finan-
cial literacy issues facing corporate management and Boards of Directors in global
businesses.
David’s work on DEA began as a Doctoral student under the direction of
W.W. (Bill) Cooper with a dissertation applying DEA to academic medical centers
(teaching hospitals). This generated a line of DEA research on hospitals, clinics,
physicians and other health care applications. At Sloan, David began exploring
DEA applications to banks that has generated substantial academic and professional
investigation of ways DEA can benefit financial institutions, as reflected in this
volume. Prof. Sherman managed applications of DEA to several of the top 50 US
banks as well as brokerage firms and government organizations.
David’s research is published in academic and professional management
journals including Harvard Business Review, Sloan Management Review,
Accounting Review, Auditing, European Journal of Operations Research, and
Annals of Operations Research. He has been an invited speaker on US and
About the Authors 361

international shareholder reporting issues and financial performance issues at

professional and academic meetings in the United States, Canada, South America,
Europe, and Asia.

Fai Keung Tam, PhD

Fai was born in New Brunswick, Canada, as the son

of immigrants from Hong Kong. Although he has
spent the majority of his time living in Canada, he
has also enjoyed living in France, the UK and the
USA. Fai attended the University of New Brunswick
for his Bachelor’s degree in Engineering before
completing his Ph.D. at the University of Toronto
in Industrial Engineering.
After graduation, he worked in the banking indus-
try with the securities arm of a large Canadian bank.
He had roles in risk management, trading, and quan-
titative analysis for the bank in London, England,
and Chicago.
He is currently working as a researcher at the
Faculty of Applied Science and Engineering at the University of Toronto. He is a
senior research associate in the Center for Management of Technology and Entre-
preneurship with responsibilities for the research outcomes from the many students
working towards their advanced degrees at the CMTE.
He has published in the European Journal of Operational Research, Journal of
Productivity Analysis and was co-author of a chapter of a book published by
Springer International Publishing AG in 2016.
DEA Books

Aparicio, J., Knox Lovell, C.A., Pastor, J.T. (eds.): Advances in Efficiency and Productivity.
Springer Publishers, Switzerland (2017)
Avkiran, N.K.: Productivity Analysis in the Service Sector. University of Queensland, ISBN:
0-9580550-0-9 (2002)
Badillo, P.Y., Paradi, J.C.: La Méthode DEA Analyse des Performances. Hermes, Paris.
ISBN:9–782746-200326 (1999)
Banker, R.A., Emrouznejad, A.L.M., de Almeida, LM.R. (eds.): Data envelopment analysis:
theory and applications, In: Proceedings of the 10th International Conference on DEA, pp
340. Natal, Brazil. ISBN: 978 185449 437 5 (2012)
Banker, R., Emrouznejad, A, Bal, H., Alp, I., Gengiz, M.A.: Data envelopment analysis and
performance measurement. In: Proceedings of the 11th International Conference of DEA.
Samsun, Turkey. ISBN: 978 1 85449 477 1 (2013)
Banker, R., Emrouznejad, A., Vargas, F., Flores, P.: Sustainable development and performance
measurement, In: Proceedings of the International DEA Workshop, September 17–19, 2014,
Hermosillo, Sonora, Mexico, ISBN: 978 1 85449 482 5 (2014)
Coelli, T.J., Rao, D.S.P., O’Donnell, C.J., Battese, G.E.: An Introduction to Efficiency and
Productivity Analysis, 2nd edn. Springer, Dordrecht (2005)
Cook, W.D., Zhu, J.: Modeling Performance Measurement Applications and Implementation
Issues in DEA. Springer, New York. ISBN: 0–387-24137-X (2005)
Cook, W.D., Zhu, J.: Data Envelopment Analysis: Modeling Operational Processes and Measuring
Productivity. Amazon.com, San Bernardino, CA (2008)
Cook, W.D., Zhu, J.: Data Envelopment Analysis: Balanced Benchmarking. Amazon.com, Lex-
ington (2013)
Cook, W.D., Zhu, J.: Data Envelopment Analysis – A Handbook of Modeling Internal Structures
and Networks. Springer, New York (2014)
Charnes, A., Cooper, W.W., Lewin, A.Y., Seiford, L.M.: Data Envelopment Analysis: Theory,
Methodology and Applications. Kluwer, Boston. ISBN: 0–7923–9479-8 (1994)
Cooper, William W., Seiford, Lawrence M., Tone, Kaoru: Data Envelopment Analysis: A
Comprehensive Text with Models, Applications, References and DEA Solver Software, 2nd
Ed., ISBN: 0-387-45281-8 edn. Springer, New York (2007)
Cooper, W.W., Seiford, L.M., Zhu, J. (eds.): Handbook on Data Envelopment Analysis, 2nd edn.
Springer, Boston. ISBN: 978–1–4419-6151-8 (2011)
Daraio, C., Simar, L.: Advanced Robust and Nonparametric Methods in Efficiency Analysis.
Springer, London, NY. ISBN: 0–387–35155-8 (2007)

© Springer International Publishing AG 2018 363

J.C. Paradi et al., Data Envelopment Analysis in the Financial Services Industry,
International Series in Operations Research & Management Science 266,
https://doi.org/10.1007/978-3-319-69725-3
364 DEA Books

Emrouznejad, A., Green, R., Krivonozhko, V. (eds.): Efficiency and Productivity Analysis in the
21st Century: International DEA Symposium 2002. In: Proceedings of the DEA2002 Confer-
ence, Moscow, Russia. International Research Institute of Management Science (IRIMS).
ISBN: 5–93467–007-7. (2002)
Emrouznejad, A., Podinovski, V. (eds.): Data Envelopment Analysis and Performance Manage-
ment. Aston Business School, Birmingham. Warwick University Publisher, 421pp, ISBN:
0 902683 73 X (2004)
Emrouznejad, A., Osman, I.H., Anouze, A.L. (eds.): Performance Management and Measurement
with Data Envelopment Analysis Proceedings of the DEA2010 Conference, p. 258. ISBN:
978 1 85449 481 8. American University of Beirut, Lebanon (2010)
Emrouznejad, A., Ho, W.: Applied Operational Research with SAS, pp 284. Hardback, CRC Press:
Taylor & Francis Ltd. ISBN: 9781439841303. (2012)
Emrouznejad, A., Tavana, M.: Performance Measurement with Fuzzy Data Envelopment Analy-
sis, by: In the series of “Studies in Fuzziness and Soft Computing”. Springer. ISBN 978–3–
642-41371-1 (2014)
Emrouznejad, A., Banker, R., Munisamy, S., Arabi, B.: Theory and applications of data envelop-
ment analysis. In: Proceedings of the 12th International Conference of DEA, April 2014,
University of Malaya, Kuala Lumpur, Malaysia, ISBN: 978 1 85449 487 0 (2014)
Emrouznejad, A.: Big Data Optimization: Recent Developments and Challenges. In the series of
“Studies in Big Data”. Springer, New York. ISBN: 978–3–319-30263-8 (2016)
Emrouznejad, A., Banker R., Ahn, H., Afsharian, M.: Data Envelopment Analysis and its
Applications. In: Proceedings of the 13th International Conference of DEA, August 2015,
Braunschweig, Germany. doi: 10.13140/RG.2.1.4082.9202, ISBN: 978 1 85449 497 9. (2016)
Emrouznejad, A. Cabanda, E. (eds.): Managing Service Productivity: Uses of Frontier Efficiency
Methodologies and MCDM for Improving Service Performance. In the series of “International
Series in Operations Research & Management Science”. Springer. ISBN 978–3–662-43436-9.
(2016)
Emrouznejad, A., Banker R., Ray, S.C., Chen, L.: Recent applications of data envelopment
analysis. In: Proceedings of the 14th International Conference of DEA, May 2016, Jianghan
University, Wuhan, China. ISBN: 978 1 85449 413 9. (2016)
Emrouznejad, A., Ho, W.: Fuzzy Analytic Hierarchy Process. CRC Press: Taylor & Francis, Boca
Raton, FL. ISBN: 9781498732468 (2017)
Färe, R., Grosskopf, S.: The Measurement of Efficiency of Production (Studies in Productivity
Analysis, No 6). by, Knox Lovell, C.A., Kluwer, Boston. ISBN: 089838155X (1985)
Färe, R., Grosskopf, S.: Intertemporal Production Frontiers: With Dynamic DEA. Kluwer, Boston,
MA. ISBN 0–7923–9709-6 (1996)
Harold, O., Fried, C.A., Lovell, K., Schmidt, S.S.: The Measurement of Productive Efficiency.
Oxford University Press, New York. ISBN: 0–19–507218-9 (1993)
Fried, H.O., Knox Lovell, C.A., Schmidt, S.S.: The Measurement of Productive Efficiency and
Productivity Growth. Oxford University Press, Oxford. ISBN: 978–0–19-518352-8 (2008)
Ganley, J.A., Cubbin, J.S.: Public Sector Efficiency Measurement: Applications of Data Envel-
opment Analysis. Elsevier, Amsterdam, NY. ASIN: 0444890475 (1992)
Gregoriou, G.N., Zhu, J.: Evaluating Hedge Fund and CTA Performance: Data Envelopment
Analysis Approach. Wiley, New York (2005)
Haas, F.: Effizienztreiber innovativer Prozesse: Anwendung der Data Envelopment Analysis am
Beispiel der elektronischen C-Teile-Beschaffung (German Edition) (German) 2004th Edition
(n.d.)
Hwang, S.-N., Lee, H.-S., Zhu, J.: Handbook of Decision Making Using Data Envelopment
Analysis. Springer, New York (2016)
Kao, C.: Network Data Envelopment Analysis: Foundations and Extensions (International Series
in Operations Research & Management Science). Springer International Publishing, Cham
(2016)
DEA Books 365

Mantri, J.K. (ed.): Research Methodology on Data Envelopment Analysis (DEA). Universal-
Publishers, Boca Raton (2008)
Manzoni, A., Islam, S.M.N.: Performance Measurement in Corporate Governance: DEA Model-
ling and Implications for Organizational Behavior and Supply Chain Management (Contribu-
tions to Management Science). Physica-Verlag, Heidelberg (2010)
Njock, E.M.: Balance Measurement Methods in Data Envelopment Analysis. Concept, Models
and Applications (2014)
Norman, M., Stoker, B.: Data Envelopment Analysis: The Assessment of Performance. Wiley,
Chichester., ASIN: 0471928356 (1991)
Odeck, J.: Measuring Productivity Growth and Efficiency with Data Envelopment Analysis: An
Application on the Norwegian Road Sector. G€ oteborgs universitet, G€ oteborg. ASIN:
9188514048 (1993)
Osman, I.: Strategic Performance Management and Measurement Using Data Envelopment
Analysis (Advances in Logistics, Operations, and Management Science). Information Science
Reference, Hershey (2013)
Osman, I.H., Anouze, A.L., Emrouznejad, A.: Handbook of Research on Strategic Performance
Management and Measurement Using Data Envelopment Analysis. IGI Global, Hershey, PA.,
ISBN: 978-1-4666-4474-8 (2015)
Ozcan, Y.A., Tone, K.: Health Care Benchmarking and Performance Evaluation: An Assessment
using Data Envelopment Analysis (DEA) (International Series in Operations Research &
Management Science). 2nd ed. 2014 Edition (n.d.)
Ramanathan, R.: An Introduction to Data Envelopment Analysis: A Tool for Performance
Measurement. by, SAGE Publications, Thousand Oaks. ISBN: 076199761X (2003)
Räty, T.: Efficient facets, influential observations, and revisions of the best practice boundary for
DEA. Joensuun yliopisto, Joensuu. ASIN: 9517086261 (1998)
Ray, S.C.: Data Envelopment Analysis: Theory and Techniques for Economics and Operations
Research. Cambridge University Press, Cambridge. ISBN: 0521802563 (2004)
Rui, D.Y.: Data Envelopment Analysis: Theory and Applications. (2000)
Sengupta, J.K.: Dynamic and Stochastic Efficiency Analysis: Economics of Data Envelopment
Analysis. World Scientific Pub Co, Singapore. ISBN: 9810242662 (2000)
Sengupta, J.K.: Efficiency Analysis by Production Frontiers: The Nonparametric Approach.
Kluwer, Dordrecht. ISBN: 0792300289 (1989)
Sengupta, J.K.: Dynamics of Data Envelopment Analysis: Theory of Systems Efficiency. Kluwer,
Boston. ISBN 0–7923–3581-3 (1995a)
Sengupta, J.K.: New Efficiency Theory: With Applications of Data Envelopment Analysis.
Springer, Berlin. ISBN: 3540140131 (2003)
Sengupta, J., Sahoo, B.: Efficiency Models in Data Envelopment Analysis. Palgrave McMillan.
ISBN: 0–230–01886-6. (2006)
Sengupta, J.: Dynamics of Data Envelopment Analysis: Theory of Systems Efficiency. Kluwer
Academic Publishers, Boston (1995b)
Sengupta, J.: New Efficiency Theory: With Applications of Data Envelopment Analysis. Springer,
Berlin (2013)
David Sherman, H.: Service Organization Productivity Management – Research Monograph.
Society of Management Accountants of Canada, Hamilton, ON (1989)
Sherman, D., Zhu, J.: Service Productivity Management: Improving Service Performance using
Data Envelopment Analysis. Springer, New York. ISBN: 0–387–33211-1 (2006)
David Sherman, H.: Measurement of Hospital Efficiency Using Data Envelopment Analysis –
Primary Source Edition Paperback (2014)
Silkman, R.H. (ed.): Measuring Efficiency: An Assessment of Data Envelopment Analysis.
Jossey-Bass, San Francisco. ASIN: 1555429912 (1986)
Suzuki, S., Nijkamp, P.: Regional Performance Measurement and Improvement: New Develop-
ments and Applications of Data Envelopment Analysis (New Frontiers in Regional Science:
Asian Perspectives) Springer Singapore (2017)
366 DEA Books

Sudit, E.F.: Effectiveness, Quality and Efficiency, A Management Oriented Approach. Kluwer,
Boston (1996)
Suzuki, S., Nijkamp, P.: Regional Performance Measurement and Improvement: New Develop-
ments and Applications of Data Envelopment Analysis (New Frontiers in Regional Science:
Asian Perspectives) 1st ed. Singapor, Springer 2017 Edition (n.d.)
Thanassoulis, E.: Introduction to the Theory and Application of Dasta Envelopment Analysis: A
Foundation Text with Integrated Software. Kluwer, ISBN 0–7923–7429-0. (2001)
Thanassoulis, E.: Introduction to the Theory and Application of Data Envelopment Analysis: A
Foundation Text with Integrated Software. by Emmanuel Thanassoulis (2013–03-01) Paper-
back Springer, New York (1838)
Thore, S.A.: Technology Commercialization: DEA and related Analytical Methods for Evaluating
the Use and Implementation of Technical Innovation. Kluwer, Boston. ISBN: 1–4020–7017-9
(2002)
Tone, K.: Advances in DEA Theory and Applications with Extensions to Forecasting Models.
Wiley, Hoboken (2017)
Wei, Q.L.: Data Envelopment Analysis Method for the Measurement of Relative Efficiency
[in Chinese]. People’s University of China Press, Beijing (1988)
Westermann, G. (ed.): Data Envelopment Analysis in the Service Sector. Deutscher Universitäts,
Wiesbaden (n.d.)
Zhu, J.: Quantitative Models for Performance Evaluation and Benchmarking: Data Envelopment
Analysis with Spreadsheets, 3rd edn. Springer Science, New York (2014a)
Zhu, J., Cook, W.D. (eds.): Modeling Data Irregularities and Structural Complexities in Data
Envelopment Analysis. Springer, New York. ISBN: 978-0-387-71606-0 (2007)
Zhu, J.: Quantitative Models for Performance Evaluation and Benchmarking: Data Envelopment
Analysis with Spreadsheets. Springer, Berlin (2008)
Zhu, J., Cook, W.D.: Data Envelopment Analysis: Balanced Benchmarking, Lexington (2013)
Zhu, J.: Data Envelopment Analysis: Let the Data Speak for Themselves. CreateSpace Indepen-
dent Publishing Platform, Middletown (2014b)
Zhu, J.: Data Envelopment Analysis – A Handbook of Models and Methods. Springer, New York
(2015)
Zhu, J.: Data Envelopment Analysis – A Handbook of Empirical Studies and Applications.
Springer, New York (2016)
Index

A Book value, 234, 237, 247, 269, 287

Additive model, 11, 12, 55, 58, 139, 286
Adequacy and completeness of the data, 330,
333–335
Altman z-score, 284–286, 288, 290, 301, 309
Assurance region (AR), 13, 22, 90, 119, 129,
219, 221, 248, 254, 340
Audited annual statements, 194
B Capital expenditure, 193
Banking, 22, 24–27, 29, 30, 41–47, 51, 59, 63,
74, 84, 95, 101, 103, 113, 137, 138, 147,
165, 176, 183, 208, 246, 247, 249,
259–264, 280, 283–307, 309, 321,
341, 355
Bankruptcy prediction, 262, 284–286,
288–290, 296, 297, 300, 306, 355
BCC model, see Radial VRS model
Benchmark, 5, 14, 42, 44, 53, 57, 60, 63, 80,
85, 96–99, 103, 109, 113–116, 121, 122,
126, 145, 167, 207, 212, 221, 224, 226,
241, 261, 263, 285, 307, 336, 337, 344,
347, 350
Best practice, 4, 6, 9, 21, 22, 25, 26, 32, 85,
101, 105, 107–110, 138, 159, 165, 168,
171–173, 176, 177, 179, 182, 183, 259,
273, 291, 331, 335–339, 344, 348, 350
Best practice analysis, 22, 103
Best practice benchmarks, 165, 171, 180, 182,
330, 341
Beta, 61, 234, 236–238, 253, 301
Black-Scholes-Merton formula, 200
Book-to-market value, 235
Branch profitability, 27–29, 80, 150, 151
C
Calmar ratio, 59, 229
CAMEL bank rating system, 285
Capital adequacy, 76, 260
Capital asset pricing model (CAPM), 56, 234
Capital gain, 135, 209, 269
Categorical variable, 14, 43, 57, 132, 214, 215,
330, 340, 341
CCR model, see Radial CRS model
Change in working capital, 193
Claims incurred, 267
Comparable firms, 190, 191, 196, 199
Cone-ratio, 13, 22, 171, 340
Constant returns to scale (CRS), 6, 9, 10,
12–14, 16, 44, 59, 62, 72, 74, 81, 89, 90,
92, 93, 99, 105, 114, 119, 122–125, 129,
130, 135, 136, 148, 150, 160, 161, 248,
269, 272, 274, 275, 335, 345
Convexity assumption, 285
Correlated, 17, 58, 90, 136, 161, 201, 252, 267,
298, 299, 316, 318, 323, 324, 335
Cost efficiencies, 29, 43, 45, 46, 54, 90, 95, 247
Covariance, 234, 236
Credit risk, 261, 276, 283, 290
Credit unions, 25, 51, 52, 259–264
Cross-efficiency, 15, 58, 60, 62, 225
Cross-period, 16

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368
D G
Data acquisition, 333
DEA productivity analysis, 173
DEAzone, 288, 290
Debt in current and long-term liabilities, 193
Decision trees, 51, 285, 286, 343
Diagonal matrix, 14
Disaggregation, 43, 195
Discretionary variable, 196, 213, 215
Discriminatory power, 7, 15, 19, 132, 152,
153, 163, 219, 221, 222, 224, 269, 298,
301, 302
Diseconomies of scale, 332
Diseconomies of scope, 55
Domestic branches, 84, 122
Dual of a linear program, 37
Durbin Watson statistic, 221
E Inefficiency, 4, 10, 24–26, 31–34, 42, 44, 47,
Earnings before interest, 194, 293
Earnings Before Interest, Taxes, Depreciation
and Amortization (EBITDA), 194, 294
Earnings-to-price-ratio, 235
Economies of scale, 55, 87, 177, 275, 332
Efficiency change (EC), 15, 42, 47, 61, 122,
259, 260
Efficiency measurement, 4, 41, 44, 74, 90, 150,
261, 344
Efficiency reference set (ERS), 32–34, 337
Efficient peers, 126, 191, 193, 194, 196,
197, 242
Empirically efficient, 117
Envelopment form, 6, 8–12, 113, 114, 139,
148, 213, 241
Environmental factors, 13, 43, 45, 129, 149,
152, 276
Equity/asset ratio, 261–264
Expected return, 63, 234, 236–239, 253, 322
F J
Factor analysis, 335
Fair and equitable, 5, 73, 113, 138, 343
False negative, 283, 284
False positive, 283, 284
FinaMetrica, 315–319
Financial intermediation, 42, 52, 53, 60, 95, 99,
247, 248, 273
Financial ratios, 207, 260, 284–286, 298
Financial statements, 26, 61, 192, 194, 240,
241, 297–299, 301
Frontier approach, 4, 46
Fundamental firm characteristic, 235
Index
General expenses, 89, 267
Geometric Brownian motion (GBM), 189, 200,
201, 205
Gross domestic product, 193
Gross profit, 193
H
Hedge fund, 58, 59, 75, 224–229, 355
High productivity, 165, 171, 173, 177–179
Hybrid variable, 335
Hyperplanes, 96, 97, 194, 195
Hypothetical branch, 33
I
In sample, 264, 295, 296
Income return on assets, 260
58, 59, 92, 98, 99, 102, 108, 125, 134,
137, 145, 164, 179, 194, 221, 227, 239,
259, 270, 273, 277, 285, 297, 332, 334,
337, 338, 340
Inefficient unit, 4–7, 19, 32–34, 44, 114, 126,
162, 198, 207, 221, 261
Inertia, 235
Initial public offerings (IPOs), 197, 240
Input orientation, 269, 344
Inputs and outputs, 4, 6, 8, 11, 13, 16, 17,
20–22, 24, 26, 35, 52, 53, 58, 62, 72,
75, 76, 88, 90, 92, 96, 113, 114, 117,
119–121, 132, 134, 152–154, 164,
176, 178, 191, 193–195, 198, 212,
213, 217, 226–228, 237, 241, 247, 248,
267–269, 275, 276, 291, 294, 298, 322,
330, 332–336, 338–340, 342, 344,
345, 356
Investment banking, 80, 187, 246
Jarque-Bera statistic, 226
Jensen alpha, 255
K
Know your customer or client (KYC), 313,
318, 324
L
Labor expenses, 53, 267
Layering, 138, 295, 296, 302–306, 308, 309
Index
Leverage, 58, 59, 61, 224, 235
Linear programming (LP), 3, 7–9, 34, 36, 57,
286, 344, 355
Linear regression, 163, 276, 277
Liquidation value, 234
Low cost, 165, 171, 174, 176, 177, 179, 210
M Outliers, 138, 156, 198, 211, 218
Macroeconomic variables, 235
Malmquist index (MI), 15, 16, 23, 26, 30,
47, 335
Management practice, 34, 223
Mann-Whitney-Wilcoxon test, 251, 270, 274
Marginal values, 114, 337
Market-based approach, 240
Market capitalizations, 238, 240–242, 245, 251
Market information, 189, 191
Market prices, 4, 129, 188, 190, 192, 193, 203,
233–235, 240
Markowitz, 63, 234, 253
Merger, 27, 29, 45, 46, 54, 55, 137, 145–152,
208, 240, 259, 260
Method of comparables, 240
Minimum number of DMUs, 7, 198, 334
Miscellaneous other expenses, 53, 81
Modified Sharpe ratio, 58, 59, 226, 227, 229
Momentum, 58, 61, 62, 235
Multiplier form, 8–13, 15, 35, 55, 93, 96, 114,
119, 132, 147, 213, 221, 222
Multipliers, 8, 9, 11, 15, 37, 55, 57, 96, 114,
119, 148, 213, 221, 223
Mutual funds, 56–58, 63, 207–224
N Quality levels, 166, 171, 173, 174
Negative data, 195
Negative DEA, 290, 291, 294–296, 308, 335
Net asset value (NAV), 57, 210, 228
Net income (NI), 28, 193–196, 241, 293, 298,
307
Non-controllable variables, 13, 14, 43, 81, 161
Non-discretionary variables, 130, 148, 154,
213, 215–217, 223
Non-interest expenses, 74, 129, 146, 247,
248, 261
Non-negative inputs, 195, 287
Non-oriented models, 11, 88, 299, 335
O Relatively efficient, 7, 32–34, 44, 105
Office of the Superintendent of Financial
Institutions (OSFI), 209, 211, 213, 214,
216, 217, 269
369
Operating cash flow, 193, 194
Operating efficiencies, 23, 165, 332, 337
Operationally similar peers, 138
Operations research (OR), 207, 285, 343,
344, 356
Optimal weights, 13, 15, 61, 96, 98, 114,
237, 241
Out of sample, 264, 288, 289, 292, 296
Output orientation, 44, 111, 344
Overestimates, 57, 173, 204, 216
P
Pension funds, 59, 60, 75, 207–219,
221–224, 265
Performance rankings, 29, 47, 229
Pitfalls, 329, 342–345, 350
Price to earnings ratio (P/E), 234, 240, 252, 253
Primal program, 8
Principal component analysis (PCA), 59,
155, 228
Production approach, 53, 59, 267, 270,
271, 273
Production possibility set, 6, 17, 57, 97, 198
Productivity levels, 172, 173
Profit and loss statements, 102, 176
Profitability model, 80–83, 89, 136, 150, 151
Proportional, 11, 12, 81, 241
Pseudo-allocative efficient, 96, 98
Pseudo-overall efficient, 96, 99
Psychological, 314, 315, 321–323, 325
Q
R
Radial CRS model, 5–9
Radial model, 5, 9, 10, 13, 72, 93, 99, 114, 122,
135, 148, 150, 160, 168, 194–196, 261,
316, 337
Radial VRS model, 11, 20, 58, 72, 96, 152, 213,
214, 226, 294
Ranking DMUs, 337, 338
Reference set, 5, 32, 34, 60, 105, 114,
116, 126, 139, 140, 168, 174, 179,
191, 194, 220, 240, 242, 245, 336,
338, 341, 344
Retail banking, 79, 81, 259
Return on equity (ROE), 252, 298, 299
Return volatility, 253
370 Index

Revenue, 11, 28, 53, 55, 62, 80, 81, 88, 89, 95, Super-efficiency, 14, 15, 22, 58, 60, 117, 190,
97, 129, 135, 136, 146, 240, 248, 259, 197, 198, 225
266, 283 Support vector machine, 56, 285
Risk aversion, 296, 314
Risk estimates, 188, 190, 199, 200, 204
Risk factors, 236, 276, 277 T
Risk premium, 235, 314 Technical analysis, 235
Risk tolerance, 323 Technical change (TC), 16
Roadblocks, 342–345 Technical factors, 235
RTS assumptions, 12, 17, 57, 125, 161 Technological change, 15
Time series data, 15, 335
Total factor productivity, 15, 47, 54, 266
S Translation invariant, 12, 153, 237, 241, 287
Sales, general and administrative expenses Treynor measure, 238, 239
(SGA), 193, 298 Type I error, 283, 284, 288, 289, 295, 301–306
Scale economies, 46, 266, 269, 332, 338 Type II error, 283, 284, 286, 288, 295, 302–305
Scale effects, 332
Scale efficiencies, 10, 60, 72, 89, 90, 92, 99,
130, 137, 161 U
Self-fulfilling prophecy, 235 Undervalues, 62, 173
Selling expenses, 193 Undeterminable status, 337
Service production, 247 Unit invariant, 12
Shareholders’ equity (SE), 146, 193, 194, 241,
248, 293, 294, 298, 308
Sharpe ratio, 56, 58, 59, 62, 63, 226, 227, 229 V
Slack-based measure (SBM), 5, 12, 44, 60, 114, Value-added approach, 53
136, 139–141, 195, 227, 240, 241, 261, Value-at-risk (VaR), 58, 189, 190, 199, 204,
286, 287, 289, 291, 298, 299, 304, 205, 226, 228
316–318, 322, 324 Variable selection, 16, 17, 59, 79, 193, 194,
Slacks, 7, 11, 12, 14, 55, 81, 114, 116, 139, 156, 228, 292
194, 196, 197, 254, 261, 276, 277
Sorting mechanism, 76, 190, 200
Sortino ratio, 229 W
Spearman correlation, 226, 323 Weight restrictions, 13, 15, 19, 22, 90, 92, 93,
Spread ratio, 92–95 99, 119, 129, 130, 219, 222, 238, 248,
S&P sector index, 62, 193, 194, 199 339, 340
Stock market performance, 246, 251, 252, Window analysis, 15, 249, 250, 252, 306
301, 302 Worst practice, 44, 290, 291
Stock pricing model, 200, 201