A flexible cost function model with risk

In examining bank cost efficiency in banking inclusion of risk-taking of banks is very important. In this paper we depart from the standard modeling approach and view risk intimately related to the technology. Thus, instead of controlling for risk by viewing them as covariates in the standard cost function we argue that the technology differs with risk, thereby meaning that the parameters of the parametric cost function changes with risk in a fully flexible manner. This is accomplished by viewing the parameters of the cost function as nonparametric functions of risk. We also control for country-specific effects in a fully flexible manner by using them as arguments of the nonparametric functions along with the risk variable. The resulting cost function then becomes semiparametric. The standard parametric model becomes a special case of our semiparametric model. We use the above modeling approach for banks in the EU countries. Actually, European financial integration is seen as a stepping stone for the development of a competitive single EU market that promotes efficiency and increases consumer welfare, changing the risk profile of the European banks. Particularly, financial integration allows more risk diversification and permits banks to use more advanced risk management instruments and systems, however it has at the same time increased the probability of systematic risks. Financial integration has increased the risk of contagion and changed its nature and scope. Consequently the bank’s risk seems to be an important issue to be investigated.

Parametric pattern selection in a reaction-diffusion model

We compare spot patterns generated by Turing mechanisms with those generated by replication cascades, in a model one-dimensional reaction-diffusion system. We determine the stability region of spot solutions in parameter space as a function of a natural control parameter (feed-rate) where degenerate patterns with different numbers of spots coexist for a fixed feed-rate. While it is possible to generate identical patterns via both mechanisms, we show that replication cascades lead to a wider choice of pattern profiles that can be selected through a tuning of the feed-rate, exploiting hysteresis and directionality effects of the different pattern pathways.

A computational model of hydrogen production by steam reforming of dimethyl ether in a large scale CFB reactor. Part II:parametric analysis

This study presents a computational parametric analysis of DME steam reforming in a large scale Circulating Fluidized Bed (CFB) reactor. The Computational Fluid Dynamic (CFD) model used, which is based on Eulerian-Eulerian dispersed flow, has been developed and validated in Part I of this study [1]. The effect of the reactor inlet configuration, gas residence time, inlet temperature and steam to DME ratio on the overall reactor performance and products have all been investigated. The results have shown that the use of double sided solid feeding system remarkable improvement in the flow uniformity, but with limited effect on the reactions and products. The temperature has been found to play a dominant role in increasing the DME conversion and the hydrogen yield. According to the parametric analysis, it is recommended to run the CFB reactor at around 300 °C inlet temperature, 5.5 steam to DME molar ratio, 4 s gas residence time and 37,104 ml gcat -1 h-1 space velocity. At these conditions, the DME conversion and hydrogen molar concentration in the product gas were both found to be around 80%.

Assessing pupil and school performance by non-parametric and parametric techniques

This paper discusses the use of the non-parametric free disposal hull (FDH) and the parametric multi-level model (MLM) as alternative methods for measuring pupil and school attainment where hierarchical structured data are available. Using robust FDH estimates, we show how to decompose the overall inefficiency of a unit (a pupil) into a unit specific and a higher level (a school) component. By a sample of entry and exit attainments of 3017 girls in British ordinary single sex schools, we test the robustness of the non-parametric and parametric estimates. Finally, the paper uses the traditional MLM model in a best practice framework so that pupil and school efficiencies can be computed.

Assessing pupil and school performance by non-parametric and parametric techniques

Often observations are nested within other units. This is particularly the case in the educational sector where school performance in terms of value added is the result of school contribution as well as pupil academic ability and other features relating to the pupil. Traditionally, the literature uses parametric (i.e. it assumes a priori a particular function on the production process) Multi-Level Models to estimate the performance of nested entities. This paper discusses the use of the non-parametric (i.e. without a priori assumptions on the production process) Free Disposal Hull model as an alternative approach. While taking into account contextual characteristics as well as atypical observations, we show how to decompose non-parametrically the overall inefficiency of a pupil into a unit specific and a higher level (i.e. a school) component. By a sample of entry and exit attainments of 3017 girls in British ordinary single sex schools, we test the robustness of the non-parametric and parametric estimates. We find that the two methods agree in the relative measures of the scope for potential attainment improvement. Further, the two methods agree on the variation in pupil attainment and the proportion attributable to pupil and school level.

An Exploration of parametric software cost estimating models for Jackson Systems Development

Most parametric software cost estimation models used today evolved in the late 70's and early 80's. At that time, the dominant software development techniques being used were the early 'structured methods'. Since then, several new systems development paradigms and methods have emerged, one being Jackson Systems Development (JSD). As current cost estimating methods do not take account of these developments, their non-universality means they cannot provide adequate estimates of effort and hence cost. In order to address these shortcomings two new estimation methods have been developed for JSD projects. One of these methods JSD-FPA, is a top-down estimating method, based on the existing MKII function point method. The other method, JSD-COCOMO, is a sizing technique which sizes a project, in terms of lines of code, from the process structure diagrams and thus provides an input to the traditional COCOMO method.The JSD-FPA method allows JSD projects in both the real-time and scientific application areas to be costed, as well as the commercial information systems applications to which FPA is usually applied. The method is based upon a three-dimensional view of a system specification as opposed to the largely data-oriented view traditionally used by FPA. The method uses counts of various attributes of a JSD specification to develop a metric which provides an indication of the size of the system to be developed. This size metric is then transformed into an estimate of effort by calculating past project productivity and utilising this figure to predict the effort and hence cost of a future project. The effort estimates produced were validated by comparing them against the effort figures for six actual projects.The JSD-COCOMO method uses counts of the levels in a process structure chart as the input to an empirically derived model which transforms them into an estimate of delivered source code instructions.

Parametric study of the behaviour of reinforced concrete columns in fire

The research is concerned with the application of the computer simulation technique to study the performance of reinforced concrete columns in a fire environment. The effect of three different concrete constitutive models incorporated in the computer simulation on the structural response of reinforced concrete columns exposed to fire is investigated. The material models differed mainly in respect to the formulation of the mechanical properties of concrete. The results from the simulation have clearly illustrated that a more realistic response of a reinforced concrete column exposed to fire is given by a constitutive model with transient creep or appropriate strain effect The assessment of the relative effect of the three concrete material models is considered from the analysis by adopting the approach of a parametric study, carried out using the results from a series of analyses on columns heated on three sides which produce substantial thermal gradients. Three different loading conditions were used on the column; axial loading and eccentric loading both to induce moments in the same sense and opposite sense to those induced by the thermal gradient. An axially loaded column heated on four sides was also considered. The computer modelling technique adopted separated the thermal and structural responses into two distinct computer programs. A finite element heat transfer analysis was used to determine the thermal response of the reinforced concrete columns when exposed to the ISO 834 furnace environment. The temperature distribution histories obtained were then used in conjunction with a structural response program. The effect of the occurrence of spalling on the structural behaviour of reinforced concrete column is also investigated. There is general recognition of the potential problems of spalling but no real investigation into what effect spalling has on the fire resistance of reinforced concrete members. In an attempt to address the situation, a method has been developed to model concrete columns exposed to fire which incorporates the effect of spalling. A total of 224 computer simulations were undertaken by varying the amounts of concrete lost during a specified period of exposure to fire. An array of six percentages of spalling were chosen for one range of simulation while a two stage progressive spalling regime was used for a second range. The quantification of the reduction in fire resistance of the columns against the amount of spalling, heating and loading patterns, and the time at which the concrete spalls appears to indicate that it is the amount of spalling which is the most significant variable in the reduction of fire resistance.

Semiparametric smooth-coefficient stoachastic frontier model

This paper proposes a semiparametric smooth-coefficient stochastic production frontier model where all the coefficients are expressed as some unknown functions of environmental factors. The inefficiency term is multiplicatively decomposed into a scaling function of the environmental factors and a standard truncated normal random variable. A testing procedure is suggested for the relevance of the environmental factors. Monte Carlo study shows plausible ¯nite sample behavior of our proposed estimation and inference procedure. An empirical example is given, where both the semiparametric and standard parametric models are estimated and results are compared.

COOPER-framework:a unified process for non-parametric projects

Practitioners assess performance of entities in increasingly large and complicated datasets. If non-parametric models, such as Data Envelopment Analysis, were ever considered as simple push-button technologies, this is impossible when many variables are available or when data have to be compiled from several sources. This paper introduces by the 'COOPER-framework' a comprehensive model for carrying out non-parametric projects. The framework consists of six interrelated phases: Concepts and objectives, On structuring data, Operational models, Performance comparison model, Evaluation, and Result and deployment. Each of the phases describes some necessary steps a researcher should examine for a well defined and repeatable analysis. The COOPER-framework provides for the novice analyst guidance, structure and advice for a sound non-parametric analysis. The more experienced analyst benefits from a check list such that important issues are not forgotten. In addition, by the use of a standardized framework non-parametric assessments will be more reliable, more repeatable, more manageable, faster and less costly. © 2010 Elsevier B.V. All rights reserved.

General and multiplicative non-parametric corporate performance models with interval ratio data

The increasing intensity of global competition has led organizations to utilize various types of performance measurement tools for improving the quality of their products and services. Data envelopment analysis (DEA) is a methodology for evaluating and measuring the relative efficiencies of a set of decision making units (DMUs) that use multiple inputs to produce multiple outputs. All the data in the conventional DEA with input and/or output ratios assumes the form of crisp numbers. However, the observed values of data in real-world problems are sometimes expressed as interval ratios. In this paper, we propose two new models: general and multiplicative non-parametric ratio models for DEA problems with interval data. The contributions of this paper are fourfold: (1) we consider input and output data expressed as interval ratios in DEA; (2) we address the gap in DEA literature for problems not suitable or difficult to model with crisp values; (3) we propose two new DEA models for evaluating the relative efficiencies of DMUs with interval ratios, and (4) we present a case study involving 20 banks with three interval ratios to demonstrate the applicability and efficacy of the proposed models where the traditional indicators are mostly financial ratios. © 2011 Elsevier Inc.

Parametric aggregation in ordered weighted averaging

Incorporating further information into the ordered weighted averaging (OWA) operator weights is investigated in this paper. We first prove that for a constant orness the minimax disparity model [13] has unique optimal solution while the modified minimax disparity model [16] has alternative optimal OWA weights. Multiple optimal solutions in modified minimax disparity model provide us opportunity to define a parametric aggregation OWA which gives flexibility to decision makers in the process of aggregation and selecting the best alternative. Finally, the usefulness of the proposed parametric aggregation method is illustrated with an application in metasearch engine. © 2011 Elsevier Inc. All rights reserved.

An aggregate measure of financial ratios using a multiplicative DEA model

This paper examines the problems in the definition of the General Non-Parametric Corporate Performance (GNCP) and introduces a multiplicative linear programming as an alternative model for corporate performance. We verified and tested a statistically significant difference between the two models based on the application of 27 UK industries using six performance ratios. Our new model is found to be a more robust performance model than the previous standard Data Envelopment Analysis (DEA) model.

Semiparametric smooth-coefficient stochastic frontier model

This paper proposes a semiparametric smooth-coefficient (SPSC) stochastic production frontier model where regression coefficients are unknown smooth functions of environmental factors (ZZ). Technical inefficiency is specified in the form of a parametric scaling function which also depends on the ZZ variables. Thus, in our SPSC model the ZZ variables affect productivity directly via the technology parameters as well as through inefficiency. A residual-based bootstrap test of the relevance of the environmental factors in the SPSC model is suggested. An empirical application is also used to illustrate the technique.

A non-parametric data envelopment analysis approach for improving energy efficiency of grape production

Grape is one of the world's largest fruit crops with approximately 67.5 million tonnes produced each year and energy is an important element in modern grape productions as it heavily depends on fossil and other energy resources. Efficient use of these energies is a necessary step toward reducing environmental hazards, preventing destruction of natural resources and ensuring agricultural sustainability. Hence, identifying excessive use of energy as well as reducing energy resources is the main focus of this paper to optimize energy consumption in grape production.In this study we use a two-stage methodology to find the association of energy efficiency and performance explained by farmers' specific characteristics. In the first stage a non-parametric Data Envelopment Analysis is used to model efficiencies as an explicit function of human labor, machinery, chemicals, FYM (farmyard manure), diesel fuel, electricity and water for irrigation energies. In the second step, farm specific variables such as farmers' age, gender, level of education and agricultural experience are used in a Tobit regression framework to explain how these factors influence efficiency of grape farming.The result of the first stage shows substantial inefficiency between the grape producers in the studied area while the second stage shows that the main difference between efficient and inefficient farmers was in the use of chemicals, diesel fuel and water for irrigation. The use of chemicals such as insecticides, herbicides and fungicides were considerably less than inefficient ones. The results revealed that the more educated farmers are more energy efficient in comparison with their less educated counterparts. © 2013.