Technical Sessions – Monday July 11

2 - Impact of Different Discharge Patterns on Bed Occupation
Rate and Bed Waiting Time: A Simulation Approach
Zhecheng Zhu, Health Services & Outcomes Research, National
Healthcare Group, Singapore, Zhecheng_ZHU@nhg.com.sg
Beds are one of the most important resources in healthcare system. In recent
years, population growth and aging society impose extra pressure on bed requirement,
which makes bed management more challenging. There are usually
two key performance indicators of the bed management system: bed occupation
rate and bed waiting time. In this paper, different discharge patterns and
their impacts are studied. Simulation results show that a proper discharge pattern
significantly smooth the fluctuation of bed occupation rate and reduce the
bed waiting time.
3 - Application of Risk-aware Value Focused Process Engineering
for Risk Identification in Acute Stroke Thrombolysis
Clinical Pathway
Kristian Rotaru, Accounting and Finance, Monash University,
Australia, 900 Dandenong Rd, 3145, Caulfield East, Victoria,
Australia, kristian.rotaru@monash.edu, Leonid Churilov, Helen
Dewey
The objective of this paper is to demonstrate how Risk-aware Value Focused
Process Engineering methodology can be effectively applied for operational
risk identification in acute stroke thrombolysis clinical pathway. The novelty
and original contribution of this research is in enabling hierarchical decomposition
of process risks according to decision makers’ values and the representation
of such risks as a result of the systemic interrelationship between the
clinical process elements.
� HC-17
Thursday, 13:30-15:00
Meeting Room 214
OR in Finance 4
Stream: Finance
Invited session
Chair: Rita Decclesia, Economic and Social Analysis, Sapienza
University of Rome, Piazza Aldo Morto 5, 00185, Rome, Italy,
rita.decclesia@uniroma1.it
Chair: Michael Leyer, Frankfurt School of Finance & Management,
Germany, m.leyer@fs.de
1 - The Binomial Option Pricing Models with Different Parameters
Yunjiao Hu, Department of Mathematics and Informatics,
Beijing University of Chemical Technology, 100029, Beijing,
China, huyj@mail.buct.edu.cn
This papers use the probability theory to derive a new type of binomial model
with different parameters (NCRR), and it gives another proof of the convergence
of the existed generalized binomial model (GCRR). At last, it applies the
CRR, NCRR and GCRR to the pricing of European options and Asia options.
2 - The Impact of Learning Maths on Studying Accounting
and Finance Course at University Level
Xin Shi, Business School, Manchester Metropolitan University,
Aytoun Building, Aytoun Street, Manchester, United Kingdom,
x.shi@mmu.ac.uk
This paper aims to investigate the impacts of learning maths on studying accounting
and finance courses at University level. Probabilistic decision-making
model which is recently developed will be applied to measure the impacts over
the course. The logistic regression model uses to estimate students’ perspectives
on the aspects of studying accounting and finance course. Then the Monte
Carlo simulation approach will be applied to predict the pattern of learning
maths during the course.
3 - Analyzing the „Black Box" of Business Processes in Financial
Services: The Case of Loan Application Processing
Michael Leyer, Frankfurt School of Finance & Management,
Germany, m.leyer@fs.de, Anne Dohmen
IFORS 2011 - Melbourne HC-18
This paper presents a methodology which combines Data Envelopment Analysis
with Business Process Simulation. DEA is used to measure the efficiency
of a business process on an input-output basis while BPS is used to simulate
process changes leading to reductions in inefficiency. The methodology is applied
to a case study, a loan application process of a German bank. The results
show that it allows to analyze changes in process throughput, the "blackbox’,
and their impact on business process efficiency. However, limitations of this
approach for application in real cases are also revealed.
� HC-18
Thursday, 13:30-15:00
Meeting Room 215
Applications of DEA in Banking and
Financial Institutions
Stream: Data Envelopment Analysis
Invited session
Chair: Sunity Shrestha, Management, Tribhuvan University, Central
Department of Management, Kathmandu, Bagmati Zone, Nepal,
sunity.shresthahada7@gmail.com
1 - The Efficiency of Islamic Microfinancing Schemes: A
DEA Approach
Husniyati Ali, Islamic Banking and Finance, Faculty of Business
Management, Universiti Teknologi MARA, Shah Alam, 40450,
Shah Alam, Selangor, Malaysia, hamro64@yahoo.com
The main agenda of any of the microfinance institutions in Malaysia is to provide
financial services to the entrepreneurs as inspires by the New Economic
Model (NEM), which perceives that the Islamic micro financing could become
an effective tools and mechanisms of inclusiveness of citizen to the fair and
equal economic opportunities. The main aim of this paper is to produce analysis
of efficiency of the Islamic microfinancing schemes, as issued by the Credit
Guarantee Corporation(CGC), using DEA.
2 - Case Study: Technological Progress, Inefficiency and
Productivity Growth in the Rural Credit Cooperatives of
Sichuan Province, China, 2001-2007
Nan Zhu, EMBA Education Centre, Southwestern University of
Finance and Economics, 55 Guanghuacun, 610074, Chengdu,
Sichuan, China, zhunan@swufe.edu.cn, Qiang Huang, Yi Liu,
Xinwei Chen, Xingchen Zhu
This paper applies the data envelopment analysis and Malmquist index method
to measure the productive efficiency and Malmquist index of the Rural Credit
Cooperatives of Sichuan Province, China?over the period between 2001 and
2007. The results and conclusion are provided.
3 - Hedge Fund Performance Appraisal: A Panel of Nonparametric
Approaches using Directional Measures
Nicolas Nalpas, Economics & Finance, Toulouse Business
School, 20 bld Lascrosses, 31000, Toulouse, France,
n.nalpas@esc-toulouse.fr, Léopold Simar, Anne Vanhems
Unlike standard approaches, production frontiers’ methods do not require either
the specification of a benchmark or a statistical structure (e.g. normality)
on returns. Nevertheless, such methods are sensitive to signs of inputs/outputs
combinations. Using recent results proposed by Simar and Vanhems (2010), we
propose to assess Hedge Funds performance through various directional techniques
applied to DEA and FDH that preserve unit invariance and that allow to
handle the negative inputs/outputs found in the data.
4 - Relative Efficiency of Commercial Banks in Nepal
Sunity Shrestha, Management, Tribhuvan University, Central
Department of Management, Kathmandu, Bagmati Zone, Nepal,
sunity.shresthahada7@gmail.com
Commercial banks are the backbone of any country which reflects the financial
strength and sustainability of the nation. This study focuses on examining
the relative efficiency of commercial banks in Nepal by employing Data Envelopment
Analysis (DEA). Based on the twenty seven commercial banks, the
efficiency through the asset approach is found to be volatile while it was found
to be fluctuating through the Operations approach. This study has explored
the possibility of using the tool like DEA in performance analysis in Nepalese
banking sector where simply financial ratios are considered so far. The forecasting
of banking performance over the period, taking quarterly data, reflects
the efficiency of the banks selected under study.
95