• The Journal of Asian Finance, Economics and Business
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• 제8권2호
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• pp.25-39
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• 2021

This purpose of this study is to investigate the association among mutual funds (MFs) risk measures and return parameters, evaluate mutual fund performance and also explore the best appropriate mutual fund performance measure for investment in Pakistan. Therefore, thirty-five mutual funds have been selected for the period 2007-2015. The Sharpe, Treynor, Jensen Alpha, Information ratio and Fama's Net Selectivity measures has been used to analyze MF performance. Our study findings show significant positive relation exist between Sharpe and Jenson alpha & information ratio (IR); Treynor ratio is negatively correlated to Jenson alpha and Jenson alpha is positively allied with IR. Moreover, association among performance measures, Fama's net selectivity is a major driver in leading to other measures but Sharpe and IR lead to Treynor ratio as well. Furthermore, performance measures are ranked in accordance standard deviation with the arrangement of Fama's net selectivity at top, Jenson Alpha at second, Sharpe ratio at third, IR at fourth and Treynor ratio at fifth position according to risk parameters in Pakistan. Overall, Jensen Alpha measure appears to be the best suitable mutual fund performance measure in Pakistan due to its practical nature. Finally, the Pakistani stock market index KSE100 (as benchmark) performs better than MF industry of Pakistan.

• Journal of the Korean Data and Information Science Society
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• 제24권6호
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• pp.1503-1520
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• 2013

For multi-line insurance companies, allocating the risk capital to each line is a widely-accepted risk management exercise. In this article we consider several applications of the Euler capital allocation. First, we propose visual tools to present the diversification and the line-wise performance for a given loss portfolio so that the risk managers can understand the interactions among the lines. Secondly, on theoretical side, we prove that the Euler allocation is the directional derivative of the marginal or incremental allocation method, an alternative capital allocation rule in the literature. Lastly, we establish the equivalence between the mean-shortfall optimization and the RORAC optimization when the risk adjusted capital is the expected shortfall, and show how to construct the optimal insurance business mix that maximizes the portfolio RORAC. An actual loss sample of an insurance portfolio is used for numerical illustrations.

• Quality Improvement in Health Care
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• 제10권2호
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• pp.164-175
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• 2003

Objectives: To evaluate the performance of models to predict AMI patients death using severity adjustment measures in Korea. Methods: Medical records of 861 patients treated by AMI in 7 general hospitals during 1996 and 1997 were reviewed by trained nurses. We measured the severity of patients by APACHE III, MedisGroups, CSI and DS. Using each severity method a predictive mortality for each patient was calculated from a logistic regression model including the severity score. The statistical performance of each severity method model was evaluated by using c-statistics and R2. For each hospital, z scores compared actual and expected mortality rates. Results: The overall in-hospital mortality was 14.5%, ranged from 10.0% to 22.2%. The distributions of severity scores for each method was significantly different by hospitals. The four severity-adjusted models to predict AMI patients death varied in their statistical performance for discrimination power of patients death. Order of Severity-adjusted mortality rates and z scores by four severity measures was different. Conclusion: Severity-adjusted mortality rates of AMI patients might be applied as an indicator for hospital performance evaluation in Korea. Because different severity methods frequently produce different impressions about relative hospital performance, more studies has to be done to use it as quality indicator and more attention should be paid to select appropriate severity measures.

• The Korean Journal of Applied Statistics
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• 제20권3호
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• pp.597-604
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• 2007

There are many uses of control charts in health-care monitoring and in public-health surveillance. For example, control charts are used in monitoring and improvement of hospital performance, in monitoring chronic diseases and infectious diseases, and so on. We introduce the Variable Life-Adjusted Display (VLAD) chart and propose the method for choosing control limits of the VLAD chart to give specified in-control properties.

• Quality Improvement in Health Care
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• 제7권2호
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• pp.218-228
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• 2000

Background : Among 'structure', 'process' and 'outcome' approaches, outcome evaluation is considered as the most direct and best approach to assess the quality of health care providers. Risk-adjustment is an essential method to compare outcome across providers. This study has aims to judge performance of hospitals by severity adjusted mortality rates of coronary artery bypass graft (CABG) surgery. Methods : Medical records of 584 patients who got the CABG surgery in 6 general hospitals during 1996 and 1997 were reviewed by trained nurses. The MedisGroups was used to quantify severity of patients. The predictive probability of death was calculated for each patient in the sample from a multivariate logistic regression model including the severity score, age and sex. For evaluation of hospital performance, we calculated ratio of observed number to expected number of deaths and z score [(observed number of deaths - expected number of deaths)/square root of the variance in the number of deaths], and compared observed mortality rate with confidence interval of adjusted mortality rate for each hospital. Results : The overall in-hospital mortality was 7.0%, ranged from 2.7% to 15.7% by hospital. After severity adjustment the mortality by hospital was from 2.7% to 10.7%. One hospital with poor performance was distinctly divided from others with good performance. Conclusion : In conclusion, severity-adjusted mortality rate of CABG surgery might be applied as an indicator for hospital performance evaluation in Korea. But more pilot studies and improvement of methodologies has to be done to use it as quality indicator.

• The Journal of Asian Finance, Economics and Business
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• 제6권2호
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• pp.9-13
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• 2019

The paper aims to investigate the performance of domestic Saudi Arabian ETFs. ETFs are investment vehicles in vogue. These instruments were the first levers for investors allowing them to enter some markets that have been highly protected or out of reach. Saudi Arabia, which has been promoted as an emerging country by MSCI, seeks to attract more foreign investors. The first ETFs were launched in the years 2010-2011. Even though their number has not increased since then, there is a desire to attract a large number of investors. We use premiums/discounts analysis, standard risk-return models, and tracking errors measurements to assess how closely their replicate the underlying benchmark based on monthly data. The results indicate that out of the three funds investigated two are slightly traded at premium, while the latter exhibit a price discount. However, tracking errors are at minimum for all funds suggesting that they track well the benchmark index. Further, the Jensen's model shows that alphas are negative or null, and betas capture largely the systematic risk which is consistent with index investing strategies. Finally, traditional risk-adjusted measures of performance are used to compare ETFs, and results exhibit negative ratios showing that portfolios achieve lower return than the risk-free rate.

• Korea Journal of Hospital Management
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• 제23권1호
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• pp.87-106
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• 2018

Objective: The objective of this study is to examine the association between process quality of inpatient care and risk-adjusted, thirty-day potentially preventable hospital readmission (PPR) rates. Data Sources/Study Setting: This was an observational cross-sectional study of nonfederal acute-care hospitals located in two states California and Florida, discharging Medicare patients with a principal discharge diagnosis of heart failure, acute myocardial infarction, or pneumonia January through December 31, 2007. Data were obtained from the Healthcare Cost and Utilization Project State Inpatient Database of the Agency for Healthcare Research and Quality, Centers for Medicare and Medicaid Services Hospital Compare database, and the American Hospital Association Annual Survey of Hospitals. Study Design: The dependent variable of this study is condition-specific, risk-adjusted, thirty-day potentially preventable hospital readmission (PPR). 3M's PPR software was utilized to determine whether a readmission was potentially preventable. The independent variable of this study is hospital performance for process quality of inpatient care, measured by hospital adherence to recommended processes of care. We used multivariate hierarchical logistic models, clustered by hospitals, to examine the relationship between condition-specific, risk-adjusted, thirty-day PPR rates and process quality of inpatient care, after taking clinical and socio-demographic characteristics of patients and structural and operational characteristics of hospitals into account. Findings: Better performance on the process quality metrics was associated with better patient outcome (i.e., low thirty-day PPR rates) in pneumonia, but not generally in two cardiovascular conditions (i.e., heart failure and acute myocardial infarction). Practical Implication: Adherence to the process quality metrics currently in use by CMS is associated with risk-adjusted, thirty-day PPR rates for patients with pneumonia, but not with cardiovascular conditions. More evidence-based process quality metrics closely linked to 30-day PPR rates, particularly for cardiovascular conditions, need to be developed to serve as a guideline to reduce potentially preventable readmissions.

• Journal of Preventive Medicine and Public Health
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• 제34권3호
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• pp.244-252
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• 2001

Objective : Health insurers and policy makers are increasingly examining the hospital mortality rate as an indicator of hospital quality and performance. To be meaningful, a risk-adjustment of the death rates must be implemented. This study reviewed 5 severity measurement methods and applied them to the same data set to determine whether judgments regarding the severity-adjusted hospital mortality rates were sensitive to the specific severity measure. Methods : The medical records of 584 patients who underwent coronary artery bypass graft surgery in 6 general hospitals during 1996 and 1997 were reviewed by trained nurses. The MedisGroups, Disease Staging, Computerized Severity Index, APACHE III and KDRG were used to quantify severity of the patients. The predictive probability of death was calculated for each patient in the sample from a multivariate logistic regression model including the severity score, age and sex to evaluate the hospitals' performance, the ratio of the observed number of deaths to the expected number for each hospital was calculated. Results : The overall in-hospital mortality rate was 7.0%, ranging from 2.7% to 15.7% depending on the particular hospital. After the severity adjustment, the mortality rates for each hospital showed little difference according to the severity measure. The 5 severity measurement methods varied in their statistical performance. All had a higher c statistic and $R^2$ than the model containing only age and sex. There was a little difference in the relative hospital performance evaluation by the severity measure. Conclusion : These results suggest that judgments regarding a hospital's performance based on severity adjusted mortality can be sensitive to the severity measurement method. Although the 5 severity measures regarding hospital performance concurred, more often than would be expected by chance, the assessment of an individual hospital mortality rates varied by the different severity measurement method used.

• Korean Journal of Radiology
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• 제21권12호
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• pp.1355-1366
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• 2020

Objective: We aimed to evaluate the diagnostic value and prognostic relevance of FDG positron emission tomography/computed tomography (PET-CT) in extrahepatic cholangiocarcinoma patients. Materials and Methods: This study included 234 extrahepatic cholangiocarcinoma patients who underwent FDG PET-CT between June 2008 and February 2016. The diagnostic performance of FDG PEG-CT was compared to that of contrast-enhanced multidetector row CT (MDCT) and MRI. Independent prognosticators for poor survival were also assessed. Results: The sensitivity of FDG PET-CT for detecting primary tumor and regional lymph node metastases was lower than that of MDCT or MRI (p < 0.001), whereas the specificity and positive predictive value for detecting regional lymph nodes metastases was significantly better in FDG PET-CT compared to MDCT and MRI (all p < 0.001). There was no significant difference in the diagnostic yield of distant metastases detection among three diagnostic imaging techniques. In a multivariate analysis, maximum standardized uptake values (SUV_max) of the primary tumor (adjusted hazard ratio [HR], 1.75; 95% confidence interval [CI], 1.13-2.69) and of the metastatic lesions ≥ 5 (adjusted HR, 8.10; 95% CI, 1.96-33.5) were independent contributors to poor overall survival in extrahepatic cholangiocarcinoma patients. In a subgroup analysis of 187 patients with periductal infiltrating type of cholangiocarcinoma, an SUV_max of the primary tumor ≥ 5 was associated with an increased risk of regional lymph node (adjusted odds ratio [OR], 1.60; 95% CI, 0.55-4.63) and distant metastases (adjusted OR, 100.57; 95% CI, 3.94-2567.43) at diagnosis as well as with poor overall survival (adjusted HR, 1.81; 95% CI, 1.04-3.15). Conclusion: FDG PET-CT showed lower sensitivity for detecting primary tumor and regional lymph node involvement than MDCT and MRI. However, the SUV_max of primary tumors and metastatic lesions derived from FDG PET-CT could have significant implications for predicting prognoses in extrahepatic cholangiocarcinoma patients.

• Information Systems Review
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• 제4권2호
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• pp.361-376
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• 2002

This paper proposes a framework for integrated credit risk management system in domestic bank financial institutions. Credit evaluation system, loan processing system, credit monitoring system, and credit risk management system are integrated for efficient and effective risk-adjusted performance management in this framework. Risk exposures, not only for each credit, but also for bank's whole credit portfolio need to be measured and analyzed through the concept of Value-at-Risk (VaR). The effects of changes in credit ratings of individual loaners on bank's credit risk exposure are also considered. We tried to model this integrated credit risk management system by using object-oriented modeling language, UML.