• 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.

• 한국의료질향상학회지
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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.

• 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.

• 응용통계연구
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• 제20권3호
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• pp.597-604
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• 2007

현대 사회에서 건강관리와 공중보건 분야의 이상원인 탐지와 감시를 위하여 관리도 기법을 많이 사용하고 있다 예를 들어, 외과의사의 수술 수행성과의 변화나 만성병과 전염병 등의 비율 변화를 탐지하는데 관리도를 사용할 수 있다. 이 논문에서는 건강관리와 공중보건 분야에서 많이 사용하는 VLAD (variable life-adjusted display) 관리도를 소개하고, 이 관리도에서 관리한계선을 설정하는 방법을 제안하였다.

• 한국의료질향상학회지
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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.

• 한국병원경영학회지
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• 제23권1호
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• pp.87-106
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• 2018

Purpose: 본 연구는 미국 캘리포니아와 플로리다에 위치한 의료기관을 대상으로 급성심근경색증, 심부전, 폐렴을 주진단으로 받은 메디케어 입원환자들에게 제공된 의료서비스의 과정적 질과 잠재적으로 예방이 가능한 30일 이내 위험 보정 재입원율과의 관계를 살펴보았다. Methods: 본 연구의 종속변수는 잠재적으로 예방이 가능한 30일 이내 위험 보정 질환별 재입원율이며 3M PPR 소프트웨어를 이용하여 재입원의 예방 가능 여부를 결정하였다. 미연방 의료 비용 및 이용 프로젝트 데이터베이스, 미국병원협회의 병원조사 자료, 미연방 보건복지부소속 메디케어 및 메디케이드 서비스 센터의 병원비교 자료를 이용하였다. 자료의 위계적 구조를 고려하여 다수준 로지스틱 회귀분석을 이용하여 분석하였다. Findings: 의료서비스의 과정적 품질과 퇴원 후 30일 이내 잠재적 예방 가능 위험도 보정 재입원율과의 관계는 질환별로 차이를 보였다. 폐렴의 경우 의료서비스의 과정적 질은 30일 이내 잠재적 예방 가능 보정 재입원율과 유의한 부(-)의 관계를 보였으나, 급성심근경색증과 심부전의 경우 대체로 유의한 관계를 관찰할 수 없었다. Practical Implications: 잠재적으로 예방 가능한 급성심근경색증, 심부전 재입원율을 줄이기 위해서는 의료기관에서 가이드라인으로 따를 수 있는 더욱 다양한 근거 중심의 과정적 질 지표의 개발에 대한 정부와 보건의료계의 노력이 필요하다.

• 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.

• 경영정보학연구
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• 제4권2호
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• pp.361-376
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• 2002

본 논문은 국내 은행금응기관의 신용위험관리를 보다 효율적이고 과학적으로 지원하기 위한 통합 위험관리시스템의 프레임웍을 제시한다. 즉, 담보 보증중심의 사전관리 위주의 대출관리에서 신용중심의 사후관리 위주의 대출관리로 전환되어야 함에 따라 신용평가시스템, 대출의사결정시스템, 사후관리시스템, 그리고 통합 신용위험관리시스템에 이르기까지 각 단위 시스템이 전체적으로 하나의 시스템으로 통합되어야 한다. 특히, 통합 위험관리시스템은 신용위험을 은행전체의 신용 포트폴리오의 관점에서 측정하고 분석함을 의미한다. 통합 위험관리시스템은 개별 대출기업 혹은 개별 대출에 대한 신용위험을 분석함과 동시에 이를 기초 데이터로하여 은행 전체 신용 포트폴리오의 신용위험 노출정도를 파악한다. 또한, 개별 대출기업의 신용등급 변화로 인한 은행전체 신용위험의 변화를 자동적으로 파악하고 조기 경보함으로써 은행의 총체적인 통합 신용위험관리가 가능하도록 한다.