A note to ';Enterprise risk management: a DEA VaR approach in vendor selection';: a response to Wei and Wang and model extension

作者：Wu Desheng Dash^*; Olson David

来源：International Journal of Production Research, 2011, 49(23): 7195-7203.

DOI：10.1080/00207543.2011.564672

• risk management
• performance analysis

Enterprise risk management (ERM) has become an important topic in today';s more complex, interrelated global business environment, replete with threats from natural, political, economic and technical sources. Wu and Olson (2010) [Wu, D. S. and Olson, D., 2010. Enterprise risk management: a DEA VaR approach in vendor selection. International Journal of Production Research 48 (16), 4919-4932] present a state-of-the-art overview of Enterprise risk management and discuss the possibility of constructing a value at risk measure at the data envelopment analysis (DEA) framework. Wei and Wang [Wei, G. W. and Wang, J.M., 2011. Value-at-risk and data envelopment analysis: comments on Wu and Olson (2010). International Journal of Production Research, 49 (23), 7189-7193] contend errors in the article. Wei and Wang suggest a model based on Li [Li, S. X., 1998. Stochastic models and variable returns to scales in data envelopment analysis. European Journal of Operational Research, 104, 532-548]. We show that the suggested model in Wei and Wang (2011) does not solve the problem completely. We provide alternative approaches to conduct performance evaluation with good discriminating power.

• 出版日期2011