We describe Employees Provident Funds (EPF) Malaysia. We explain about Defined Contribution and Defined Benefit Pension Funds and examine their similarities and differences. We also briefly discuss and compare EPF schemes in four Commonwealth countries. A family of Stochastic Programming Models is developed for the Employees Provident Fund Malaysia. This is a family of ex-ante decision models whose main aim is to manage, that is, balance assets and liabilities. The decision models comprise Expected Value Linear Programming, Two Stage Stochastic Programming with recourse, Chance Constrained Programming and Integrated Chance Constraints Programming. For the last three decision models we use scenario generators which capture the uncertainties of asset returns, salary contributions and lump sum liabilities payments. These scenario generation models for Assets and liabilities were developed and calibrated using historical data. The resulting decisions are evaluated with in-sample analysis using typical risk adjusted performance measures. Out- of- sample testing is also carried out with a larger set of generated scenarios. The benefits of two stage stochastic programming over deterministic approaches on asset allocation as well as the amount of borrowing needed for each pre-specified growth dividend are demonstrated. The contributions of this thesis are i) an insightful overview of EPF ii) construction of scenarios for assets returns and liabilities with different values of growth dividend, that combine the Markov population model with the salary growth model and retirement payments iii) construction and analysis of generic ex-ante decision models taking into consideration uncertain asset returns and uncertain liabilities iv) testing and performance evaluation of these decisions in an ex-post setting.

The greater competition and concentration in South Africa's financial sector has put South African banks under more constraints and led to questioning of their present performance. With a greater demand for financial services and more complains about the low quality of financial services and charges being too high, there has been increasing debate about how efficient South African banks really are. This study discusses performance evaluation, the traditional financial and non-financial measures used, and their limitations. The concept of bank efficiency is also briefly discussed, including scale efficiency, scope efficiency, X-efficiency, cost efficiency, standard profit efficiency, alternative profit efficiency and the risk component of bank efficiency. Data Envelopment Analysis (DEA) was chosen as the most appropriate method to estimate the scale efficiency and technical efficiency of 37 districts (and 10 provinces) of one of the largest banks in South Africa. 'DEA involves solving linear programming problems that generate a non-parametric, piecewise linear convex frontier that envelops the input and output data relative to which cost is minimized' (Fare et al., 1985b:193). The intermediation approach was used incorporating both the input- and output-orientated approach under variable returns to scale. The analyses indicated that 19 districts out of the 37 districts were not at least once fully technically efficient during the 22 months (input- and output-orientated). The same results were found with regard to scale efficiency: 17 districts out of the 37 districts were not at least once fully scale efficient (input-orientated) and 19 districts out of the 37 districts were not at least once fully scale efficient (output-orientated), during the 22 months. Synergy was found in 6 provinces out of the 10 provinces (input- and output-orientated). / Thesis (M.Com. (Risk Management))--North-West University, Potchefstroom Campus, 2008.

The greater competition and concentration in South Africa's financial sector has put South African banks under more constraints and led to questioning of their present performance. With a greater demand for financial services and more complains about the low quality of financial services and charges being too high, there has been increasing debate about how efficient South African banks really are. This study discusses performance evaluation, the traditional financial and non-financial measures used, and their limitations. The concept of bank efficiency is also briefly discussed, including scale efficiency, scope efficiency, X-efficiency, cost efficiency, standard profit efficiency, alternative profit efficiency and the risk component of bank efficiency. Data Envelopment Analysis (DEA) was chosen as the most appropriate method to estimate the scale efficiency and technical efficiency of 37 districts (and 10 provinces) of one of the largest banks in South Africa. 'DEA involves solving linear programming problems that generate a non-parametric, piecewise linear convex frontier that envelops the input and output data relative to which cost is minimized' (Fare et al., 1985b:193). The intermediation approach was used incorporating both the input- and output-orientated approach under variable returns to scale. The analyses indicated that 19 districts out of the 37 districts were not at least once fully technically efficient during the 22 months (input- and output-orientated). The same results were found with regard to scale efficiency: 17 districts out of the 37 districts were not at least once fully scale efficient (input-orientated) and 19 districts out of the 37 districts were not at least once fully scale efficient (output-orientated), during the 22 months. Synergy was found in 6 provinces out of the 10 provinces (input- and output-orientated). / Thesis (M.Com. (Risk Management))--North-West University, Potchefstroom Campus, 2008.