Robust DEA for banks'efficiency under uncertainty

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F17%3A10240272" target="_blank" >RIV/61989100:27510/17:10240272 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Robust DEA for banks'efficiency under uncertainty
Original language description
The Data Envelopment Analysis (DEA) has been the benchmarked model for measuring the efficiency of banks over the years. However, inherent noise and uncertainties in the data are hardly considered for robust efficiency scores. The disadvantage is that a small perturbation in the uncertain parameters can lead to high infeasibility of the efficient solutions. This paper introduces a robust DEA into the measurement of banks efficiency. The proposed robust approach is based on the robust counterpart optimization of Ben-Tal & Nemirovski (2000), and it is implemented in the traditional DEA models germane to the performance measurement of banks. A preliminary result from data on banks in the Czech Republic indicates that efficiency scores measured with the robust DEA model provides a true and stable performance measure than the normal DEA model.
Czech name
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Czech description
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Project
<a href="/en/project/GA16-17810S" target="_blank" >GA16-17810S: Selective measures in data envelopment analysis: theory and applications</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 12th International Conference on Strategic Management and its Support by Information Systems: May 25th-26th, 2017, Ostrava, Czech Republic
ISBN
978-80-248-4046-8
ISSN
2570-5776
e-ISSN
neuvedeno
Number of pages
8
Pages from-to
304-311
Publisher name
VŠB - Technical University of Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
May 25, 2017
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000417344100034

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