Efficiency of Credit Risk Management of Selected Commercial Banks in the Czech Republic

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F20%3A10251387" target="_blank" >RIV/61989100:27510/20:10251387 - isvavai.cz</a>
Result on the web
<a href="https://mme2020.mendelu.cz/wcd/w-rek-mme/mme2020_conference_proceedings_final_final.pdf" target="_blank" >https://mme2020.mendelu.cz/wcd/w-rek-mme/mme2020_conference_proceedings_final_final.pdf</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Efficiency of Credit Risk Management of Selected Commercial Banks in the Czech Republic
Original language description
This paper focuses on measuring the efficiency of credit risk management of banks in the Czech Republic. The main aim is to evaluate the performance of credit risk management reflected on global technical efficiency and pure technical efficiency and productivity change of selected commercial banks in the Czech Republic. We apply the Data Envelopment Analysis (DEA) on 12 commercial banks in the Czech Republic over the period from 2012 to 2018. We find that under different assumptions of returns to scale, the efficiency score of selected banks ranges from 0.28 to 0.43 under CCR model and ranges from 0.61 to 0.71 under BCC model. Moreover, strong evidence from the Malmquist Index showed that the Czech banking sector improved its efficiency during the past 7 years due to innovation in credit risk management. Furthermore, we employ logistic regression to find out that the likelihood of a bank being efficient increases with larger size and higher yearly change of CAR, while decrease with higher GDP growth rate with lag effect under CCR model. And increases with lower profitability under BCC model.
Czech name
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Czech description
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Project
<a href="/en/project/GJ20-25660Y" target="_blank" >GJ20-25660Y: Modeling credit risk and system risk in the non-life insurance sector.</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
38th International Conference on Mathematical Methods in Economics (MME 2020) : conference proceedings : September 9-11, 2020, Mendel University in Brno, Czech Republic
ISBN
978-80-7509-734-7
ISSN
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e-ISSN
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Number of pages
7
Pages from-to
97-103
Publisher name
Mendel University in Brno
Place of publication
Brno
Event location
Brno
Event date
Sep 9, 2020
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000668460800014

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