Robust DEA for banks'efficiency under uncertainty

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Robust DEA for banks'efficiency under uncertainty

Popis výsledku v původním jazyce

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 &amp; 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.

Název v anglickém jazyce

Robust DEA for banks'efficiency under uncertainty

Popis výsledku anglicky

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 &amp; 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.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

10102 - Applied mathematics

Projekt

<a href="/cs/project/GA16-17810S" target="_blank" >GA16-17810S: Selektivní měřítka v analýze datových obalů: teorie a aplikace</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2017

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

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

Počet stran výsledku

8

Strana od-do

304-311

Název nakladatele

VŠB - Technical University of Ostrava

Místo vydání

Ostrava

Místo konání akce

Ostrava

Datum konání akce

25. 5. 2017

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000417344100034