A directional semi-oriented radial DEA measure: an application on financial stability and the efficiency of banks

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F18%3A10241314" target="_blank" >RIV/61989100:27510/18:10241314 - isvavai.cz</a>

Výsledek na webu

<a href="http://dx.doi.org/10.1007/s10479-017-2719-5" target="_blank" >http://dx.doi.org/10.1007/s10479-017-2719-5</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1007/s10479-017-2719-5" target="_blank" >10.1007/s10479-017-2719-5</a>

Jazyk výsledku

angličtina

Název v původním jazyce

A directional semi-oriented radial DEA measure: an application on financial stability and the efficiency of banks

Popis výsledku v původním jazyce

Data envelopment analysis (DEA) is a widely used non-parametric technique for measuring the relative efficiencies of decision-making units with multiple inputs and multiple outputs. The main caveat of traditional DEA models is that they are applicable to positive inputs and outputs, while negative data are commonly present in most real applications. To accommodate variables that can take both negative and positive values, Emrouznejad et al. (Eur J Oper Res 200(1):297-304, 2010a) introduced the Semi-Oriented Radial Measure (SORM) model, which was later modified by Kazemi Matin et al. (Measurement 54:152-158, 2014). The present study proposes a new version of the modified SORM model, using directional distance function and choosing a relevant direction to efficiently deal with variables with both positive and negative values. Our Directional SORM (DSORM) model is superior to its predecessors from both computational and target settings perspectives while it allows for the dual formulation of linear programming. To illustrate our proposed model, we employ two widely used selections of inputs and outputs to estimate the efficiency scores for a sample of banks operating in Persian Gulf Council Countries (GCC) over the period of 2002-2011. The estimated efficiency scores are then used to study the impact of financial system stability on technical efficiency of individual banks.

Název v anglickém jazyce

A directional semi-oriented radial DEA measure: an application on financial stability and the efficiency of banks

Popis výsledku anglicky

Data envelopment analysis (DEA) is a widely used non-parametric technique for measuring the relative efficiencies of decision-making units with multiple inputs and multiple outputs. The main caveat of traditional DEA models is that they are applicable to positive inputs and outputs, while negative data are commonly present in most real applications. To accommodate variables that can take both negative and positive values, Emrouznejad et al. (Eur J Oper Res 200(1):297-304, 2010a) introduced the Semi-Oriented Radial Measure (SORM) model, which was later modified by Kazemi Matin et al. (Measurement 54:152-158, 2014). The present study proposes a new version of the modified SORM model, using directional distance function and choosing a relevant direction to efficiently deal with variables with both positive and negative values. Our Directional SORM (DSORM) model is superior to its predecessors from both computational and target settings perspectives while it allows for the dual formulation of linear programming. To illustrate our proposed model, we employ two widely used selections of inputs and outputs to estimate the efficiency scores for a sample of banks operating in Persian Gulf Council Countries (GCC) over the period of 2002-2011. The estimated efficiency scores are then used to study the impact of financial system stability on technical efficiency of individual banks.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

10102 - Applied mathematics

Projekt

<a href="/cs/project/GA17-23495S" target="_blank" >GA17-23495S: Úspory z rozsahu v modelech síťové analýzy datových obalů</a><br>

Návaznosti

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

Rok uplatnění

2018

Kód důvěrnosti údajů

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

Název periodika

Annals of Operations Research

ISSN

0254-5330

e-ISSN

—

Svazek periodika

264

Číslo periodika v rámci svazku

1-2

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

22

Strana od-do

213-234

Kód UT WoS článku

000429206500008

EID výsledku v databázi Scopus

2-s2.0-85037653417