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

Kód výsledku v 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>

Výsledek na webu

<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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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50206 - Finance

Projekt

<a href="/cs/project/GJ20-25660Y" target="_blank" >GJ20-25660Y: Modelování kreditního a systémového rizika v sektoru neživotního pojištění</a><br>

Návaznosti

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

Rok uplatnění

2020

Kód důvěrnosti údajů

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

Název statě ve sborníku

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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Počet stran výsledku

7

Strana od-do

97-103

Název nakladatele

Mendel University in Brno

Místo vydání

Brno

Místo konání akce

Brno

Datum konání akce

9. 9. 2020

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000668460800014