The analysis of bank business performance and market risk—Applying Fuzzy DEA

Yu-Chuan Chen, Yung-Ho Chiu, Chin-Wei Huang and Chien Heng Tu

Economic Modelling, 2013, vol. 32, issue C, 225-232

Abstract: In the fast changing financial circumstances of nowadays, in avoiding the crisis of closing down, financial institutions are concerned about the efficiency and risk strictly in the meantime. Therefore, efficiency and risk management are goals for a financial institution administrator. Data Envelopment Analysis (DEA) is a non-parameter approach to evaluate the performance of DMU's efficiency and the variables used in the DEA are all accurate values. However, when the input or output variables are fuzzy, the performance of DMUs must proceed by the Fuzzy-DEA. On the basis of risk uncertainty, this research plans to apply the expanding model of Fuzzy Slack-Based Measurement (Fuzzy SBM). The efficiency scores estimated by Fuzzy SBM model are subordinate to functional form, which provides efficiency value region in different degrees of confidence, conforms to the characteristic of risk anticipation, and estimates the management achievement of Taiwan banking under market risk.

Keywords: Fuzzy DEA; Value at risk; Historical simulation; Bank efficiency (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:32:y:2013:i:c:p:225-232

DOI: 10.1016/j.econmod.2013.02.008

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