Beyond Boundaries: The AHP-DEA Model for Holistic Cross-Banking Operational Risk Assessment

Yuan Hong and Shaojian Qu ()
Additional contact information
Yuan Hong: School of Management Science and Engineering, Nanjing University of Information Science & Technology, Nanjing 210044, China
Shaojian Qu: School of Management Science and Engineering, Nanjing University of Information Science & Technology, Nanjing 210044, China

Mathematics, 2024, vol. 12, issue 7, 1-18

Abstract: Operational risk assessment has received considerable attention in bank risk management. However, current assessment methods are primarily designed to assess the risk profile of individual banks. To enable cross-bank operational risk assessment, we propose an integrated AHP-DEA (analytic hierarchy process–data envelopment analysis) method. This method determines the importance of assessment criteria by calculating the weighted sum of rank votes after obtaining the importance values for specific rankings with DEA. This procedure replaces the pairwise comparisons in AHP and addresses the challenge of traditional AHPs in determining appropriate importance values when dealing with a large number of indicators. We applied this method to assess the operational risks of three Chinese commercial banks, and the empirical results indicate that this integrated AHP-DEA method is simple and user-friendly, making it suitable for cross-bank operational risk assessment.

Keywords: operational risk; analytic hierarchy process (AHP); data envelopment analysis (DEA); preference voting system (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.mdpi.com/2227-7390/12/7/968/pdf (application/pdf)
https://www.mdpi.com/2227-7390/12/7/968/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jmathe:v:12:y:2024:i:7:p:968-:d:1363319

Access Statistics for this article

Mathematics is currently edited by Ms. Emma He

More articles in Mathematics from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().