Robust DEA for banks' efficiency under uncertainty

Emmanuel Kwasi Mensah, Mehdi Toloo

نتاج البحث: Conference contribution

ملخص

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 & 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.

اللغة الأصليةEnglish
عنوان منشور المضيفSMSIS 2017 - Proceedings of the 12th International Conference on Strategic Management and its Support by Information Systems 2017
المحررونRadek Nemec, Lucie Chytilova
ناشرVSB-Technical University of Ostrava
الصفحات304-311
عدد الصفحات8
رقم المعيار الدولي للكتب (الإلكتروني)9788024840468
حالة النشرPublished - 2017
منشور خارجيًانعم
الحدث12th International Conference on Strategic Management and its Support by Information Systems 2017, SMSIS 2017 - Ostrava, Czech Republic
المدة: مايو ٢٥ ٢٠١٧مايو ٢٦ ٢٠١٧

سلسلة المنشورات

الاسمSMSIS 2017 - Proceedings of the 12th International Conference on Strategic Management and its Support by Information Systems 2017

Conference

Conference12th International Conference on Strategic Management and its Support by Information Systems 2017, SMSIS 2017
الدولة/الإقليمCzech Republic
المدينةOstrava
المدة٥/٢٥/١٧٥/٢٦/١٧

ASJC Scopus subject areas

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