Robust DEA for banks' efficiency under uncertainty

Emmanuel Kwasi Mensah, Mehdi Toloo

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

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.

Original languageEnglish
Title of host publicationSMSIS 2017 - Proceedings of the 12th International Conference on Strategic Management and its Support by Information Systems 2017
EditorsRadek Nemec, Lucie Chytilova
PublisherVSB-Technical University of Ostrava
Pages304-311
Number of pages8
ISBN (Electronic)9788024840468
Publication statusPublished - 2017
Externally publishedYes
Event12th International Conference on Strategic Management and its Support by Information Systems 2017, SMSIS 2017 - Ostrava, Czech Republic
Duration: May 25 2017May 26 2017

Publication series

NameSMSIS 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
Country/TerritoryCzech Republic
CityOstrava
Period5/25/175/26/17

Keywords

  • Banks efficiency
  • DEA
  • Robust DEA
  • Robust optimization
  • Uncertainty

ASJC Scopus subject areas

  • Information Systems and Management
  • Management Science and Operations Research
  • Management Information Systems
  • Information Systems
  • Strategy and Management

Cite this