Assessing Bank Performance with Operational Research and Artificial Intelligence Techniques: A Survey

Duygun, Meryem; Pasiouras, Fotios

doi:10.2139/ssrn.1350544

Cited by 29 publications

(22 citation statements)

References 178 publications

(95 reference statements)

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“…For a detailed review of various techniques see Aziz and Dar (2006), Demirgüç-Kunt (1989), Demyanyk and Hasan (2010), Fethi andPasiouras (2009), Ravi Kumar andRavi (2007) and Tatom and Houston (2011).…”

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confidence: 99%

The Effectiveness of Capital Adequacy Measures in Predicting Bank Distress

Mayes

Stremmel

2012

SSRN Journal

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Introduction. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Terms of use: Documents in AbstractOur concern in this paper is two-fold: first to see whether the determinants of bank distress and failure have been any different in the GFC from previous years: second to see whether simple measures of capital adequacy outperform their risk-weighted counterparts as predictors, despite the focus on the later in the Basel framework. This paper examines bank distress within a large quarterly data set of FDIC-insured US banks from 1992 to 2012. We contrast the effects of risk-weighted and non-risk-weighted capital measures for various banking types using two estimation methods (logit and discrete survival time analysis). We predict bank failures and draw inferences about the stability of contributing bank characteristics. Our models incorporate CAMELS indicators that consider the bank-specific variables and macroeconomic conditions. We find that the non-risk-weighted capital measure, the adjusted leverage ratio, explains bank distress and failures best with considerable accuracy. Further, we find that the influence of the characteristics in the two methods differs only slightly. Also the characteristics of banks getting into bank distress are alike over time. That means that the familiar banking characteristics for identifying a distress-prone bank identified fragile banks effectively during the global crisis without new information and are likely to continue to work well in the future. Further, our findings suggest that the more complex a bank is the more effective is the leverage ratio compared to the risk-based capital ratio 2 .

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The Effectiveness of Capital Adequacy Measures in Predicting Bank Distress

Mayes

Stremmel

2012

SSRN Journal

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“…Although several parametric and nonparametric techniques are used to evaluate efficiency, the nonparametric technique Data Envelopment Analysis (DEA) is the most widely used to assess bank efficiency (Fethi & Pasiouras, 2010). According to Avkiran (2011), the Web of Science database contains more than 170 papers combining DEA and banks.…”

Section: • Evaluation Of Bank Efficiency In Brazil: a Dea Approach •mentioning

confidence: 99%

“…The DEA technique has been widely used to assess relative efficiency (Fethi & Pasiouras, 2010). According to Becker et al (2003, p. 72), "DEA is a mathematical programming technique, originally proposed by Charnes, Cooper and Rhodes (1978), which evaluates the relative efficiency of a number of homogeneous units."…”

Section: Data Envelopment Analysismentioning

confidence: 99%

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Evaluation of Bank Efficiency in Brazil: A Dea Approach

Cava

Salgado

Branco

2016

RAM, Rev. Adm. Mackenzie

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Este artigo pode ser copiado, distribuído, exibido, transmitido ou adaptado desde que citados, de forma clara e explícita, o nome da revista, a edição, o ano, e as páginas nas quais o artigo foi publicado originalmente, mas sem sugerir que a RAM endosse a reutilização do artigo. Esse termo de licenciamento deve ser explicitado para os casos de reutilização ou distribuição para terceiros. Não é permitido o uso para fins comerciais. The research aims to evaluate the efficiency of banks that operated in the Brazilian market in 2013. To achieve this goal, efficient banks were identified according to the production approach. To detect and explain efficiency standards, additional analyses were carried out related to: 1. capital origin, 2. size, 3. business segment, and 4. risk rating. Originality/gap/relevance/implications: The Brazilian literature on bank efficiency features several studies linking the efficiency of banks to capital origin and size. However, the relationship between efficiency and business segment has been poorly explored and the relationship between efficiency and risk rating is scarce. In this sense, this research contributes to the literature by exploring the relationship between efficiency and business segment, as well as the relationship between efficiency and risk rating.ISSN 1518-6776 (impresso) • ISSN 1678-6971 (on-line) • http://dx.doi.org/10.1590/1678-69712016/administracao.v17n4p61-83. Submissão: 24 abr. 2015. Aceitação: 1º fev. 2016. Sistema de avaliação: às cegas dupla (double blind review Key methodological aspects:The research uses a quantitative approach and employs the Data Envelopment Analysis (DEA) technique to calculate efficiency scores. The data were obtained from the Central Bank of Brazil (Bacen). Summary of key results:Federal public banks and large banks are, on average, more efficient. Banks operating in foreign exchange and retail, as well as banks with high credit ratings, also achieved high levels of efficiency. Key considerations/conclusions: Efficient banks proved to be more profitable, lent less money in proportion to their total assets, and received fewer complaints filed with the Central Bank of Brazil in 2013.

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“…Thanassoulis (1999) discusses application of DEA in the banking industry. Fethi and Pasiouras (2010) provide a survey of over 196 studies of operational research and artificial intelligence techniques used to evaluate banks' performance.…”

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confidence: 99%

Data envelopment analysis in financial services: a citations network analysis of banks, insurance companies and money market funds

Kaffash

Marra

2016

Ann Oper Res

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Development and application of the Data Envelopment Analysis (DEA) method, have been the subject of numerous reviews. In this paper, we consider the papers that apply DEA methods specifically to financial services, or which use financial services data to experiment with a newly introduced DEA model. We examine 620 papers published in journals indexed in the Web of Science database, from 1985 to April 2016. We analyse the sample applying citations network analysis. This paper investigates the DEA method and its applications in financial services. We analyse the diffusion of DEA in three sub-samples: (1) banking groups, (2) money market funds, and (3) insurance groups by identifying the main paths, that is, the main flows of the ideas underlying each area of research. This allows us to highlight the main approaches, models and efficiency types used in each research areas. No unique methodological preference emerges within these areas.Innovations in the DEA methodologies (network models, slacks based models, directional distance models and Nash bargaining game) clearly dominate recent research.For each subsample, we describe the geographical distribution of these studies, and provide some basic statistics related to the most active journals and scholars.

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Assessing Bank Performance with Operational Research and Artificial Intelligence Techniques: A Survey

Cited by 29 publications

References 178 publications

The Effectiveness of Capital Adequacy Measures in Predicting Bank Distress

The Effectiveness of Capital Adequacy Measures in Predicting Bank Distress

Evaluation of Bank Efficiency in Brazil: A Dea Approach

Data envelopment analysis in financial services: a citations network analysis of banks, insurance companies and money market funds

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