Controlling for the use of extreme weights in bank efficiency assessments during the financial crisis
Controlling for the use of extreme weights in bank efficiency assessments during the financial crisis
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DOI：
10.1016/j.ejor.2015.12.021
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发表时间：
2016-06
期刊：
影响因子：
--
通讯作者：
M. Asmild;Minyan Zhu
中科院分区：
文献类型：
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作者：
M. Asmild;Minyan Zhu
我们提出了一种基于权重限制DEA的银行效率评估方法，该方法限制了银行使用极端权重的能力，对应于对资金来源和资产的风险调整价格的极端判断。基于一个数据集，包括最大的欧洲银行在金融危机期间，我们说明了两个不同的效率模型的影响，一个有关银行的资金组合和一个有关其资产组合的权重限制。结果表明，使用一组更平衡的权重往往会减少估计的效率得分更多的那些银行在危机期间，这证实了潜在的偏差标准DEA不控制极端的权重应用于高风险的银行。我们讨论了使用所提出的方法作为监管工具，以限制自由裁量权时，遵守监管资本基准，如巴塞尔监管资本比率。
We propose a method for bank efficiency assessment, based on weight restricted DEA, that limits banks’ abilities to use extreme weights, corresponding to extreme judgements of the risk adjusted prices on funding sources and assets. Based on a data set comprising the largest European banks during the financial crisis, we illustrate the impact of the proposed weight restrictions in two different efficiency models; one related to banks’ funding mix and one related to their asset mix. The results show that using a more balanced set of weights tend to reduce the estimated efficiency scores more for those banks which were bailed out during the crisis, which confirms the potential bias within standard DEA that does not control for extreme weights applied by highly risky banks. We discuss the use of the proposed method as a regulatory tool to constrain discretion when complying with regulatory capital benchmarks such as the Basel regulatory capital ratios.