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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 대한산업공학회 Industrial Engineering & Management Systems Industrial Engineering & Management Systems Vol.20 No.4
- 발행연도
- 2021.12
- 수록면
- 743 - 755 (13page)
- DOI
- 10.7232/iems.2021.20.4.743
이용수
초록· 키워드
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The purpose of this study is to evaluate the risk efficiency of 85 Russian commercial banks During the period “2008 - 2017”. This study uses the Data Envelopment Analysis (DEA) with financial ratios to evaluate the risk efficiency of Russian banks. The inputs of model DEA are represented by financial risk and leverage, while the outputs are represented by profitability. The study found the impact of credit risk, operational risk, and liquidity risk on performance indicators in Russian banks was positive and important, but the impact of leverage and interest rate risk on performance indicators in Russian banks was limited and negative. The study also found that the medium Russian banks were the most effective in risk efficiency, while small banks were more efficient than large banks. The study also concluded that the leverage recommended by Basel 3 is insufficient to provide stability in banks. The study suggested a model for monitoring Russian banks on the basis of the concept of risk efficiency to improve banking regulation and increase risk efficiency.
목차
ABSTRACT
1. INTRODUCTION
2. LITERATURE REVIEW
3. METHODOLOGY
4. DISCUSSION
5. CONCLUSIONS AND RECOMMENDATIONS
REFERENCES
참고문헌 (29)
참고문헌 신청
Arshinova, T. / 2011 / The banking efficiency measurement using the frontier analysis techniques / Journal of Applied Mathematics 4(3):165~176
Banker, R. / 1984 / Some models for estimating technical & scale inefficiencies in data envelopment analysis / Management Science 30(9):1078~1092
Elena Beccalli / 2006 / Efficiency and Stock Performance in European Banking / Journal of Business Finance & Accounting 33(1-2):245~262
Allen N. Berger / 1997 / Efficiency of financial institutions: International survey and directions for future research / European Journal of Operational Research 98(2):175~212
Charnes, A. / 1978 / Measuring the efficiency of decision-making units / European Journal of Operational Research 2(6):429~444
Banker, R. / 1984 / Some models for estimating technical & scale inefficiencies in data envelopment analysis / Management Science 30(9):1078~1092
Elena Beccalli / 2006 / Efficiency and Stock Performance in European Banking / Journal of Business Finance & Accounting 33(1-2):245~262
Allen N. Berger / 1997 / Efficiency of financial institutions: International survey and directions for future research / European Journal of Operational Research 98(2):175~212
Charnes, A. / 1978 / Measuring the efficiency of decision-making units / European Journal of Operational Research 2(6):429~444
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