Pires Gonçalves, Ricardo (2006): Management Quality Measurement: Using Data Envelopment Analysis (DEA) Estimation Approach for Banks in Brazil.
Download (159kB) | Preview
While the quality of a bank's management is generally acknowledged to be a key contributor to a financial institutional failure, it is usually not calculated for lack of an objective measure. This paper presents a new paradigm approach for quantifying a bank's managerial efficiency, using a data envelopment analysis (DEA) model that combines multiple inputs and outputs to compute a scalar measure of efficiency and management quality. The analysis of the largest 50 Brazilian banks over a twelve-year period from 1995 to 2006 shows significant differences in management quality scores between institutions. Hence, this new metric provides an important, but previously missing, modelling element for the early identification of troubled banks and can be used as a tool for off-site bank supervision in Brazil.
|Item Type:||MPRA Paper|
|Original Title:||Management Quality Measurement: Using Data Envelopment Analysis (DEA) Estimation Approach for Banks in Brazil|
|Keywords:||Data Envelopment Analysis, DEA, Banks, Brazil|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency; Event Studies
G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgages
|Depositing User:||Ricardo de Borobia Pires Gonçalves|
|Date Deposited:||16. Oct 2008 14:54|
|Last Modified:||14. Feb 2013 00:49|
Barr, R.S. and T.F. Siems. (1992). ¨Predicting Bank Failure Using DEA to Quantify Management Quality¨, Technical Report 92-CSE-36, Department of Computer Science and Engineering, Southern Methodist University, Dallas, TX.
Barr, R.S., L.M. Seiford and T.F. Siems. (1993). ¨An Envelopment-Analysis Approach to Measuring the Managerial Efficiency of Banks.¨ Annals of Operations Research 45, 1-19.
Barr, R.S., L.M. Seiford and T.F. Siems. (1994). ¨Forecasting Bank Failure: A Non-Parametric Frontier Estimation Approach.¨ Recherches Economiques de Louvain 60(4), 417-429.
Barr, R. S., and T. F. Siems (1997), “Bank Failure Prediction Using DEA to Measure Management Quality,” in Interfaces in Computer Science and Operations Research: Advances in Metaheuristics, Optimization, and Stochastic Modeling Technologies, ed. R. S. Barr, R. V. Helgason, and J. L. Kennington (Norwell, Mass.: Kluwer Academic Publishers), 341–65.
Barr, R.S. and T.F. Siems. (1998). ¨Benchmarking the Productive Efficiency of U.S. Banks¨, Financial Industry Studies, Federal Reserve Bank of Dallas, December.
Barr, R.S., K. A. Killgo, T.F. Siems and S. Zimmel (1999), ¨Evaluating the Productive Efficiency and Performance of U.S. Commercial Banks¨ Financial Industry Studies, Federal Reserve Bank of Dallas, 99-3.
Berger, A.N. and D.B. Humphrey (1997), “Efficiency of financial institutions: International survey and directions for future research.” European Journal of Operational Research 98: 175 - 212.
Charnes, A., W. W. Cooper, and E. Rhodes (1978), “Measuring the Efficiency of Decision Making Units,” European Journal of Operational Research2 (November): 429–44.
Charnes, A., W. W. Cooper, A. Y. Lewin, and L.M. Seiford (1994), ¨Data Envelopment Analysis: Theory, Methodology and Applications¨ (Norwell, Mass.: Kluwer Academic Publishers).
Coelli, T., D.S. Rao, CH O’Donnell, and G. Battese, (2005) ¨An Introduction to Efficiency and Productivity Analysis.¨ 2nd Edition. Springer.
Golany, B. and J. E. Storbeck (1999), “A Data Envelopment Analysis of the Operational Efficiency of Bank Branches,” Interfaces 29(3), May-June: 14 - 26.
Grifell-Tatjé, E. and C.A.K. Lovell (1996), “Deregulation and productivity decline: The case of Spanish savings banks,” European Economic Review 40: 1281-1303.
Grifell-Tatjé, E. and C.A.K. Lovell (1997), “The Sources of Productivity Change in Spanish Banking,” European Journal of Operational Research 98(2), April: 364-380.
Grifell-Tatjé, E. and C. A. K. Lovell (1999), “Profits and Productivity” Management Science 45 (9): 1177-1193.
Paradi, J. C., M. Asmild and P. C. Simak (2004), “Using DEA and Worst Practice DEA in Credit Risk Evaluation,” Journal of Productivity Analysis 21(2), March: 153-65.
Schaffnit, C., D. Rosen and J. C. Paradi (1997), "Best Practice Analysis of Bank Branches: An Application of DEA in a Large Canadian Bank," European Journal of Operational Research 98(2), April: 269-89.