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Incorporating risk into bank efficiency: A satisficing DEA approach to assess the Greek banking crisis

机译：将风险纳入银行效率：令人满意的DEA方法评估希腊银行业危机

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This paper is motivated by recent concerns, prompted by the recent financial crisis, that regulatory capital guidelines on loan loss reserves can generate dysfunctional outcomes and, moreover, by the fact that the Greek bonds held by the banks have an important impact on the risk level of the bank portfolio. The purpose of this paper is to incorporate risk into bank efficiency and to provide a snapshot of the efficiency profile of the Greek banking industry. Efficiency is measured by means of a satisficing data envelopment analysis (DEA) model in which the financial risk is proxied by credit risk provisions and by the participation of banks in the Private Sector Involvement (PSI), a controllable and an uncontrollable factor by the bank management, respectively. The results of the proposed probabilistic DEA model derived through the Monte-Carlo simulation are compared with the results of the respective deterministic model. As the constructed stochastic frontier screens further some of the 'best-in-class' banks, the merit of the proposed metric is evident.
机译：本文受到近期金融危机的推动而产生的担忧，即有关贷款损失准备金的监管资本准则可能会产生功能失调的结果，此外，银行持有的希腊债券对风险水平具有重要影响这一事实银行投资组合。本文的目的是将风险纳入银行效率，并提供希腊银行业效率概况的快照。效率是通过令人满意的数据包络分析（DEA）模型来衡量的，在该模型中，财务风险由信贷风险准备金和银行参与私营部门参与（PSI）来代替，而私人部门参与（PSI）是银行的可控和不可控因素管理。将通过蒙特卡洛模拟得出的建议概率DEA模型的结果与各个确定性模型的结果进行比较。随着构建的随机边界进一步筛选了一些“同类最佳”银行，拟议指标的优点显而易见。

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