The Evaluation of Commercial Banks Performance and Market Risk by using of Fuzzy DEA
محورهای موضوعی : International Journal of Data Envelopment AnalysisJavad Gerami 1 , Seyed Majid Sajjadi 2
1 - Department of Mathematics, Shiraz Branch, Islamic Azad University, Shiraz, Iran
2 - Department of Financial, Shiraz Municipality, Shiraz, Iran
کلید واژه: Data envelopment analysis, Ass, Fuzzy set,
چکیده مقاله :
This study presents a reasonable program for large commercial banks in order to supply bank resources by the long term bank deposits and investments, making balance between financial commitments and investments, enhancing the value at risk by maintaining market and bank high liquidity, management of crisis in condition of liquidity shortage and funds, assessment of value at risk index by using determination bank interval efficiency, ranking the set of commercial big bank by using of the fuzzy data envelopment analysis (DEA) models. In the following, we extend fuzzy slack-based model (SBM) for fuzzy inputs and outputs data. We are determined the risk factors in bank operating process by using of inefficiency concept. In this study, we use the data of seven banks which were accepted in Tehran Stock Exchange (Eghtesad novin bank, Parsian, Tejarat, Sina, Karafarin, Melat and Saderat) over a 4 years' period from 2012 to 2015. We use the fuzzy DEA for assessment of value at risk index for Banks listed on the Tehran Stock Exchange.
[1] Abbasian E., Mehregan N., (2007), to measure the productivity of factors of production sectors to the DEA, Tahghighate eghtesadi 153-176.
[2] Alexander C.O., Leigh C.T., (1997), on the covariance matrices used in value at risk models, Journal of Derivatives 4 (3) 50–62.
[3] Altunbas Y., Liu M.H., Molyneux P., R. Seth, (2000), Efficiency and risk in Japanese banking, Journal of Banking and Finance 24, 1605–1628.
