چکیده:
This research, recognizing the importance of efficiency and risk as two fundamental important categories in banking industry, seeks to review the effectiveness of two popular models: parametric (SFA) method with economic basis and nonparametric (MEA) method with mathematical optimization basis to evaluate bank efficiency and rank and select an optimal model and also to identify the impact of credit, operational, market and liquidity risks on banking system efficiency. In this regard 15 banks were selected as statistical research community over the last six years (2005-2011). Using average performance provided by the above two methods, banks were ranked with Deap and Frontier software, and then to examine the presence or absence of significant correlation between the rankings provided by these two methods, the Pearson correlation coefficient was used. The results suggest differences in the two methods with regard to performance evaluation and ranking of banks, and show a relative superiority of SFA method, compared to MEA method. In addition, to examine the impact of efficiency on risk, for the four studied risks based on selected indicators, four models were estimated using econometric methods and the ordinary least squares (OLS). The results showed that each of the studied risks and their related indicator and their specific coefficient, significantly affect on efficiency.
خلاصه ماشینی:
"Effects of Risk Parameters (Credit, Operational, Liquidity and Market Risk) on Banking System Efficiency (Studying 15 Top Banks in Iran) Ebrahim Hoseininassab 1 Kazem Yavari 2 Nader Mehregan 3 Reza Khoshsima 4 Received: 2012/04/22 Accepted: 2012/11/21 Abstract This research, recognizing the importance of efficiency and risk as two fundamental important categories in banking industry, seeks to review the effectiveness of two popular models: parametric (SFA) method with economic basis and nonparametric (MEA) method with mathematical optimization basis to evaluate bank efficiency and rank and select an optimal model and also to identify the impact of credit, operational, market and liquidity risks on banking system efficiency.
Gonzalez in 2005 in an article titled "Bank regulation and risk regarding causative factors: an international comparison of bank risk" considering the number of bank branches and number of personnel as input, and investments and volume of deposits as output, efficiency of banks was obtained with influencing credit risk and total risk variables using DEA model, and accordingly ranked the banks.
Sun and Chang in 2010, during a relatively comprehensive survey in an article titled "Comprehensive analysis of the effects of risk on bank performance: evidence from emerging countries in Asia," studied the correlation between operational, credit and markets risk of banks in Thailand and performance of sample bank branches; evaluated the performance of branched using DEA and SFA methods and resulted a significant correlation between risk and performance."