The management efficiency under market risk: an application to the banking production process

Zimková, Emília, 1964- The management efficiency under market risk: an application to the banking production process / Emília Zimková. -- In the paper, an assessment of management efficiency under the market risk is carried out by applying two different modeling approaches to the bank's branches operating in Slovakia. The input and output variables respect a production approach of the banking production theory and they are researched by means of the slack-based measurement of the data envelopment analysis as proposed by Tone (2001). While first model estimates technical efficiency without considering the market risk, the second one includes the VaR of participation certificates sold by individual branches and therefore its technical efficiency scores reflect the management efficiency under market risk. The results bring enhanced information for managerial decision making as they moderate the conflict between a sales-driven front-office culture and a risk focused culture in banks.

In Managing and modelling of financial risks : 8th international scientific conference, Ostrava 5th-6th September 2016 Čulík, Miroslav. -- Ostrava : VŠB - Technical university of Ostrava, 2016. -- 1114 p.. -- ISBN ISBN 978-80-248-3994-3. -- ISSN 2464-6989. -- Pp. 1093-1100

1. technical efficiency 2. analýza obalu dát 3. hodnotenie rizík 4. value at risk

I. Managing and modelling of financial risks : 8th international scientific conference, Ostrava 5th-6th September 2016. -- Pp. 1093-1100

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