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The management efficiency under market risk: an application to the banking production process
Title The management efficiency under market risk: an application to the banking production process Author info Emília Zimková Author Zimková Emília 1964- (100%) UMBEF04 - Katedra financií a účtovníctva
Source document Managing and modelling of financial risks : 8th international scientific conference, Ostrava 5th-6th September 2016, Part 3. Pp. 1093-1100. - Ostrava : VŠB - Technical university of Ostrava, 2016 / Čulík Miroslav ; Managing and modelling of financial risks medzinárodná vedecká konferencia Keywords technical efficiency analýza obalu dát - analýza dátových obalov - data envelopment analysis - DEA hodnotenie rizík - risk assessment value at risk Language English Country Czech Republic systematics 336.7 Annotation 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. URL https://www.ekf.vsb.cz/rmfr/en/year-2016/Conference_proceedings/ Public work category AFC No. of Archival Copy 42478 Catal.org. BB301 - Univerzitná knižnica Univerzity Mateja Bela v Banskej Bystrici Database xpca - PUBLIKAČNÁ ČINNOSŤ 
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