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The management efficiency under market risk: an application to the banking production process
Názov The management efficiency under market risk: an application to the banking production process Aut.údaje Emília Zimková Autor Zimková Emília 1964- (100%) UMBEF04 - Katedra financií a účtovníctva
Zdroj.dok. 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 Kľúč.slová technical efficiency analýza obalu dát - analýza dátových obalov - data envelopment analysis - DEA hodnotenie rizík - risk assessment value at risk Jazyk dok. angličtina Krajina Česká republika Systematika 336.7 Anotácia 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/ Kategória publikačnej činnosti AFC Číslo archívnej kópie 42478 Katal.org. BB301 - Univerzitná knižnica Univerzity Mateja Bela v Banskej Bystrici Báza dát xpca - PUBLIKAČNÁ ČINNOSŤ 
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Počet záznamov: 1