Data envelopment analysis as an alternative approach to managing risks in banking

Autor práce: Fialová, Zuzana
Typ práce: Disertační práce
Vedoucí práce: Jablonský, Josef
Osoba oponující práci: Lukáš, Ladislav; Brezina, Ivan

Informace o vysokoškolské kvalifikační práci

Název práce: Data envelopment analysis as an alternative approach to managing risks in banking
Typ práce: Doctoral thesis
Jazyk práce: English
Abstrakt: The implementation of the Basel II capital adequacy framework promoted internally modelled risk parameters and allowed banks to build their own models. The recent crisis pointed at the gaps in the Basel II Accord, seeing banks having trouble to deal with lack of liquidity and higher default rates. The minimum regulatory capital held by the banks turned out to be insufficient and banks started looking for other techniques to better quantify the risks they are exposed to. Model accuracy is a key objective to meet the capital adequacy requirements while facing severe economic conditions. The purpose of this thesis is to suggest a new approach to credit modelling. Data envelopment analysis (DEA) can overcome some the difficulties that the banks deal with. The key opportunity in using DEA and its modifications is in the fact that this method does not require prior information about the classification between good and bad units and only requires financial and other data about the client in question. This thesis analyses the performance of DEA applied on a real world portfolio of corporate loans compared to the two standard methods used in the banking sector. Logistic regression is the most popular method, having few restrictions and providing output in the form of a probability of default. The second method is the discriminant analysis giving similar results to the logistic regression but being based on more assumptions. The model is validated by comparing the model output with the actual status and its predictive power evaluated.
Klíčová slova: data envelopment analysis; risk management; Credit modelling

Informace o studiu

Studijní program a Studijní obor: Kvantitativní metody v ekonomice/Ekonometrie a operační výzkum
Typ studijního programu: Doktorský studijní program
Jméno přidělované hodnosti: Ph.D.
Instituce přidělující hodnost: University of Economics, Prague
Název fakulty: Faculty of Informatics and Statistics
Název katedry: Department of Econometrics
Instituce archivující a zpřístupňující VŠKP: University of Economics, Prague

Informace o odevzdání a obhajobě

Datum zadání práce: 6. 5. 2014
Datum podání práce: 30. 6. 2014
Datum obhajoby: 24.09.2014
Výsledek obhajoby: Závěrečná práce byla úspěšně obhájena

Soubory ke stažení

Hlavní práce47763_fiaz02.pdf [2,54 MB]
Oponentura37470_Lukáš.pdf [294,33 kB]
Oponentura37471_Brezina.pdf [261,85 kB]
Hodnocení vedoucího47763_jablon.pdf [257,68 kB]

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