Modelling bank performance: a network DEA approach

Fukuyama, Hirofumi; Matousek, Roman

Abstract

In this paper, we develop a bank network revenue function to evaluate banks’ network revenue performance. The bank network revenue function, which extends the environmental revenue function and the two-stage network cost function, is constructed as the difference between total revenue and the reserves for possible loan losses to incorporate the roles played by non-performing loans in bank production. The second part of the paper then applies Nerlove's revenue inefficiency model. We consider revenue maximization in two stages. We apply this function to Japanese banks operating from September 2000 to March 2013.

Citation

Fukuyama, H., & Matousek, R. (2017). Modelling bank performance: a network DEA approach. European Journal of Operational Research, 259(2), https://doi.org/10.1016/j.ejor.2016.10.044

• Journal Article Type: Article
• Acceptance Date: Oct 23, 2016
• Online Publication Date: Oct 28, 2016
• Publication Date: Jun 1, 2017
• Deposit Date: May 8, 2018
• Publicly Available Date: Oct 29, 2018
• Journal: European Journal of Operational Research
• Print ISSN: 0377-2217
• Electronic ISSN: 1872-6860
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 259
• Issue: 2
• DOI: https://doi.org/10.1016/j.ejor.2016.10.044
• Keywords: Data Envelopment Analysis; Bank revenue function; Japanese banks; Non-performing loans; Two stage network DEA
• Public URL: https://nottingham-repository.worktribe.com/output/862958
• Publisher URL: https://www.sciencedirect.com/science/article/pii/S0377221716308785?via%3Dihub
• Contract Date: May 8, 2018