Mối quan hệ giữa hiệu quả kinh doanh và rủi ro tín dụng của các ngân hàng thương mại Việt Nam
DOI:
https://doi.org/10.24311/jabes/2016.27.1.1035Keywords:
DEA, economic efficiency, technical efficiency, allocated efficiency, commercial banks, credit risk, Malmquist productivity IndexesAbstract
This study is conducted to address the relationship between banking efficiency and credit rist under the Vietnamese circumstance, using the nonparametric method DEA (Data Envelopment Analysis) and Malmquist Productivity Indexes analysis for the data of 13 Vietnamese join-stock commercial banks from 2010 to 2014. The results show that the levels of business efficiency of these banks relatively differ; particularly, on average they reveal inefficient performance in spite of the positive signs for the Malmquist index. In addition, measuring the credit risk by loan loss provision suggests that it has an impact on the banking business efficiency.
References
Berger, A. N., & Humphrey, D. B. (1997). Efficiency of financial institutions: International survey and directions for future research. European Journal of Operational Research, 98(2), 175-212.
Berger, A. N., & De Young, R. (1997). Problem loans and cost efficiency in commercial banks. Journal of Banking and Finance, 6(21), 849-870.
Berger, A. N., & Mester, L. J. (1997). Inside the black box: What explains differences in the efficiencies of financial institutions?. Journal of Banking and Finance, 21, 895-947.
Chang, T. C., & Chiu, Y. H. (2006). Affecting factors on risk-adjusted efficiency in Taiwan’s banking industry. Contemporary Economic Policy, 24(4), 634-648.
Charnes, A., Cooper, W., & Rhodes, E. (1978). Measuring efficiency of decision making units. European Journal of Operations Research, 6(3), 429-444.
Chen, S. H., & Liao, C. C. (2011). Are foreign banks more profitable than domestic banks? Home - and host-country effects of banking market structure, governance, and supervision. Journal of Banking & Finance, 35(4), 819-839.
Coelli, T. (1996). A guide to DEAP version 2.1: A data envelopment analysis (computer) program. CEPA Working Paper 1996/08. Retrived from http://www.une.edu.au/econometrics/cepa.htm.
Coyle, B. (2000). Framework for credit risk management. Chartered Institute of Bankers, United Kingdom.
Debreu, G. (1951). The coefficient of resource utilization. Econometrica,19(3), 273-292.
Drake, L., Hall, M. J. B., & Simper, R. (2006). The impact of macroeconomic and regulatory factors on bank efficiency: Anon-parametric analysis of Hong Kong’s banking system. Journal of Banking and Finance, 30(5), 1443-1466.
Diewert, W. E. (1973). Functional forms for profit and transformation functions. Journal of Economic Theory, 6(3), 284-316.
Farrell, M. J. (1957). The measurement of productive efficiency. Journal of the Royal Statistical Society, 120(3), 253-290.
Knaup, M., & Wagner, W. B. (2002). A market-based measure of credit quality and bank performance during the subprime crisis. Management Science, 58(8), 1423-1437.
Koopmans, T. C. (1951). An analysis of production as an efficient combination of activities, in Koopmans, T. C. (Ed.): Activity analysis of production and allocation, proceeding of a conference, 33-97, John Wiley and Sons Inc., London.
Liu, M. H., & Altunbas, Y., & Molyneux, P. R. (2000). Efficiency and risk in Japanese banking. Journal of Banking & Finance, 24(10), 1605-1628.
Aigner, D., Lovell C., & Schmidt, P. (1977). Formulation and estimation of stochastic frontier production function models. Journal of Econometrics, 6(1), 21-37.
Lu, S., & Wang, M., (2012). How to measure the credit risk of housing loans: Evidence from a Taiwanese bank. Emerging Markets Finance & Trade, 48(2), 122-138.
Pasiouras, F. (2008). Estimating the technical and scale efficiency of Greek commercial banks: the impact of credit risk, off-balance sheet activities, and international operations. Research in International Business and Finance, 22(3), 301-318.
Paxton, J. (2007). Technical efficiency in a semi-formal financial sector: The case of Mexico. Oxford Bulletin of Economics and Statistics, 69(1), 57-74.
Podpiera, J., & Weill, L. (2008). Bad luck or bad management? Emerging banking market experience. Journal of Finance, 4, 135-148. Retrived from http://dx.doi.org/10.2139/ssrn.965785.
Sun, L., & Chang, T. P. (2010). A comprehensive analysis of the effects of risk measures on bank efficiency: Evidence from emerging Asian countries. Journal of Banking & Finance, 35(7), 1727-1735.
Tsolas, I. E., & Charles, V. (2015). Incorporating risk into bank efficiency: A satisficing DEA approach to assess the Greek bankingcrisis. Expert Systems with Applications, 42(7), 3491-3500. Retrived from http://dx.doi.org/10.1016/j.eswa.2014.12.033.
Downloads
Published
Issue
Section
License
Copyright (c) 2016 JOURNAL OF ASIAN BUSINESS AND ECONOMIC STUDIES
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
