Assessing the performance of banks through an improved sigma-mu multicriteria analysis approach

IF 6.7 2区 管理学 Q1 MANAGEMENT
Silvia Angilella , Michalis Doumpos , Maria Rosaria Pappalardo , Constantin Zopounidis
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引用次数: 0

Abstract

The σ-μ efficiency methodology has been recently introduced for multicriteria evaluation problems, based on the framework of Stochastic Multi-Attribute Acceptability analysis (SMAA), to address the uncertainty in the performance of a set of decision alternatives. The methodology builds, iteratively, a set of Pareto-Koopmans efficiency frontiers, which are used to assess the alternatives with respect to their expected performance and its variability, measured across different scenarios for the weights of the evaluation criteria. This paper presents an improved algorithmic implementation of this methodology that provides results that are consistent with the Pareto dominance relation between the alternatives. The proposed approach is employed to evaluate the performance of a sample of European banks which participated in the European stress tests conducted by the European Banking Authority, over the last five years available (2017–2021). The performance and efficiency of the banks is analyzed using financial criteria along with environmental, social, and governance (ESG) factors. Results from comprehensive and disaggregated analysis reveal performance disparities among banks in financial and ESG factors, highlighting the influence of country-specific green policies and individual bank practices. Valuable for the banking sector and regulators, the findings help identify operational inefficiencies and propose areas for performance enhancement, operational improvement, and innovation, with a focus on green practices.

通过改进的西格玛-穆多标准分析法评估银行绩效
最近,在随机多属性可接受性分析(SMAA)框架的基础上,针对多标准评价问题引入了 σ-μ 效率方法,以解决一组决策备选方案性能的不确定性问题。该方法通过迭代建立了一组帕累托-库普曼斯效率前沿,用于评估备选方案的预期绩效及其可变性,并在不同情况下衡量评价标准的权重。本文介绍了这一方法的改进算法实施,其结果与备选方案之间的帕累托优势关系相一致。本文采用所提出的方法,对参加欧洲银行管理局进行的欧洲压力测试的欧洲银行样本在过去五年(2017-2021 年)的表现进行了评估。分析银行的绩效和效率时使用了财务标准以及环境、社会和治理(ESG)因素。综合和分类分析的结果显示了银行在财务和 ESG 因素方面的绩效差异,凸显了特定国家绿色政策和个别银行实践的影响。这些研究结果对银行业和监管机构很有价值,有助于发现运营效率低下的问题,并提出提高绩效、改善运营和创新的领域,重点关注绿色实践。
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来源期刊
Omega-international Journal of Management Science
Omega-international Journal of Management Science 管理科学-运筹学与管理科学
CiteScore
13.80
自引率
11.60%
发文量
130
审稿时长
56 days
期刊介绍: Omega reports on developments in management, including the latest research results and applications. Original contributions and review articles describe the state of the art in specific fields or functions of management, while there are shorter critical assessments of particular management techniques. Other features of the journal are the "Memoranda" section for short communications and "Feedback", a correspondence column. Omega is both stimulating reading and an important source for practising managers, specialists in management services, operational research workers and management scientists, management consultants, academics, students and research personnel throughout the world. The material published is of high quality and relevance, written in a manner which makes it accessible to all of this wide-ranging readership. Preference will be given to papers with implications to the practice of management. Submissions of purely theoretical papers are discouraged. The review of material for publication in the journal reflects this aim.
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