標題: A comprehensive analysis of the effects of risk measures on bank efficiency: Evidence from emerging Asian countries
作者: Sun, Lei
Chang, Tzu-Pu
經營管理研究所
Institute of Business and Management
關鍵字: Credit risk;Operational risk;Market risk;Cost efficiency;Stochastic frontier analysis;Marginal effects
公開日期: 1-Jul-2011
摘要: This study investigates the role of risk in determining the cost efficiency of international banks in eight emerging Asian countries. Researchers of this paper consider three distinct risk aspects under a total of eight risk measures: credit risk, operational risk, and market risk. We apply a heteroscedastic stochastic frontier model to estimate bank cost efficiency in our analysis. Additionally, this study analyzes the marginal effects of all risk measures on the inefficiency effect in order to explore a more detailed relationship between risks and efficiency. The empirical results indicate that the risk measures represent significant effects on both the level and variability of bank efficiency. We also find that these effects vary across countries and over time. (C) 2010 Elsevier B.V. All rights reserved.
URI: http://dx.doi.org/10.1016/j.jbankfin.2010.11.017
http://hdl.handle.net/11536/14042
ISSN: 0378-4266
DOI: 10.1016/j.jbankfin.2010.11.017
期刊: JOURNAL OF BANKING & FINANCE
Volume: 35
Issue: 7
起始頁: 1727
結束頁: 1735
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