Beyond Boundaries: The AHP-DEA Model for Holistic Cross-Banking Operational Risk Assessment
Operational risk assessment has received considerable attention in bank risk management. However, current assessment methods are primarily designed to assess the risk profile of individual banks. To enable cross-bank operational risk assessment, we propose an integrated AHP-DEA (analytic hierarchy p...
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| Format: | Article |
| Language: | English |
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MDPI AG
2024-03-01
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| Series: | Mathematics |
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| Online Access: | https://www.mdpi.com/2227-7390/12/7/968 |
| _version_ | 1797212327913717760 |
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| author | Yuan Hong Shaojian Qu |
| author_facet | Yuan Hong Shaojian Qu |
| author_sort | Yuan Hong |
| collection | DOAJ |
| description | Operational risk assessment has received considerable attention in bank risk management. However, current assessment methods are primarily designed to assess the risk profile of individual banks. To enable cross-bank operational risk assessment, we propose an integrated AHP-DEA (analytic hierarchy process–data envelopment analysis) method. This method determines the importance of assessment criteria by calculating the weighted sum of rank votes after obtaining the importance values for specific rankings with DEA. This procedure replaces the pairwise comparisons in AHP and addresses the challenge of traditional AHPs in determining appropriate importance values when dealing with a large number of indicators. We applied this method to assess the operational risks of three Chinese commercial banks, and the empirical results indicate that this integrated AHP-DEA method is simple and user-friendly, making it suitable for cross-bank operational risk assessment. |
| first_indexed | 2024-04-24T10:40:38Z |
| format | Article |
| id | doaj.art-e7127e359c7e4ff382f5cfd53bfec1a3 |
| institution | Directory Open Access Journal |
| issn | 2227-7390 |
| language | English |
| last_indexed | 2024-04-24T10:40:38Z |
| publishDate | 2024-03-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Mathematics |
| spelling | doaj.art-e7127e359c7e4ff382f5cfd53bfec1a32024-04-12T13:22:30ZengMDPI AGMathematics2227-73902024-03-0112796810.3390/math12070968Beyond Boundaries: The AHP-DEA Model for Holistic Cross-Banking Operational Risk AssessmentYuan Hong0Shaojian Qu1School of Management Science and Engineering, Nanjing University of Information Science & Technology, Nanjing 210044, ChinaSchool of Management Science and Engineering, Nanjing University of Information Science & Technology, Nanjing 210044, ChinaOperational risk assessment has received considerable attention in bank risk management. However, current assessment methods are primarily designed to assess the risk profile of individual banks. To enable cross-bank operational risk assessment, we propose an integrated AHP-DEA (analytic hierarchy process–data envelopment analysis) method. This method determines the importance of assessment criteria by calculating the weighted sum of rank votes after obtaining the importance values for specific rankings with DEA. This procedure replaces the pairwise comparisons in AHP and addresses the challenge of traditional AHPs in determining appropriate importance values when dealing with a large number of indicators. We applied this method to assess the operational risks of three Chinese commercial banks, and the empirical results indicate that this integrated AHP-DEA method is simple and user-friendly, making it suitable for cross-bank operational risk assessment.https://www.mdpi.com/2227-7390/12/7/968operational riskanalytic hierarchy process (AHP)data envelopment analysis (DEA)preference voting system |
| spellingShingle | Yuan Hong Shaojian Qu Beyond Boundaries: The AHP-DEA Model for Holistic Cross-Banking Operational Risk Assessment Mathematics operational risk analytic hierarchy process (AHP) data envelopment analysis (DEA) preference voting system |
| title | Beyond Boundaries: The AHP-DEA Model for Holistic Cross-Banking Operational Risk Assessment |
| title_full | Beyond Boundaries: The AHP-DEA Model for Holistic Cross-Banking Operational Risk Assessment |
| title_fullStr | Beyond Boundaries: The AHP-DEA Model for Holistic Cross-Banking Operational Risk Assessment |
| title_full_unstemmed | Beyond Boundaries: The AHP-DEA Model for Holistic Cross-Banking Operational Risk Assessment |
| title_short | Beyond Boundaries: The AHP-DEA Model for Holistic Cross-Banking Operational Risk Assessment |
| title_sort | beyond boundaries the ahp dea model for holistic cross banking operational risk assessment |
| topic | operational risk analytic hierarchy process (AHP) data envelopment analysis (DEA) preference voting system |
| url | https://www.mdpi.com/2227-7390/12/7/968 |
| work_keys_str_mv | AT yuanhong beyondboundariestheahpdeamodelforholisticcrossbankingoperationalriskassessment AT shaojianqu beyondboundariestheahpdeamodelforholisticcrossbankingoperationalriskassessment |