تدوين مدلي براي مديريت ترازنامه بانك هاي پذيرفته شده در بورس اوراق بهادار تهران

A Two-Stage Dynamic Model for Evaluating the Performance of Private Banks: Using DEA Approach

اين مقاله به ارائه مدلي براي مديريت ترازنامه بانك‌ هاي تجاري پذيرفته‌شده در بورس اوراق بهادار تهران با استفاده از برنامه‌ريزي آرماني خواهد پرداخت. بانك‌ ها با ريسك‌ هاي گوناگون و مختلفي روبه‌ رو هستند و بايد الزامات وضع‌ شده توسط بانك مركزي را نيز رعايت نمايند. علاوه بر اين؛ همانند ساير مؤسسات مالي اهداف ديگري همانند سودآوري براي سهامداران خود را نيز مدنظر دارند. برنامه‌ ريزي آرماني امكان تعقيب هدف‌ هاي تعيين‌شده را هم‌زمان با رعايت محدوديت‌ هاي وضع‌ شده فراهم مي‌سازد. بر اساس نتايج اين تحقيق؛ ترازنامه‌ هاي بانك‌ هاي پذيرفته‌شده در بورس اوراق بهادار تهران در سال 90 تفاوت فاحش و چشمگيري با ترازنامه‌ هاي بهينه داشته است. مجموع درصدهاي انحراف اقلام ترازنامه بهترين و بدترين بانك بورسي از ترازنامه بهينه بانك خود به ترتيب 3674 و 33034 بوده است

This study evaluates the performance of private banks through the Data Envelopment Analysis (DEA) method. Providing services in banks and converting available resources into outputs is composed of various stages and internal processes, and the performance of each of the banks varies over time. Typical DEA models are not able to measure the performance of internal and sequential processes, as well as performance measurement over different time periods. Therefore, in the present study, using a dynamic DEA approach, a two-stage model is designed to measure the efficiency and effectiveness of each bank in different time periods. The proposed model, taking into account the main and successive processes of banks' income generation, is to measure efficiency, effectiveness and the performance of each of the banks at each time period, as well as determining the overall performance and ranking of banks. The results show that banks that are quite effective or fully efficient in a given time period are not necessarily the best banks in terms of performance in that period. Also, in terms of overall performance, only one bank was able to achieve a complete score, while other banks have also been successful in some of the time in terms of efficiency and effectiveness.