Hodnocení efektivity řízení kreditního rizika vybraných bank států V4 s využitím metody DEA

Abstract

The thesis analysed the credit risk efficiency of selected banking institutions from the Visegrad Four countries using the Data Envelopment Analysis (DEA) method. The CCR and BCC models were applied, and the Malmquist index was also used to capture the efficiency dynamics over time. The NPL Ratio was also calculated, which showed a decreasing trend for most banks. The application of the DEA CCR model showed high technical efficiency, especially for Czech and Slovak banks. The BCC model confirmed full efficiency of Slovak banks and fluctuations for some Czech and Hungarian banks. The Malmquist index analysis revealed a significant improvement in productivity for these banks. Overall, it was found that the best and most stable level of efficiency was maintained by banking institutions from the Czech and Slovak Republics during the period analysed. The contribution of the paper is the quantification of the efficiency of the Visegrad Four banks, which allowed to distinguish between better and worse performing institutions and to compare the efficiency of large universal banks with smaller ones. By applying DEA models and the Malmquist index, a comprehensive view of static and dynamic efficiency was obtained.