Risk management efficiency measurement and analysis under uncertainty

2019 ◽  
pp. 154-210
Author(s):  
Shahsuzan Zakaria ◽  
Sardar M. N. Islam
Keyword(s):  
Risk Management ◽  
Efficiency Measurement ◽  
Management Efficiency ◽  
Measurement And Analysis

scholarly journals Investigation of the Pillars of Sustainability Risk Management as an Extension of Enterprise Risk Management on Palestinian Insurance Firms’ Profitability

2020 ◽  
Vol 12 (11) ◽  
pp. 4709
Author(s):  
Rami Shaheen ◽  
Mehmet Ağa ◽  
Husam Rjoub ◽  
Ahmad Abualrub
Keyword(s):  
Risk Management ◽  
Method Of Moments ◽  
Generalized Method Of Moments ◽  
Political Stability ◽  
Enterprise Risk Management ◽  
Reverse Causality ◽  
Comprehensive Understanding ◽  
Management Efficiency ◽  
Enterprise Risk ◽  
Insurance Firms

This research paper examined the simultaneous relationship between sustainability risk management (SRM) as an extension of Enterprise Risk Management (ERM) and Palestinian insurance firms’ profitability, for the period spanning 2007Q1 to 2018Q4, by applying the panel dynamic (Generalized Method of Moments) GMM model. The literature was expanded by providing a comprehensive understanding of determining the pillars of ERM with the use of the factor analysis principle component method. The findings revealed that the firm’s profitability positively corresponded to ERM1 implementation, which represents “management efficiency”. In contrast, it shows negative correspondence to ERM2 implementation, which represents “control and ownership”. Furthermore, there were slightly negative signs from managing the use of leverage and they were conservative in terms of loss reserves. The challenges of firms’ profitability have negatively corresponded to emerging sustainability risks, such as political stability, that cause premiums written to show weak signs of excessive choice of risk or prices that are not met carefully. Interestingly, there is a positive relationship in the interaction between ERM2 implementation during the crisis period on insurance firms’ profitability. There is a robust causal relationship from ERM to the profitability (either positive or negative). The reverse causality is also significant but to a lesser extent. Thus, the study recommends alignment more coherent with the implication of ERM as holistic risk according to the market characteristic towards the environmental perils leads to sustainable development and its segments to maintain the longer term of survival in the firms’ performance.

scholarly journals Analysis of Chinese Commercial Banks’ Risk Management Efficiency Based on the PCA-DEA Approach

2021 ◽  
Vol 2021 ◽  
pp. 1-11
Author(s):  
Xiao Shi ◽  
Wenqi Yu
Keyword(s):  
Risk Management ◽  
Technical Efficiency ◽  
Commercial Banks ◽  
Economies Of Scale ◽  
Banking System ◽  
Principal Component ◽  
Commercial Banking ◽  
Scale Efficiency ◽  
Management Efficiency ◽  
Chinese Banking Industry

As a special type of enterprises with high risks, Chinese commercial banks’ risk management plays an important role in banks’ business process. Measuring and improving the risk management efficiency of the Chinese commercial banking system has recently attracted increasing interest. Previous studies analyze the business performance of commercial banks from the perspective of the overall management level of banks, and few articles focus on the risk management ability of banks. This paper evaluates the technical efficiencies of Chinese commercial banks’ risk management by the DEA-BCC model with window analysis to come up with some recommendations for policy makers. The technical efficiency is then decomposed into pure technology efficiency and scale efficiency. According to the banking risk supervision indicators released by the China Banking Regulatory Commission, we choose the indicators of 26 commercial banks’ risk management during the period of 2011 to 2019. Principal component analysis (PCA) is applied to delete redundant input indicators. The paper gives a dynamic evaluation of technology efficiency, pure technology efficiency, and scale efficiency. The main empirical results are as follows: (1) the technical efficiency of Chinese commercial banks’ risk management is low, and the differences among three different types of banks are large. (2) The pure technology inefficiency of Chinese commercial banks’ risk management has become a key factor restricting the improvement of the risk management of the Chinese banking industry. (3) The Chinese commercial banks’ risk management faces a serious problem which is economies of scale. (4) The technical efficiencies of Chinese commercial banks’ risk management fluctuate greatly, and management capabilities need to be enhanced urgently.

scholarly journals ESTIMATION OF RISK MANAGEMENT EFFICIENCY FROM THE PERSPECTIVE OF THE STAKEHOLDERS

2015 ◽  
Vol 10 (2) ◽  
Author(s):  
Vasilisa Makarova
Keyword(s):  
Risk Management ◽  
Stock Prices ◽  
Key Factors ◽  
Statistical Research ◽  
Management Efficiency ◽  
The Subject ◽  
The Moment ◽  
Object Of Study ◽  
The Impact ◽  
Comprehensive Study

Estimation of efficiency from the perspective of an external investor draws a high enough interest in assessing the efficiency of risk management. Since the methods risk management are nontransparent information, the carrying out of empirical research is enough complicated. However, in a number of papers the elements of the assessment of so-called "market efficiency" are traceable, among which the most common factors are: the behavior of stock prices at the moment of collapse of the market, lower average cost of capital. However, a comprehensive study on risk management efficiency of companies from the perspective of stakeholders has not yet provided. The aim of this study is to fill this gap. The purpose of this study is as follows: to identify how stakeholders assess the key factors of risk management efficiency, and to create a comprehensive approach to the implementation of this assessment with the using of statistical research techniques and methods. The object of study is the Russian real sector of economy, the subject of study is the risk management efficiency of companies. In this article author provides the results of the survey on the evaluation the risk management efficiency, processed by means of statistical analysis methods calculation of the actual ratings of Russian companies on the basis of the criteria obtained from the survey, as well as the results of the regression analysis of the impact of identified efficiency criteria of risk management on the investment attractiveness of Russian companies. In the article Russian companies are ranked based on their risk management efficiency.

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