Document Type
Article
Source of Publication
Annals of Operations Research
Publication Date
1-1-2024
Abstract
This study uses the multi-criteria decision-analysis (MCDA) approach to construct a composite performance index (CPI) directly from the CAMELS financial ratios. The CPI has several promising characteristics, such as (i) being an absolute measure of performance that allows for adding or removing data without affecting the existing scores; (ii) employing CAMELS ratios directly in its calculation without the need for normalization or imputation of positive values; (iii) employing the dynamic weighting system of data envelopment analysis (DEA); (iv) providing more robust insights on the Vietnamese banking system under the Shannon entropy approach; and (v) can be an alternative measure of bank stability, compared to the CAMELS ratings and z-scores. Based on a rich dataset of 45 Vietnamese banks spanning from 2002 to 2020, our findings suggest that the proposed CPI could offer an overall view consistent with other approaches for measuring banking sector performance and stability and identifying specific strengths and weaknesses of banks.
DOI Link
ISSN
Publisher
Springer Science and Business Media LLC
Disciplines
Business
Keywords
CAMELS, Composite performance index, Data envelopment analysis, Multi-criteria decision-analysis (MCDA), Shannon entropy, Vietnamese banks
Scopus ID
Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.
Recommended Citation
Boubaker, Sabri; Ngo, Thanh; Samitas, Aristeidis; and Tripe, David, "An MCDA composite index of bank stability using CAMELS ratios and shannon entropy" (2024). All Works. 6553.
https://zuscholars.zu.ac.ae/works/6553
Indexed in Scopus
yes
Open Access
yes
Open Access Type
Hybrid: This publication is openly available in a subscription-based journal/series