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Predicting performance in ASEAN banks: an integrated fuzzy MCDM–neural network approach
Author(s) -
Wanke Peter,
Kalam Azad Md. Abul,
Barros C. P.,
HadiVencheh Abdollah
Publication year - 2016
Publication title -
expert systems
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.365
H-Index - 38
eISSN - 1468-0394
pISSN - 0266-4720
DOI - 10.1111/exsy.12144
Subject(s) - computer science , market liquidity , artificial neural network , fuzzy logic , equity (law) , efficiency , multiple criteria decision analysis , ideal solution , econometrics , data mining , artificial intelligence , operations research , finance , statistics , economics , mathematics , physics , estimator , political science , law , thermodynamics
This paper presents a performance assessment of 88 Association of Southeast Asian Nations banks from 2010 to 2013, using an integrated three‐stage approach on financial criteria that emulates the CAMELS rating system. More precisely, fuzzy analytic hierarchy process is used first to assess the relative weights of a number of criteria related to capital adequacy (C), asset quality (A), management quality (M), earnings (E), liquidity (L), and sensitivity to market risk (S) based on the opinion of 88 Association of Southeast Asian Nations experts. Then, these weights are used as technique for order of preference by similarity to ideal solution inputs to assess their relative efficiency. Lastly, neural networks are combined with technique for order of preference by similarity to ideal solution results to produce a model for banking performance with effective predictive ability. The results reveal that contextual variables have a prominent impact on efficiency. Specifically, parsimony in equity leveraging derived from Islamic finance principles may be the underlying cause in explaining higher efficiency levels.