Financial Performance Analysis of European Banks Using a Fuzzified Self-Organizing Map

A3 Bokavsnitt, kapitel i forskningsböcker


Interna författare/redaktörer


Publikationens författare: Sarlin Peter, Eklund Tomas
Publiceringsår: 2011
Tidskrift: Lecture Notes in Computer Science
Moderpublikationens namn: Knowlege-Based and Intelligent Information and Engineering Systems
Tidskriftsakronym: LECT NOTES COMPUT SC
Seriens namn: Lecture Notes in Computer Science
Volym: 6882
Artikelns första sida, sidnummer: 186
Artikelns sista sida, sidnummer: 195
Antal sidor: 10


Abstrakt

Due to the recent wave of bank failures, stress tests have been conducted on banks within the European Union. The stress tests, however, only consider the adequacy of a bank's capital ratios, whereas the general financial performance of individual banks is disregarded. In this paper, we use the Self-Organizing Map (SOM) to perform a visual multidimensional and temporal financial performance analysis of European banks. We address several different problems concerning financial performance analysis. We deal with the problem of selecting suitable financial ratios by performing dimensionality reduction using PCA. We also deal with difficult data using outlier trimming and normalization techniques, and use the SOM for imputing missing values. We use a decision-framework for choosing the final model, based upon a set of map and clustering quality measures. Finally, we implement a second-level fuzzified Ward clustering for visualization purposes and for assessing the crispness of the solution. The result is a visual SOM model for financial performance analysis of European banks.


Nyckelord

European banks, financial performance analysis, fuzzified clustering, Self-organizing map

Senast uppdaterad 2020-23-02 vid 04:11