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

Peter Sarlin, Tomas Eklund

    Tutkimustuotos: Artikkeli kirjassa/raportissa/konferenssijulkaisussaLukuTieteellinenvertaisarvioitu

    Abstrakti

    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.
    AlkuperäiskieliEi tiedossa
    OtsikkoKnowlege-Based and Intelligent Information and Engineering Systems
    Sivut186–195
    Sivumäärä10
    TilaJulkaistu - 2011
    OKM-julkaisutyyppiA3 Kirjan osa tai toinen tutkimuskirja

    Keywords

    • European banks
    • Self-organizing map
    • financial performance analysis
    • fuzzified clustering
    • visualization

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