Applying a non-parametric Data Envelopment Analysis (DEA) method, this paper attempts to investigate the efficiency of Malaysian banks during the post-merger period. We further analyzed the impact of risk and problem loans on Malaysian bank efficiency, when compared to the results attained from the basic DEA model. We found that the merger has largely benefited small and medium sized banks while on the other hand, large banks suffer from scale inefficiency and have been consistently operating at declining returns to scale (DRS). We found that the inclusion of loan loss provisions has resulted in an increase in the estimated mean efficiency levels for all banks under study. Our results also suggest that the mean pure technical efficiency estimates are much more sensitive than the mean scale efficiency estimates to the exclusion of risk factors.