Extreme Value Theory-based Online Payment Risk Measurement Research

One of the core questions of the development of E-business is Internet payment, such as electromic cash,e-cheque and digital credit card.The market protential of Internet payment is huge,but the problem of the risk of Internet payment restricts the boom of the Internet payment.The essence of measuring the risks of Internet payment is to build up a reasonable asset allocating model which can maximize the utility of the Internet payment system,or minimize the related trading costs,while the VaR methods provides an efficient model for the allocation of e-money assets.Presently,the VaR method has been widely used in measuring financial risks by many financial institutions.BaselⅡhas recommended it as an advanced measurement of risks,which should be adopted as a standard by relevant regulatory bodies and financial institutions.However,when VaR is used to measure various extreme risks of financial issues,for example,operational risks,it has some defects.This paper is intended to summarize the existing researches of online payment and operational risks, and revise the computing methods of the VaR model as well as the assessment index of risks in accordance with the distribution of the online payment risk.Finally it will deal with the phenomenon of the distribution,which has been mentioned above,in the VaR model measuring the risk of online payment,and give a clear future research direction on measuring extreme financial risks.This paper is divided into five chapters.The first chapter analyzes the research background,the topic significance,as well as domestic and foreign related research situation;The second chapter makes the summary and the commentary to online payment and the operational risk's main research,and describes the flaw of the calculation method of VaR.Thus it introduces the necessity of revising VaR with the extreme value theory.The third chapter introduces the most important two models of EVT:BMM and POT,puts forward the new VaR model revised by it.The fourth chapter conducts an empirical analysis on the related data sample of some online banks with the above risk measuring model of Internet payment.The fifth chapter summarizes the above discussion and proposes the research dicrection.The research is sponsored by National Natural Science Funds(No.70702028).