In this paper we will present a model for evaluating one of the factors that are conditioning e-business in general, and e-banking in particular, i.e., transaction risk. The problem of fraud detection is a well known problem in banking settings, but it has been magnified by the advent of Internet and the massive transfer of economic transactions from traditional face-to-face relations to virtual environments. The problem of fraud detection has reached a world-wide extension, pushing banking institutions toward the regulation of e-banking usage. In order to provide internationally active banks with better incentives to measure and manage their risk properly, the New Basel Capital Accord, also known as "Basel 2" has been developed. This accord, though it faces the definition of the elements that compose the transaction risk, does not give any indication about how to identify precisely the elements of this item, and about how to calculate it. In this paper, we will propose a model for calculating the amount that should be set aside by bank institutions, in order to face one of the component of transaction risk, i.e., the risk related with frauds in a Internet-based context. This work aims therefore to describe from a mathematical-statistical point of view the structure of the risk of transaction fraud in an Internet-based context, for a Bank that faces the risk of potential losses due to fraudulent customers using Internet to do their transactions.

A MODEL FOR EVALUATING THE TRANSACTION RISK IN E-BANKING

VENTRE V
2004

Abstract

In this paper we will present a model for evaluating one of the factors that are conditioning e-business in general, and e-banking in particular, i.e., transaction risk. The problem of fraud detection is a well known problem in banking settings, but it has been magnified by the advent of Internet and the massive transfer of economic transactions from traditional face-to-face relations to virtual environments. The problem of fraud detection has reached a world-wide extension, pushing banking institutions toward the regulation of e-banking usage. In order to provide internationally active banks with better incentives to measure and manage their risk properly, the New Basel Capital Accord, also known as "Basel 2" has been developed. This accord, though it faces the definition of the elements that compose the transaction risk, does not give any indication about how to identify precisely the elements of this item, and about how to calculate it. In this paper, we will propose a model for calculating the amount that should be set aside by bank institutions, in order to face one of the component of transaction risk, i.e., the risk related with frauds in a Internet-based context. This work aims therefore to describe from a mathematical-statistical point of view the structure of the risk of transaction fraud in an Internet-based context, for a Bank that faces the risk of potential losses due to fraudulent customers using Internet to do their transactions.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11591/390117
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