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Title:
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A MODEL FOR EVALUATING THE TRANSACTION RISK IN E-BANKING |
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Author(s):
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Mario Fedrizzi , Andrea Molinari , Viviana Ventre |
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ISBN:
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972-98947-5-2 |
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Editors:
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Pedro Isaías, Piet Kommers and Maggie McPherson |
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Year:
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2004 |
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Edition:
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1 |
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Keywords:
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E-banking, fraud detection, Markov model. |
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Type:
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Full Paper |
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First Page:
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172 |
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Last Page:
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178 |
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Language:
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English |
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Cover:
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Full Contents:
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click to dowload 
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Paper Abstract:
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In this paper we will present a model for evaluating one of the factors that are conditioning e-business in general, and ebanking
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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