在线第三方支付市场交易效率与风险度量研究
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摘要
作为电子商务支付解决方案之一,在线第三方支付在市场需求和资本推动的双重作用下,获得了前所未有的快速发展,形成了一个新兴产业市场。在线第三方支付与网上交易两者相互依托、不可分割,是互联网产业中重要性和代表性的业务类型,具有网络产业和金融业的双重特性,同时也是电子商务中准确性、安全性要求最高的业务过程。一方面,在线第三方支付的出现加快了网上交易的便利性、降低了网上交易风险的不确定性、提高了网上交易的诚信度,从而增加网上交易的可能性。另一方面,互联网行业兴起时间短和变化快,产业组织中不断出现新的经济技术特点,在第三方支付产业发展初期面临诸多问题,如产品同质化严重、盈利模式不明确、企业经营资质不明确、沉淀资金利息、信用卡套现、缺失市场监管等。
随着其行业发展环境日趋成熟,在线第三方支付企业迫切需要在管理上运用系统科学的方法,增强竞争力、减少随机性、控制风险因素,并在对自身发展和市场战略进行决策时有更加客观有效的依据。在现行经济制度和社会体制下,研究在线第三方支付市场的发展机制及存在的主要问题,对于促进我国电子商务和金融体系的管理创新无疑具有积极的理论意义和实践指导作用。
由于在线第三方支付行业处在发展的起步阶段,许多内在市场机制的特性和应用价值还没有完全展示出来。本文从在线第三方支付行业发展中存在的现实问题出发,结合多学科领域的研究方法,从理论研究、应用研究和实证研究三个方面构筑分析框架。全文由五个部分7章内容组成,重点围绕在线第三方支付市场机制形成的经济特性、在线第三方支付市场交易效率均衡及实现机制、以及在线第三方支付市场中存在的风险因素等进行分析。
第一部分提出问题(第一章绪论),介绍论文的研究背景、意义、主要内容和论文结构,建立研究思路和分析框架。从宏观环境和微观要素两方面进行概述在线第三方支付如何随着互联网和电子商务的普及而应用发展起来,如行业定位、业务特点、经营内容和商务模式等,并归纳其存在的主要问题,明确研究问题的思路和方法等。
第二部分理论研究(第二章文献综述),以理论体系较为成熟的产业组织理论、交易效率理论、金融风险管理理论入手,在对其丰富的研究成果进行归纳总结的基础上,结合网络经济、长尾理论等新的理论,确定对在线第三方支付进行应用分析的理论依据、使用适宜的分析工具和方法开展实证研究。
第三部分为市场交易效率研究(第三、四章)。第三章从产业组织理论的视角出发,运用产业组织理论中的SCP范式,从市场结构、市场行为、产业绩效三个方面进行理论分析和经验检验,研究技术进步与在线第三方支付市场结构的动态演变,强调产业基本条件对市场结构和市场行为的影响,运用博弈论分析判定在线第三方支付产业发展的短期和长期市场均衡状态。第四章中运用了激励理论和博弈论的古诺模型分析第三方支付作为中介参与交易的微观市场结构和交易行为。对于直接交易模式,通过市场的直接显示机制,讨论其风险因素,证明直接显示机制的纳什均衡实施。关于间接交易模式,则借鉴讨价还价模型,分析柠檬市场中的信息不对称,证明向一个存在逆向选择机制的市场引入一个垄断中介可以增进交易效率。基于激励相容的市场机制,分析交易参与者自主选择效率高的交易方式,实现总体市场机制运行更有效率。其中企业中介理论适用于集中交易的市场机制权衡分析,而企业合约理论适用于分散交易的市场机制权衡分析,并借鉴理论框架分析在线第三方支付市场的效率均衡。
第四部分为极值风险度量研究(第五、六章)。第五章基于现代金融风险测量技术度量在线第三方支付风险,并运用极值理论进行建立相关风险评价模型。由于极值模型是一种历史模拟法,不需要预先对损失数据做出任何假设分布,就能够直接处理损失分布的尾部,是直接利用数据本身说明问题。第六章则根据在线第三方支付风险的分布规律,利用极值理论修正金融风险度量技术VaR模型的计算方法以及风险评价指标,解决VaR模型中分布的厚尾现象,并基于在线第三方支付操作损失的相关公开数据进行实证分析,判定验证模型有效性。同时,结合监管资本的推算,进一步从安全效用、效率效用和直接成本等角度分析了我国在线第三方支付市场监管效益的优劣。
第五部分为研究展望(第七章结论),总结对于在线第三方支付问题的研究结论和主要创新观点,同时指出本论文研究的局限与不足,并对在线第三方支付的市场监管、市场交易效率均衡及极值理论在支付风险管理中的应用研究提出了一些意见和建议。
通过以上理论归纳、应用分析和实证研究,本文研究的主要创新点在于：
(1)应用SCP范式对在线第三方支付产业的市场结构与行为进行系统的理论研究。分别对在线第三方支付产业的市场结构进行了特征分析,运用博弈分析对该产业发展的短期和长期市场均衡状态进行市场行为研究。这是对于传统的SCP范式进行补充,为网络化环境下进行产业组织分析提供一定借鉴作用。
(2)基于网上交易中的信息不对称问题,运用了激励理论和博弈论的古诺模型,分析第三方支付作为中介参与交易的微观市场结构和交易行为,如何实施直接显示机制的纳什均衡,证明逆向选择机制的市场中垄断中介有助于交易效率的提升。并基于激励相容的市场机制,分析交易参与者自主选择效率高的交易方式,以及在线第三方支付交易效率均衡的实现。对于促进我国在线第三方支付市场的稳定发展和政府实施有效监管措施,具有一定借鉴和指导作用。
(3)提出基于极值理论的在线第三方支付行业风险评测模型,从降低操作风险的角度,应用极值理论及其模型,对在线第三方支付现存和可预见的风险进行分类；并针对操作风险,修正和改进了相应理论分析模型,构建了有效的在线第三方支付风险度量模型,同时进行了实证分析,对极值理论在具体行业风险管理中的应用提供了有效参考依据。
论文写作过程中,由于受到时间和数据等客观因素限制,对于在线第三方支付市场发展的研究,还留有许多问题值得进一步探讨。如对于在线第三方支付风险数据的收集方法和数量上还有待完善和提高,还需要优化风险防范和度量模型分析,可进一步较比多种统计模型的建模分析结果。另外,在市场效率分析中,没有考虑网上用户的行为特征,可进一步将其考虑为特殊市场因子；同时也可以将其作为非平稳性、相关性的随机变量纳入风险度量模型的构建、参数估计和模型检验之中,这样可以更加准确地修正风险度量技术模型的计算方法和风险评价指标。
As one of the payment solutions of e-commerce, the online third-party payment is in the rapid growth to become a new industry under the dual push of the market demand and the capital effect. The third-party payment and the online transactions rely on each other. The online third-party payment is the important and typical business service with both characteristics of financial institution and Internet enterprises, which is also required with the highest accuracy and security condition.
The emergence of online third-party payment accelerates the convenience. reduces the risk and uncertainty, improves the credibility of e-commerce and further increases the possibility of online transactions. On the other hand, due to the dramatic expanding of Internet industry in a short time, it always brings some new-economic and technological features in the industrial organization and market. During the initial phrase of industry development, the online third-party payment faces many problems, such as serious homogeneity product, unclear revenue model, lower business qualification, precipitation capital interest, cash out from credit card, missing market supervision, etc. However, with the improvement of industry environment, the online third-party payment enterprise so desperately needs in the scientific management system and method, which strengths on the competitive power, reduces randomness and strength risk control, and contributes to more objective and effective decision-making on their own development and marketing strategy. Under the current economic and social system, the studies on the development of online third-party payment's market mechanism and solutions of main existed, will promote the e-commerce and finance management innovation with positive theoretical value and practical instruction.
Since in early stages of development, many internal market mechanism and industry value characteristics of the online third-party payment haven't exposed fully. This dissertation starts from the main developing situation and problems of online third-party payment industry, combines the multi-disciplinary field research method, including theory research. applied research and empirical studies and is constructed as a clear analysis framework with five parts and seven chapters. This dissertation mainlv focuses on the economic characteristics of market mechanism, the transaction efficiency, and the risk metrics of online third-party payment.
The first part covers chapter 1. which introduces the research background, the significance, the main content and structure and analysis framework. From both of the macro environment and micro components were summarized to describe the online third-party payment enterprise how to with the popularity of Internet and e-commerce applications developed, such as industry positioning, business characteristics, management content and business mode, etc., and sums up the main research problems and methods.
The second part is about theoretical study (chapet 2). With the mature theoretical system, such as the industrial organization theory, transaction efficiency theory, financial risk management, the abundant research achievements are summarized, combining with Internet economy, long tail theory to determine the theory basis and appropriate analysis tools and methods in the empirical research.
The third part is a study on the market mechanism and transaction efficiency. From the perspective of industrial organization theory in chapter 3. the SCP model is applied to analyze market structure, market conduct and markert performance from theoretical study and practical measurement, and further analyze the dynamic evolution of technology progress with the market structure change of online third-party paymen. Also the game theory is applied to judge the short-term and long-term market equilibrium of online third-party payment industry in development. The chapter 4 is based on the incentive theory and the game theory model. In direct transaction, it is proved how to implement the Nash equilibrium. In indirect transaction, the transaction efficiency can be improved through introducing a monopoly intermediary in the reverse market mechanism. Meanwhile, the transaction participants should select a high efficient way based on the incentive compatibility and market mechanism. The intermediation and contract theory is separately applied to analyze the collective and distributed transaction balance. Furthermore, the efficiency equilibrium of market mechanism in online third-party payment can be studied under such theotical framework.
The fourth part is about the risk measurement analysis based on EVT. In the chapter 5, the risk measurement of online third-party payment is applied on the modern financial risk control theories, and a relevant risk evaluation model is established based on the extreme value theory (EVT). In the chapter 6, according to the risk distribution law of online third-party payment, the EVT fixed financial risks VaR model and risk indexes to solve the thick tail distribution. Meanwhile, the operating losses and related data of online third-party payment are used to do an empirical analysis to verify the effectiveness of the model judgement.
The last part is the cnonclusion and prospect of research (chapter 7). All of the online third-party payment problems in this dissertation are summarized and the limitations are related with the shortage of data. There are some suggestions and future research on online third-party payment, such as improving market regulation, increasing EVT application in online payment risk management.
Based on the above theory introduction, application analysis and empirical studies, there are some innovation points proposed in this dissertation.
(1) The SCP model is applied to study the industries characteristics of online third-party payment, to make a clear market framework of online third-party payment development, including market structure, market conduct and market performance, to describe the long-term and short-term market equilibrium state of such industry development. This is supplement for the traditional SCP model under network environment to analyze the industrial organization.
(2) Based on the asymmetric information in online transactions, the incentive theory and the game theory are used to analyze the third-party payment. As a transaction medium, it is analyzed how the micro market structure and conduct is in the third-party payment, and how to implement the direct show mechanism of Nash equilibrium, and proof that the transaction efficiency can be improved through introducing a monopoly intermediary in the reverse market mechanism. Meanwhile, the transaction participants should select a high efficient way based on the incentive compatibility and market mechanism, and the efficiency balance on the market mechanism of the online third-party payment.
(3) A risk metric model is put forward based on the extreme value theory (EVT) to low operational risks. The EVT and its model is applied to study the existing and foreseeable risk classification of online third-party payment. After revising and improving the corresponding theoretical analysis model, an empirical analysis of extreme value theory is conducted to specify industries risk management application and provide effective reference to further study.
In study process of this dissertation, because of time limit and shortage of data, there are still many problems deserved to further study. The risk measurement of the online third-party payment enterprises is not perfect, and can be optimized from both of data and method. Meanwhile, with the development of risk control and measurement analysis on online payment, the EVT model should be further improved in view of the online consumer behavior characteristics which is one of particular market risk factors and non-stationary random and correlation variables, and parameter estimation in the model test of financial risk metric to fix the calculation method of technical model and risk assessment indexes. In addition, the Monte-carlo simulation can be used to solve the problem of historical data which is difficult to obtain, etc.
随着其行业发展环境日趋成熟,在线第三方支付企业迫切需要在管理上运用系统科学的方法,增强竞争力、减少随机性、控制风险因素,并在对自身发展和市场战略进行决策时有更加客观有效的依据。在现行经济制度和社会体制下,研究在线第三方支付市场的发展机制及存在的主要问题,对于促进我国电子商务和金融体系的管理创新无疑具有积极的理论意义和实践指导作用。
由于在线第三方支付行业处在发展的起步阶段,许多内在市场机制的特性和应用价值还没有完全展示出来。本文从在线第三方支付行业发展中存在的现实问题出发,结合多学科领域的研究方法,从理论研究、应用研究和实证研究三个方面构筑分析框架。全文由五个部分7章内容组成,重点围绕在线第三方支付市场机制形成的经济特性、在线第三方支付市场交易效率均衡及实现机制、以及在线第三方支付市场中存在的风险因素等进行分析。
第一部分提出问题(第一章绪论),介绍论文的研究背景、意义、主要内容和论文结构,建立研究思路和分析框架。从宏观环境和微观要素两方面进行概述在线第三方支付如何随着互联网和电子商务的普及而应用发展起来,如行业定位、业务特点、经营内容和商务模式等,并归纳其存在的主要问题,明确研究问题的思路和方法等。
第二部分理论研究(第二章文献综述),以理论体系较为成熟的产业组织理论、交易效率理论、金融风险管理理论入手,在对其丰富的研究成果进行归纳总结的基础上,结合网络经济、长尾理论等新的理论,确定对在线第三方支付进行应用分析的理论依据、使用适宜的分析工具和方法开展实证研究。
第三部分为市场交易效率研究(第三、四章)。第三章从产业组织理论的视角出发,运用产业组织理论中的SCP范式,从市场结构、市场行为、产业绩效三个方面进行理论分析和经验检验,研究技术进步与在线第三方支付市场结构的动态演变,强调产业基本条件对市场结构和市场行为的影响,运用博弈论分析判定在线第三方支付产业发展的短期和长期市场均衡状态。第四章中运用了激励理论和博弈论的古诺模型分析第三方支付作为中介参与交易的微观市场结构和交易行为。对于直接交易模式,通过市场的直接显示机制,讨论其风险因素,证明直接显示机制的纳什均衡实施。关于间接交易模式,则借鉴讨价还价模型,分析柠檬市场中的信息不对称,证明向一个存在逆向选择机制的市场引入一个垄断中介可以增进交易效率。基于激励相容的市场机制,分析交易参与者自主选择效率高的交易方式,实现总体市场机制运行更有效率。其中企业中介理论适用于集中交易的市场机制权衡分析,而企业合约理论适用于分散交易的市场机制权衡分析,并借鉴理论框架分析在线第三方支付市场的效率均衡。
第四部分为极值风险度量研究(第五、六章)。第五章基于现代金融风险测量技术度量在线第三方支付风险,并运用极值理论进行建立相关风险评价模型。由于极值模型是一种历史模拟法,不需要预先对损失数据做出任何假设分布,就能够直接处理损失分布的尾部,是直接利用数据本身说明问题。第六章则根据在线第三方支付风险的分布规律,利用极值理论修正金融风险度量技术VaR模型的计算方法以及风险评价指标,解决VaR模型中分布的厚尾现象,并基于在线第三方支付操作损失的相关公开数据进行实证分析,判定验证模型有效性。同时,结合监管资本的推算,进一步从安全效用、效率效用和直接成本等角度分析了我国在线第三方支付市场监管效益的优劣。
第五部分为研究展望(第七章结论),总结对于在线第三方支付问题的研究结论和主要创新观点,同时指出本论文研究的局限与不足,并对在线第三方支付的市场监管、市场交易效率均衡及极值理论在支付风险管理中的应用研究提出了一些意见和建议。
通过以上理论归纳、应用分析和实证研究,本文研究的主要创新点在于：
(1)应用SCP范式对在线第三方支付产业的市场结构与行为进行系统的理论研究。分别对在线第三方支付产业的市场结构进行了特征分析,运用博弈分析对该产业发展的短期和长期市场均衡状态进行市场行为研究。这是对于传统的SCP范式进行补充,为网络化环境下进行产业组织分析提供一定借鉴作用。
(2)基于网上交易中的信息不对称问题,运用了激励理论和博弈论的古诺模型,分析第三方支付作为中介参与交易的微观市场结构和交易行为,如何实施直接显示机制的纳什均衡,证明逆向选择机制的市场中垄断中介有助于交易效率的提升。并基于激励相容的市场机制,分析交易参与者自主选择效率高的交易方式,以及在线第三方支付交易效率均衡的实现。对于促进我国在线第三方支付市场的稳定发展和政府实施有效监管措施,具有一定借鉴和指导作用。
(3)提出基于极值理论的在线第三方支付行业风险评测模型,从降低操作风险的角度,应用极值理论及其模型,对在线第三方支付现存和可预见的风险进行分类；并针对操作风险,修正和改进了相应理论分析模型,构建了有效的在线第三方支付风险度量模型,同时进行了实证分析,对极值理论在具体行业风险管理中的应用提供了有效参考依据。
论文写作过程中,由于受到时间和数据等客观因素限制,对于在线第三方支付市场发展的研究,还留有许多问题值得进一步探讨。如对于在线第三方支付风险数据的收集方法和数量上还有待完善和提高,还需要优化风险防范和度量模型分析,可进一步较比多种统计模型的建模分析结果。另外,在市场效率分析中,没有考虑网上用户的行为特征,可进一步将其考虑为特殊市场因子；同时也可以将其作为非平稳性、相关性的随机变量纳入风险度量模型的构建、参数估计和模型检验之中,这样可以更加准确地修正风险度量技术模型的计算方法和风险评价指标。
As one of the payment solutions of e-commerce, the online third-party payment is in the rapid growth to become a new industry under the dual push of the market demand and the capital effect. The third-party payment and the online transactions rely on each other. The online third-party payment is the important and typical business service with both characteristics of financial institution and Internet enterprises, which is also required with the highest accuracy and security condition.
The emergence of online third-party payment accelerates the convenience. reduces the risk and uncertainty, improves the credibility of e-commerce and further increases the possibility of online transactions. On the other hand, due to the dramatic expanding of Internet industry in a short time, it always brings some new-economic and technological features in the industrial organization and market. During the initial phrase of industry development, the online third-party payment faces many problems, such as serious homogeneity product, unclear revenue model, lower business qualification, precipitation capital interest, cash out from credit card, missing market supervision, etc. However, with the improvement of industry environment, the online third-party payment enterprise so desperately needs in the scientific management system and method, which strengths on the competitive power, reduces randomness and strength risk control, and contributes to more objective and effective decision-making on their own development and marketing strategy. Under the current economic and social system, the studies on the development of online third-party payment's market mechanism and solutions of main existed, will promote the e-commerce and finance management innovation with positive theoretical value and practical instruction.
Since in early stages of development, many internal market mechanism and industry value characteristics of the online third-party payment haven't exposed fully. This dissertation starts from the main developing situation and problems of online third-party payment industry, combines the multi-disciplinary field research method, including theory research. applied research and empirical studies and is constructed as a clear analysis framework with five parts and seven chapters. This dissertation mainlv focuses on the economic characteristics of market mechanism, the transaction efficiency, and the risk metrics of online third-party payment.
The first part covers chapter 1. which introduces the research background, the significance, the main content and structure and analysis framework. From both of the macro environment and micro components were summarized to describe the online third-party payment enterprise how to with the popularity of Internet and e-commerce applications developed, such as industry positioning, business characteristics, management content and business mode, etc., and sums up the main research problems and methods.
The second part is about theoretical study (chapet 2). With the mature theoretical system, such as the industrial organization theory, transaction efficiency theory, financial risk management, the abundant research achievements are summarized, combining with Internet economy, long tail theory to determine the theory basis and appropriate analysis tools and methods in the empirical research.
The third part is a study on the market mechanism and transaction efficiency. From the perspective of industrial organization theory in chapter 3. the SCP model is applied to analyze market structure, market conduct and markert performance from theoretical study and practical measurement, and further analyze the dynamic evolution of technology progress with the market structure change of online third-party paymen. Also the game theory is applied to judge the short-term and long-term market equilibrium of online third-party payment industry in development. The chapter 4 is based on the incentive theory and the game theory model. In direct transaction, it is proved how to implement the Nash equilibrium. In indirect transaction, the transaction efficiency can be improved through introducing a monopoly intermediary in the reverse market mechanism. Meanwhile, the transaction participants should select a high efficient way based on the incentive compatibility and market mechanism. The intermediation and contract theory is separately applied to analyze the collective and distributed transaction balance. Furthermore, the efficiency equilibrium of market mechanism in online third-party payment can be studied under such theotical framework.
The fourth part is about the risk measurement analysis based on EVT. In the chapter 5, the risk measurement of online third-party payment is applied on the modern financial risk control theories, and a relevant risk evaluation model is established based on the extreme value theory (EVT). In the chapter 6, according to the risk distribution law of online third-party payment, the EVT fixed financial risks VaR model and risk indexes to solve the thick tail distribution. Meanwhile, the operating losses and related data of online third-party payment are used to do an empirical analysis to verify the effectiveness of the model judgement.
The last part is the cnonclusion and prospect of research (chapter 7). All of the online third-party payment problems in this dissertation are summarized and the limitations are related with the shortage of data. There are some suggestions and future research on online third-party payment, such as improving market regulation, increasing EVT application in online payment risk management.
Based on the above theory introduction, application analysis and empirical studies, there are some innovation points proposed in this dissertation.
(1) The SCP model is applied to study the industries characteristics of online third-party payment, to make a clear market framework of online third-party payment development, including market structure, market conduct and market performance, to describe the long-term and short-term market equilibrium state of such industry development. This is supplement for the traditional SCP model under network environment to analyze the industrial organization.
(2) Based on the asymmetric information in online transactions, the incentive theory and the game theory are used to analyze the third-party payment. As a transaction medium, it is analyzed how the micro market structure and conduct is in the third-party payment, and how to implement the direct show mechanism of Nash equilibrium, and proof that the transaction efficiency can be improved through introducing a monopoly intermediary in the reverse market mechanism. Meanwhile, the transaction participants should select a high efficient way based on the incentive compatibility and market mechanism, and the efficiency balance on the market mechanism of the online third-party payment.
(3) A risk metric model is put forward based on the extreme value theory (EVT) to low operational risks. The EVT and its model is applied to study the existing and foreseeable risk classification of online third-party payment. After revising and improving the corresponding theoretical analysis model, an empirical analysis of extreme value theory is conducted to specify industries risk management application and provide effective reference to further study.
In study process of this dissertation, because of time limit and shortage of data, there are still many problems deserved to further study. The risk measurement of the online third-party payment enterprises is not perfect, and can be optimized from both of data and method. Meanwhile, with the development of risk control and measurement analysis on online payment, the EVT model should be further improved in view of the online consumer behavior characteristics which is one of particular market risk factors and non-stationary random and correlation variables, and parameter estimation in the model test of financial risk metric to fix the calculation method of technical model and risk assessment indexes. In addition, the Monte-carlo simulation can be used to solve the problem of historical data which is difficult to obtain, etc.
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