為了要建立清算支付系統的風險控管指標，以防止支付系統當中的連線成員的轉帳帳戶餘額不足以執行支付指令。首先必須了解轉帳支付金額與市場風險因子的關聯性，進而模擬預測各金融機構的透支機率，並量化風險以達到風險控管的目標。
本研究利用某國巨量清算支付資料，探討影響支付轉帳金額的風險因子，以回歸的估計方法取得預測值，再以模擬的方式得到各連線機構受到風險因子變動而產生的餘額透支可能性變化，建立可以控管各金融機構的帳戶餘額的監控指標。並進一步以風險因子的巨大變化來做壓力測試，可檢驗各金融機構是否在各種壓力情境下能夠保持其穩定性。

In order to construct risk management indicators in case of overdraft in payment system, we need to understand the correlation of transfer and risk factors, and then quantify the risk by simulation.
This study is using the payment data in Payment System to investigate the risk factors of transfer. Then we predict transfer values by regression and simulation by risk factors variation to understand the opportunity of overdraft with some indicators. Finally, increase and decrease 10% risk factor value to do the pressure test for the toughness in payment system.

1. Faraway, J.J. (2005), Linear Models with R, Chapman & Hall/CRC.

2. Faraway, J.J. (2006), Extending the Linear Model with R, Chapman & Hall/CRC.