Efficient algorithms for the clearing of interbank payments

Efficient algorithms for the clearing of interbank payments

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Article ID: iaor19992385
Country: Netherlands
Volume: 106
Issue: 1
Start Page Number: 212
End Page Number: 219
Publication Date: Apr 1998
Journal: European Journal of Operational Research
Authors: , ,
Keywords: heuristics, programming: integer
Abstract:

The clearing of interbank payments is a process which usually involves an immense amount of money and a large number of participants. It can be modeled as a discrete optimization problem, the Bank Clearing Problem (BCP), where the clearing volume is the objective function and the deposits of the participants are the limiting resources. In this paper we discuss the BCP at is occurs in Germany’s largest interbank payment system. We present several simple but surprisingly efficient heuristic algorithms that are analyzed by a simulation approach.

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