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Simulation Research of Interbank Payment System

Student: Donskoy Mikhail

Supervisor: Alexander Petrovich Kirsanov

Faculty: Graduate School of Business

Educational Programme: Business Informatics (Bachelor)

Final Grade: 9

Year of Graduation: 2016

The object of this study is efficiency of clearing in interbank payment flows and optimal conditions for using clearing system instead of RTGS (real time gross settlement systems). The study based upon the realistic model of interbank payment system and sheds light on clearing’s role in liquidity management. Using graph theory, linear programming, and mathematical modeling it was found that clearing is most effective when the share of non-urgent and small payments is growing. Furthermore, amount of freed up liquidity is heavily connected with frequency of clearing and topology of network. Key words: clearing model, liquidity management, transportation theory, interbank payment flows

Full text (added May 20, 2016)

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