EFFICIENT ALGORITHMS FOR THE CLEARING OF INTERBANK PAYMENTS

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 Prob lem (BCP), where the clearing volume is the objective function and the deposits of the participants are the limiting resources. In this pape r we discuss the BCP as it occurs in Germany's largest interbank payme nt system. We present several simple but surprisingly efficient heuris tic algorithms that are analyzed by a simulation approach. (C) 1998 El sevier Science B.V.