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Implementation of optimal settlement functions in real-time gross settlement systems

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  • Rodrigo Peñaloza

    (Departamento de Economia (Department of Economics) Faculdade de Economia, Administração, Contabilidade e Ciência da Informação e Documentação (FACE) (Faculty of Economics, Administration, Accounting and Information Science) Universidade de Brasília)

Abstract

Peñaloza (J. of Math. Econ., 2009) modeled the functioning of real-time gross settlement (RTGS) systems as an in nite dimensional linear programming prob- lem and used duality theory to determine the shadow-prices of banks. Though he proved the existence of optimal settlement rules in RTGS systems without cen- tralized queueing facilities, he did not show how optimal settlements can be imple- mented. In this paper, we show that the optimal settlement rule can be implemented by an optimization routine involving reordering and spliting of payments. Such op- timization routine is a no-queueing analog of the rst-in- rst-out (FIFO) rule with reordering used in many RTGS systems with queueing.

Suggested Citation

  • Rodrigo Peñaloza, 2011. "Implementation of optimal settlement functions in real-time gross settlement systems," Working papers - Textos para Discussao do Departamento de Economia da Universidade de Brasilia 353, Departamento de Economia da Universidade de Brasilia.
    • Handle: RePEc:brs:wpaper:353
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