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Article

Эффективность клиринга для различных моделей платежей между участниками расчетов

Кирсанов А. П., Кузнецов А. А.

One of the important trends of payment system development is the process of clearing or netting. Clearing is a method of cashless payment based on the netting of mutual claims and liabilities of legal entities and individuals for goods (services) and securities. The main advantage of using the clearing payment systems is the ability to significantly reduce the number and total amount of payments. This explains the popularity of this type of non-cash settlements in Western Europe and the USA. The purpose of this work is to investigate the efficiency of multilateral clearing (reducing the total amount of payments by the netting) with different types of distribution of payments between settlement participants. First of all, different models of payments between settlement participants were considered in this article. Matrix and graph models are developed and used to describe set of payments. Thus the netting procedure was formalized in the form of a transport-type linear programming problem where the matrix of gross payments was used as the initial data and elements of the matrix of net payments were the required quantities. Then it was developed the different models of payment matrixes. It was demonstrated that an important factor of the clearing is the size of participants (banks), which performs the payment and that total amounts and number of payments depend on the size and capitalization of banks. The analysis also identified the main features of these models for various situations which can be found in actual payment systems. Finally, using the simulation modeling it was investigated the efficiency of the clearing process for various initial matrixes of gross payments, compared the efficiency of the procedures of bilateral and multilateral netting and identified the key factors affecting the efficiency of the multilateral interbank clearing. First, it was shown that the efficiency of multilateral clearing is almost independent of the distribution laws of payments with the same values of mathematical expectation and standard deviation. Second, it was shown that the reduction in payment amounts by the netting is highly dependent on the structure (in particular, on the density) of payment matrixes, that is, on the probability of payments. According to the research it can be concluded that the most important key factor affecting the efficiency of the clearing is the homogeneity of elements of the matrix of gross payments. The results of this work can be useful in developing real-world payment systems based on the netting process.