STUDY OF THE SIMULATION AND OPTIMIZATION SYSTEM OF INTERBANK SETTLEMENTS

Abstract

The aim of this paper is a computer study of the system for simulation and optimization of interbank settlements. The system is based on the Poisson-lognormal model of settlement flow and performs iterative simulation and optimization of expected transaction costs using randomly generated samples of transaction flows. The results of study by Monte-Carlo simulation are given, based on data of the payment and settlement system of the Bank of Lithuania.