Aframework for Multi-Agent Interbank Payment and Settlement

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Date

2009-11

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Addis Ababa University

Abstract

Interbank payment and settlement systems automate transfer of fund from one bank to another bank on the order of a customer. The communication between banks involved in interbank payment and settlement is automated. Moreover, few agent-based payment systems tried to simulate the trend of incoming and outgoing payments so as to manage liquidity requirement. However, interbank payment and settlement systems developed so far are living with critical problems like gridlock, intraday liquidity management, and interfacing with autonomous legacy systems. Hence this thesis proposes a framework for Multi-Agent Interbank Payment and Settlement (MAIPS) system, which improves interbank payment and settlement system, and extends its coverage. The proposed framework interfaces autonomous banking systems with the interbank payment and settlement system. Besides, MAIPS provides solution for intraday liquidity management and gridlock problems through automated interbank lending. Thus the thesis develops a Multi-Attribute Utility Theory (MAUT) based interbank lending model. In order to secure liquidity through interbank lending, the system floats bid to borrow liquidity, evaluates bidders’ proposal, selects the best lender and agrees with the winner. This interbank lending model is simulated through the prototype called Multi-Agent Interbank Lending System (MAILS), which is developed using Java Agent DEvelopment (JADE) Framework and uses FIPA English Auction Interaction Protocol. Finally the prototype is tested using relevant information so as to clearly visualize interaction of participating banks and check correctness of the prototype. The result of this thesis will bring breakthrough in improving interbank payment and settlement systems. It will also pave the way for multidimensional complex auctions to use decision aid techniques. viii Keywords: Interbank Payment and Settlement, Cheque Clearance, Multi- Agent System, Gridlock, Intraday Liquidity Management, Collateralized Credit, and Interbank Lending.

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Keywords

Interbank Payment and Settlement, Cheque Clearance, Multi- Agent System, Gridlock, Intraday Liquidity Management, Collateralized Credit, and Interbank Lending

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