Департамент Финансов НИУ ВШЭ провел гостевые лекции Александра Григорьева (Maastricht)

15 апреля в кампусе на Шаболовке выступил гость Департамента Финансов из нидерландского университета Маастрихта Александр Григорьев.

Optimization of Payments and Risks in Decentralized Large-Value Payment Systems

In modern payment systems there is an enormous interest in decentralized payment solutions because the resources in decentralized systems can be managed much more efficiently compared to centralized systems. Moreover, such undesirable social events as mass operation failures, e.g. mass failures of credit card operations during Christmas shopping week, can be reduced or even avoided. Unfortunately, decision making in decentralized payment systems requires the solution of extremely difficult mathematical problems. Since these problems were not addressed before, the modern payment systems have no efficient decision support for decentralized payments. The aim of this project is to develop the needed decision making machinery, to generate new concepts supporting low-risk payment operations, to model the problems, to understand their complexity and tractability, to provide new algorithms solving the problems efficiently in both, quality and time.

Most of the decentralized payment problems are optimization or mechanism design problems on networks. Approaches to solve applied network problems are well developed for routing, telecommunication and transportation but unfortunately there are no specific solutions for the payment systems. We concentrate on the relatively new and rapidly developing area in international settlements – decentralized large-value payment systems where settlement optimization involve many risk management concepts, e.g. netting effect, credit limits, pricing, off-line transaction time lags, operating time windows, etc. These concepts are quite novel for the network optimization.