Modelling commercial banks liquidity management using stochastic programming

Caston Sigauke; Daniel Maposa; Wilbert Chagwiza

doi:10.5539/ijbm.v7n9p49

Modelling commercial banks liquidity management using stochastic programming

Caston Sigauke, Daniel Maposa, Wilbert Chagwiza

Research output: Contribution to journal › Article › Research › peer-review

Abstract

In this paper a stochastic programming framework for liquidity management of commercial banks in Zimbabwe is developed. The paper sets out to explain an important financial planning model for liquidity management; in particular it discusses why in practice optimum planning models are used. The ability to build an integrated approach which combines treasury security assets models with that of income generating decisions have proved desirable and more efficient in that it can lead to better liquidity decisions. The role of uncertainty and quantification of risk in these planning models is considered.

Original language	English
Pages (from-to)	49 - 64
Number of pages	16
Journal	International Journal of Business and Management
Volume	7
Issue number	9
DOIs	https://doi.org/10.5539/ijbm.v7n9p49
Publication status	Published - 2012

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10.5539/ijbm.v7n9p49

Cite this

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title = "Modelling commercial banks liquidity management using stochastic programming",

abstract = "In this paper a stochastic programming framework for liquidity management of commercial banks in Zimbabwe is developed. The paper sets out to explain an important financial planning model for liquidity management; in particular it discusses why in practice optimum planning models are used. The ability to build an integrated approach which combines treasury security assets models with that of income generating decisions have proved desirable and more efficient in that it can lead to better liquidity decisions. The role of uncertainty and quantification of risk in these planning models is considered.",

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AB - In this paper a stochastic programming framework for liquidity management of commercial banks in Zimbabwe is developed. The paper sets out to explain an important financial planning model for liquidity management; in particular it discusses why in practice optimum planning models are used. The ability to build an integrated approach which combines treasury security assets models with that of income generating decisions have proved desirable and more efficient in that it can lead to better liquidity decisions. The role of uncertainty and quantification of risk in these planning models is considered.

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