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

Access to Document

10.5539/ijbm.v7n9p49

Cite this

@article{1cb0c8ade20c481fbfe7a64ab3ff6876,

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.",

author = "Caston Sigauke and Daniel Maposa and Wilbert Chagwiza",

year = "2012",

doi = "10.5539/ijbm.v7n9p49",

language = "English",

volume = "7",

pages = "49 -- 64",

journal = "International Journal of Business and Management",

issn = "1833-3850",

publisher = "Canadian Center of Science and Education",

number = "9",

}

TY - JOUR

T1 - Modelling commercial banks liquidity management using stochastic programming

AU - Sigauke, Caston

AU - Maposa, Daniel

AU - Chagwiza, Wilbert

PY - 2012

Y1 - 2012

N2 - 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.

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.

U2 - 10.5539/ijbm.v7n9p49

DO - 10.5539/ijbm.v7n9p49

M3 - Article

SN - 1833-3850

VL - 7

SP - 49

EP - 64

JO - International Journal of Business and Management

JF - International Journal of Business and Management

IS - 9

ER -