Open AccessModelling Commercial Banks Liquidity Management Using Stochastic Programming
Author(s) -
Caston Sigauke,
Daniel Maposa,
Wilbert Chagwiza
Publication year - 2012
Publication title -
international journal of business and management
Language(s) - English
Resource type - Journals
eISSN - 1833-8119
pISSN - 1833-3850
DOI - 10.5539/ijbm.v7n9p49
Subject(s) - market liquidity , treasury , liquidity risk , business , stochastic programming , factoring , computer science , finance , actuarial science , economics , mathematical optimization , mathematics , archaeology , history
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.