Modelling Commercial Banks Liquidity Management Using Stochastic Programming

Caston Sigauke, Daniel Maposa, Wifred Chagwiza


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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