Building an Optimal Execution Plan for Liquidity Management Using SAS
Posted: 27 Mar 2013
Date Written: March 25, 2012
Liquidity risk is a risk of not being able to generate enough funds to meet the payment obligation. There has been a growing amount of literature on liquidity assessment and planning following the recent financial crisis. So far, not enough attention is given to the liquidity execution. At the time of a liquidity crunch, there are often multiple funding sources available. These funds are available at different sizes with various constraints in order to be cashed at fair cost. Quicker funding can be achieved at a much higher trading cost. This paper proposes a project plan model for liquidity execution with optimal conversion strategy using SAS. It provides a solution at the time of liquidity plan execution and leads to pre-constructing a practical liquidity profile.
Keywords: Liquidity execution, Optimal execution plan, Counterbalancing capacity
Suggested Citation: Suggested Citation