Building an Optimal Execution Plan for Liquidity Management Using SAS

Posted: 27 Mar 2013

See all articles by Jimmy Skoglund

Jimmy Skoglund

SAS Institute Inc.

Wei Chen

SAS Institute Inc.

Date Written: March 25, 2012

Abstract

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

Skoglund, Jimmy and Chen, Wei, Building an Optimal Execution Plan for Liquidity Management Using SAS (March 25, 2012). Available at SSRN: https://ssrn.com/abstract=2239088

Jimmy Skoglund (Contact Author)

SAS Institute Inc. ( email )

100 SAS Campus Drive
Cary, NC 27513-2414
United States

Wei Chen

SAS Institute Inc. ( email )

100 SAS Campus Drive
Cary, NC 27513-2414
United States

Here is the Coronavirus
related research on SSRN

Paper statistics

Abstract Views
254
PlumX Metrics