Operations research and bank planning

Starting with its use by the military in World War II, the Systems approach to problems solving and planning found its way into the business field. In the U.S.A. this was partly due to the filter-down effect into many firms entering into long term contracts with the Department of Defense. In examining the use of Systems Analysis in corporate planning, there appeared to be a prominent gap in its general use in the financial services industry of which commercial banks are the most important segment. Theoretically, banks are ideal economic units to use mathematically oriented Operations Research. Therefore, an in-depth study of such an existing planning system as used in a major U.S. commercial bank was undertaken. Such a case study, it was hoped, would yield important information as to how to introduce such a planning system into a bank, the types of programs in which it appeared to have strengths and weaknesses, and its applicability to planning processes in commercial banking generally. Consequently, a series of interviews with the director of this planning activity, his staff, and other officers of the bank were conducted. In order to obtain the data used in this study, a pledge to maintain anonimity of the bank was required. So, in the balance of this presentation, it shall be known as ‘The Bank’.     

Corporate planning in small companies— a survey

The current state of research on corporate planning is directed at investigations of actual practices within specific industries. It is believed that by so doing, a more generally applicable theory of corporate planning will ultimately be developed. Within this broad framework, the study reported upon in this article was undertaken so that a determination could be made of the current level of actual planning by small businesses. More specifically, it focuses upon the corporate planning process within small and medium sized companies located in New England, U.S.A.     

The survival strategy of a small local cooperative bank

The research on the strategic problems of the firm operates with concepts wich refer to markets, products, resources, and organization of the firm. This approach which concentrated on the economic aspects of the behaviour of the firm may in some cases ignore vital points especially with reference to the strategy of small firms.This article analyses the strategy of the Lannevesi Cooperative Bank. This small bank has been able to survive in a world, where concentration in the banking industry has been rapid. The bank has survived due to its strategy. This strategy may be given a meaningful interpretation in the framework of the theories of Parsons and Smelser (1956). In the miniature society of the village the bank operates in the economy and polity sub-systems as banks do in a modern specialized society. The unique feature in the strategy of the bank, which cannot be analyzed just in economic terms is its operation as an active agent in the integrative and pattern maintenance sub-systems of the village society. Solidarity and cohesion in the village are essential to the survival of the bank.     

The current practice of bank long-range planning

This paper reports on a recent survey of long-range planning practices in 105 large United States banks. The survey results indicate that long range planning is a relatively new corporate activity with more than half the respondents initiating long range planning the last 5 years. To the extent these banks lead others, this finding suggests greater adoption of long range planning systems in small and medium size banks in the future. Profitability and growth goals are the primary goals quantified in the planning process. These goals are pursued via various strategies. Profit goals are typically pursued by improving pricing policies, adjusting mix and maturity of assets and liabilities to minimize adverse effects of interest rate fluctuations, managing spreads through proper loan pricing and bond portfolio management and tightening cost control with a particular emphasis on non-interest expense. Growth goals are achieved by branch expansion, use of bank holding companies, and increased market penetration through product diversification and sales training programmes designed to develop new business. In addition, information is presented on trends that appear to be developing in the area of long-range planning in the banking industry.     

OR/MS modeling in long range bank planning

For over 10 years, The Bank of New York has conducted formal Long Range Planning, to insure profitable long term growth. The planning system developed by the Bank relies heavily on Financial Planning and OR/MS Modeling has been an important part of this system. This paper describes the approach taken by the Bank to develop their system and the experience gained through managing the system.     

Developing a corporate planning model for a small company

This article describes the development and implementation of a corporate simulation model for a medium-sized New Zealand firm producing a range of medium density fiberboard products. Problems associated with the design and implementation of a planning model in a relatively young, capital-intensive company are highlighted in terms of changing objectives and model requirements. An assessment of costs and benefits is included.     

Business planning in successful small firms

Strategic planning has been widely publicized during the last decade, but what has been accomplished by this management activity in smaller, high-growth firms? Business plans have been widely recommended for start-up funding, but we have noted additional uses for business plans in pratice. This article reports methods and results of strategic planning and written business plans in high-growth ‘INC. 500’ firms. In spite of a variety of obstacles, over half of the firms conduct strategic planning on a regular basis. Results of this study show that fast-growth firms develop written business plans as a product of strategic planning, mainly by five key management personnel. Written business plans are used more for internal management purposes than for start-up funding. Finally, the completion of strategic planning is positively associated with a firm's profitability. Based on survey and interview data, this article describes a four-phase model to help ensure effective integration of strategic planning processes and the resulting written business plans.     

Strategic planning in small and medium-sized companies

In analysing the characteristics of strategic planning applications in different types and sizes of companies, confusion often arises not because of the application but because of the definitions utilized. This paper analyses the use of strategic planning concepts in small and medium-sized companies in Holland. As the author points out, in this context the definition of small and medium-sized is determined by five strategically relevant criteria which are distinctive. The author points out, however, that whilst these criteria are distinctive of the category of small and medium-sized companies surveyed, they do not all have to occur at the same time; the higher the number that do occur, the more typical the company. Whilst this paper does not, as the author admits, represent the result of a systematic survey, the authors wide experience as a consultant is in itself a valuable background to his analysis. Indeed, the findings stated in this paper represent an analysis of the strategic planning practises of some 75–100 companies. Therefore, in view of the detailed criteria utilized and the number of companies analysed the results represent an important addition to our knowledge of the application of strategic planning.     

The role of strategic planning in small business

One of the important reasons for the tremendous interest in corporate strategy and strategic planning is that managers realize that a good strategy greatly increases the likelihood of a firm's success. Strategic planning is not the only reason for success, but there have been several studies which show that firms that plan their strategies are more effective. Taking the relationship of strategy and success as given, this paper considers the need to develop strategic planning for small businesses, and summarizes the findings of a recent survey on strategy of small businesses.Sixty-two minority and 58 non-minority small businesses were studied in this survey. A Likert-type questionnaire was used for the study. The survey indicates that the small businessmen fail, cope, and learn in the struggle for survival. Judgment, experience and intuition seem to play a more important role than any well structured technique of strategic planning. The businessmen were found to be ‘growth maniacs’, since growth may be the most tangible manifestation of achievement. The study leads to the conclusion that efforts should be made to improve the planning knowledge of this vital sector of economy.     

融资流动性与市场流动性

市场流动性刻画市场的交易能力,融资流动性反映投资者的融资能力,两种流动性及其相关程度是衡量金融市场健康发展的重要指标,为了控制与防范危机时期金融市场的风险,有必要准确分析和量化融资流动性与市场流动性的关系。以融资流动性和股票市场流动性为研究对象,以美国次级债危机作为研究背景,选择2000年1月3日～2008年4月30日作为样本区间,运用DCC-MVGARCH模型估计融资流动性与股票市场流动性之间的动态相关系数,并通过t检验对比金融危机前后两者之间动态条件相关系数的时间走势,以证实两种流动性在危机时期是否存在相互增强的促进作用。实证结果表明,危机爆发前,融资流动性与股票市场流动性的动态相关性较低,且相对稳定,但危机爆发后,两种流动性的相关性显著增强,且波动程度变大,呈现出流动性螺旋的现象。这一结论为危机中市场流动性突然消失提供了理论解释,并以此提出提升市场流动性的相关政策和建议。     

Production planning and control improvements in a small UK garment manufacturer; a case study

Through the medium of a case study, this paper highlights problems typical of a small manufacturer whose business operates in a turbulent environment, yet who lacks adequate planning and scheduling software needed to provide some visibility and control. This paper reveals how improvement options were evaluated, a system selected, and appropriate procedures and management disciplines installed to underpin the electronic solution. Finally, the paper closes with some cogent insights into the usefulness of finite capacity scheduling tools, and their successful operation.     

Strategic planning for increased profit in the small business

This article examines the problems facing the owner-managers of small businesses, and details the investment required in strategic process development which would guarantee the critical 5 per cent difference to ensure the successful growth and adaptability of the company. Formal strategic planning needs to blend with team development to create the concept of ‘strategy-in-use’ and the development of effective management teamwork out of a planning process.     

Long range planning for the small firm

The article describes a clear and effective method to undertake basic Long Range Planning. The method has been developed for the busy managers of small firms which do not carry specialist staff. The method involves a single page worksheet on which will appear the entire basic long range planning process. The method can be described as 'Every- managers Long Range Planning!     

Liquidity and Trading Dynamics

In this paper, we build a model where the presence of liquidity constraints tends to magnify the economy's response to aggregate shocks. We consider a decentralized model of trade, where agents may use money or credit to buy goods. When agents do not have access to credit and the real value of money balances is low, agents are more likely to be liquidity constrained. This makes them more concerned about their short‐term earning prospects when making their consumption decisions and about their short‐term spending opportunities when making their production decisions. This generates a coordination element in spending and production which leads to greater aggregate volatility and greater comovement across producers.     

Strategic planning for small and medium-sized enterprises: The COMPASS project

The paper introduces a methodology and a set of software tools designed to support the definition and implementation of enterprise strategies particularly for small and medium-sized enterprises SMEs . The COMPASS method and tools support a stepwise refinement of basic strategic options and a simulation-based evaluation taking into account the objectives the SME has given itself. They assist in the derivation of detailed project plans, and they help monitoring the success of the chosen strategy. Inexperienced users can taken advantage of the built-in knowledge and experience in the field of strategic planning which reflects the actual state of the art in economic science. The paper describes the method and tools which were developed in the ESPRIT project 6617 COMPASS, and discusses their strong and weak points in the light of experience gained during test applications in three SMEs.     

Liquidity in Asset Markets With Search Frictions

We develop a search‐theoretic model of financial intermediation in an over‐the‐counter market and study how trading frictions affect the distribution of asset holdings and standard measures of liquidity. A distinctive feature of our theory is that it allows for unrestricted asset holdings, so market participants can accommodate trading frictions by adjusting their asset positions. We show that these individual responses of asset demands constitute a fundamental feature of illiquid markets: they are a key determinant of trade volume, bid–ask spreads, and trading delays—the dimensions of market liquidity that search‐based theories seek to explain.     

证券市场的期现基差与流动性

 2015年股市危机期间中国证券市场的流动性尽失,甚至一度出现“千股跌停”这一罕见情形,监管层随后对股指期货和股市现券卖空进行最为严厉的限制,这一系列举措给实证研究带来一个很好的拟自然实验场景,用来研究中国证券市场的流动性和期现基差问题。        选取中国沪深300股票指数和沪深300股指期货的5分钟高频数据和日度低频数据为样本,以经典的金融学套利交易理论为基础,对2015年股灾监管前后划分样本区间,使用VAR模型和OLS回归对市场的流动性和期现基差进行分析。        研究结果表明,期现基差是导致套利交易的原因,进而造成订单不平衡,从而减弱了流动性。期现的正向基差比负向基差对流动性的影响大,且这种非对称效应在极端行情下差别更大;当期现基差为正时,套利者可以很容易的卖空股指期货并做多现货,这种订单的不平衡引起现货市场的流动性增加,但是一旦出现负向期现基差,很难卖空股票现货同时做多股指期货,导致流动性下降;高频和低频数据的结论都证明正向期现基差会引发套利,从而使流动性增加。在股指期货和融券交易被限制后,套利交易难以有效进行,期现基差为负,无法通过套利交易增加流动性,这可能是造成2015年股市危机期间流动性尽失的一个原因。        研究结论不仅对2015年中国股市危机期间流动性缺失提供了一种解释,同时也对监管机构如何应对股票市场危机具有启发意义。     

Strategic Liquidity Provision in Limit Order Markets

We characterize and prove the existence of Nash equilibrium in a limit order market with a finite number of risk‐neutral liquidity providers. We show that if there is sufficient adverse selection, then pointwise optimization (maximizing in p for each q) in a certain nonlinear pricing game produces a Nash equilibrium in the limit order market. The need for a sufficient degree of adverse selection does not vanish as the number of liquidity providers increases. Our formulation of the nonlinear pricing game encompasses various specifications of informed and liquidity trading, including the case in which nature chooses whether the market‐order trader is informed or a liquidity trader. We solve for an equilibrium analytically in various examples and also present examples in which the first‐order condition for pointwise optimization does not define an equilibrium, because the amount of adverse selection is insufficient.     

Forecasting daily outflows from a bank account

This paper is concerned with forecasting the total dollar amounts of checks presented for payment against a company bank account. Checks are issued each day against the account and mailed to parties located in different parts of the country. The mail lag for each check is taken into account explicitly given that data on this variable are readily available from external sources. Based on the distribution of time until clearance of each check after its receipt, the probability distribution of the total amount presented for payment on each day between consecutive bank statements can be readily computed one day ahead. A procedure for implementation of this forecasting scheme is suggested.