Thesis (doctoral)--Universität Rostock.

Clearinghouses insure trades. Acting as a central counterparty (CCP), clearinghouses consolidate financial exposures across multiple institutions, aiding the efficient management of counterparty credit risk. In this thesis, we study the decision problem faced by for-profit clearinghouses, focusing on primary economic incentives driving their determination of layers of loss-absorbing capital. The clearinghouse's loss-allocation mechanism, referred to as the default waterfall, governs the allocation and management of counterparty risk. This stock of loss-absorbing capital typically consists of initial margins, default funds, and the clearinghouse's contributed equity. We separate the overall decision problem into two distinct subproblems and study them individually. The first is the clearinghouse's choice of initial margin and clearing fee requirements, and the second involves its choice of resources further down the waterfall, namely the default funds and clearinghouse equity. We solve for the clearinghouse's equilibrium choices in both cases explicitly, and address the different economic roles they play in the clearinghouse's profit-maximization process. The models presented in this thesis show, without exception, that clearinghouse choices should depend not only on the riskiness of the cleared position but also on market and participants' characteristics such as default probabilities, fundamental value, and funding opportunity cost. Our results have important policy implications. For instance, we predict a counteracting force that dampens monetary easing enacted via low interest rate policies. When funding opportunity costs are low, our research shows that clearinghouses employ highly conservative margin and default funds, which tie up capital and credit. This is supported by the low interest rate environment following the financial crisis of 2007--08. In addition to low productivity growth and return on capital, major banks have chosen to accumulate large cash piles on their balance sheets rather than increase lending. In terms of systemic risk, our empirical work, joint with the U.S. Commodity Futures Trading Commission (CFTC), points to the possibility of destabilizing loss and margin spirals: in the terminology of Brunnermeier and Pedersen (2009), we argue that a major clearinghouse's behavior is consistent with that of an uninformed financier and that common shocks to credit quality can lead to tightening margin constraints.

This thesis is concerned with a discussion of banking clearing gains and losses. Background material covers the history of deposit banking in general and in Canada, a discussion of deposit expansion for a one and a multi-bank system, and the clearing system in use today by the Canadian Chartered Banks. The background material continues with a discussion of the reserve rate in Canada, the rates of the deposit liability of the Canadian Chartered Banks and the method used to determine the required primary reserve each bank must maintain with the Bank of Canada. In respect to the clearing gain or loss figure for any bank, examples are given to show how the net clearing gain or loss for any bank in the short run can be influenced by the spending habits of the banks' customers, the money market transactions of the bank and its customers, the action of the Bank of Canada and the rate of investment growth for any one bank relative to other banks. In the long run customers loyalty is deemed to be the sole factor having effect upon the net clearing gain and loss figures for any one bank. The conclusion states the following two hypotheses. 1. In the short run, clearing gains and losses for any one bank are a function of: the spending habits of the bank's customers; the money market transactions of the bank and its customers; the action of the Bank of Canada; and, the relative rate of investment growth. 2. In the long run clearing gains and losses are a factor of the customers loyalty enjoyed by each bank. An Appendix explains why these hypotheses were not tested and lists the information that would be needed to test them. J. N. Bray. / Business, Sauder School of / Graduate

Thesis (Ph.D.)--University of Western Australia, 2006.

Malone, Yates & Benjamin (1987) made predictions about the impact of information technology and systems on the organisation of firms and markets based on transaction cost effects discussed earlier by Coase (1937) and Williamson (1975). Evans and Wurster (1999, 2000) examined these ideas in terms of “richness and reach”. Berger, Hancock & Marquardt (1996) proposed a framework for analysing efficiency, risks, costs and innovations in the payments system. In this, they called for additional research into risks and costs in various aspects of the international payments systems and offered a framework for such an examination. This dissertation examines these and other authors’ work from the literature, follows the development of actual systems newly implemented for international trade finance, and considers the impacts of electronic commerce on the field of international trade finance, in particular its effect on the costs and risks involved. This question is important because the burden of paper-based documentation that controls international trade is approximately 6% of $USD7.5 trillion per year. If efficiencies, even small ones, can be gained in this overhead cost, at an acceptable level of risk, then a substantial saving in real dollar terms can be achieved each year, improving the efficiency of world trade and easing the burden on both suppliers and consumers worldwide. The research questions are examined by means of a three round Delphi survey (three iterations of questionnaires with analysis and feedback between rounds) of a panel of experts drawn from international bankers, users of trade finance, and academic researchers into international trade finance and e-commerce. The survey first identifies the factors of greatest import and interest. It then digs deeper and seeks consensus on areas where there is divergent opinion, and finally seeks to critique a model based on the Berger, Hancock & Marquardt (1996) model. In the process the panel is able to estimate the approximate size of shifts in both costs and risks expected from the implementation of e-commerce methods. These are examined in light of the Malone Yates & Benjamin (1987) and Evans & Wurster (2000) theories and found to be consistent. This empirical confirmation of theoretical expectation, combined with estimates of the size of change are then used to make specific recommendations to various participants in the field of international trade finance so that they can reap the benefits of the transition in process.

Univ., Diss., 1999--Bonn, 1999.