A paper by two Polish economists suggests a new way of calculating the risk central banks take when they extend collateralised loans to commercial banks, arguing the Gaussian copula-based approach that most currently use is insufficient.

In Estimating the risk of joint defaults: an application to central bank collateralized lending operations, published by the National Bank of Poland, Dariusz Gatarek and Juliusz Jabłecki present "a simple model for correlated defaults", when the counterparty and