Bundesbank research proposes improved structure for counterparty credit risk

bundesbank

A discussion paper published on April 26 by the Deutsche Bundesbank assesses the optimal way to structure a counterparty credit risk mitigation scheme.

The paper, Restructuring counterparty credit risk by Claudio Albanese, Damiano Brigo and Frank Oertel, tests 10 different structures for counterparty credit risk management, ranging from bi-partite to "penta-partite", which includes a central counterparty.

The researchers find that a "quadri-partite" structure is the "most promising". Under this

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.centralbanking.com/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Central Banking account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: