Bundesbank research proposes improved structure for counterparty credit risk


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

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