RDP 2013-12: Central Counterparty Links and Clearing System Exposures
Equation
[
X
i
j
1
X
i
j
2
]
∼
N
(
[
0
0
]
,
[
σ
2
1
ρ
σ
1
σ
2
ρ
σ
1
σ
2
σ
2
2
]
)
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