RDP 2013-12: Central Counterparty Links and Clearing System Exposures
Equation
Y
L
=
N
(
(
N
−
1
)
(
σ
1
2
+
σ
2
2
+
2
ρ
σ
1
σ
2
)
2
π
)
+
2
(
N
1
N
2
(
σ
1
2
+
σ
2
2
+
2
ρ
σ
1
σ
2
)
2
π
)
=
(
N
N
−
1
+
2
N
1
N
2
)
(
σ
1
2
+
σ
2
2
+
2
ρ
σ
1
σ
2
)
2
π
MathType@MTEF@5@5@+= feaagKart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn hiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr 4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq=Jc9 vqaqpepm0xbba9pwe9Q8fs0=yqaqpepae9pg0FirpepeKkFr0xfr=x fr=xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGceaqabeaaqaaaaa aaaaWdbiaadMfadaWgaaWcbaGaamitaaqabaGccqGH9aqpcaWGobWa aeWaaeaadaWcaaqaamaakaaabaWaaeWaaeaacaWGobGaeyOeI0IaaG ymaaGaayjkaiaawMcaamaabmaabaGaeq4Wdm3aa0baaSqaaiaaigda aeaacaaIYaaaaOGaey4kaSIaeq4Wdm3aa0baaSqaaiaaikdaaeaaca aIYaaaaOGaey4kaSIaaGOmaiabeg8aYjabeo8aZnaaBaaaleaacaaI Xaaabeaakiabeo8aZnaaBaaaleaacaaIYaaabeaaaOGaayjkaiaawM caaaWcbeaaaOqaamaakaaabaGaaGOmaiabec8aWbWcbeaaaaaakiaa wIcacaGLPaaacqGHRaWkcaaIYaWaaeWaaeaadaWcaaqaamaakaaaba GaamOtamaaBaaaleaacaaIXaaabeaakiaad6eadaWgaaWcbaGaaGOm aaqabaGcdaqadaqaaiabeo8aZnaaDaaaleaacaaIXaaabaGaaGOmaa aakiabgUcaRiabeo8aZnaaDaaaleaacaaIYaaabaGaaGOmaaaakiab gUcaRiaaikdacqaHbpGCcqaHdpWCdaWgaaWcbaGaaGymaaqabaGccq aHdpWCdaWgaaWcbaGaaGOmaaqabaaakiaawIcacaGLPaaaaSqabaaa keaadaGcaaqaaiaaikdacqaHapaCaSqabaaaaaGccaGLOaGaayzkaa aabaGaeyypa0ZaaeWaaeaacaWGobWaaOaaaeaacaWGobGaeyOeI0Ia aGymaaWcbeaakiabgUcaRiaaikdadaGcaaqaaiaad6eadaWgaaWcba GaaGymaaqabaGccaWGobWaaSbaaSqaaiaaikdaaeqaaaqabaaakiaa wIcacaGLPaaadaWcaaqaamaakaaabaWaaeWaaeaacqaHdpWCdaqhaa WcbaGaaGymaaqaaiaaikdaaaGccqGHRaWkcqaHdpWCdaqhaaWcbaGa aGOmaaqaaiaaikdaaaGccqGHRaWkcaaIYaGaeqyWdiNaeq4Wdm3aaS baaSqaaiaaigdaaeqaaOGaeq4Wdm3aaSbaaSqaaiaaikdaaeqaaaGc caGLOaGaayzkaaaaleqaaaGcbaWaaOaaaeaacaaIYaGaeqiWdahale qaaaaaaaaa@8FFF@