RDP 2013-12: Central Counterparty Links and Clearing System Exposures
Equation
2
Y
L
=
2
Y
P
+
1
2
Y
=
∑
i
∈
N
2
E
[
max
(
∑
j
∈
N
(
X
i
j
1
+
X
i
j
2
)
,
0
)
]
+
E
[
max
(
∑
i
∈
N
1
∑
j
∈
N
2
(
X
i
j
1
+
X
i
j
2
)
,
0
)
]
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