RDP 9409: Default Risk and Derivatives: An Empirical Analysis of Bilateral Netting
Equation (A5)
P
0
=
(
-1+
∑
j
=1
n
(
iC
j
(
1+z
j
)
j
)
+
1
(
1+z
n
)
)
x
FV
MathType@MTEF@5@5@+= feaagKart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn hiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr 4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq=Jc9 vqaqpepm0xbba9pwe9Q8fs0=yqaqpepae9pg0FirpepeKkFr0xfr=x fr=xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGcbaGaaeiuamaaBa aaleaacaqGWaaabeaakiaaykW7caqG9aGaaGPaVpaabmaabaGaaeyl aiaabgdacaqGRaWaaabCaeaadaqadaqaamaalaaabaGaaeyAaiaabo eadaWgaaWcbaGaaeOAaaqabaaakeaadaqadaqaaiaabgdacaqGRaGa aeOEamaaBaaaleaacaqGQbaabeaaaOGaayjkaiaawMcaamaaCaaale qabaGaaeOAaaaaaaaakiaawIcacaGLPaaacaqGRaWaaSaaaeaacaqG XaaabaWaaeWaaeaacaqGXaGaae4kaiaabQhadaWgaaWcbaGaaeOBaa qabaaakiaawIcacaGLPaaaaaaaleaacaWGQbGaaeypaiaabgdaaeaa caqGUbaaniabggHiLdaakiaawIcacaGLPaaacaqG4bGaaGPaVlaabA eacaqGwbaaaa@5A09@