RDP 2013-12: Central Counterparty Links and Clearing System Exposures
Equation
Y
U
=
(
σ
1
+
σ
2
)
N
N
−
1
2
π
Y
L
=
(
σ
1
+
σ
2
)
N
′
N
−
1
2
π
+
(
N
1
+
N
2
)
(
N
−
1
)
(
σ
1
2
+
σ
2
2
+
2
ρ
σ
1
σ
2
)
2
π
+
2
N
′
(
N
1
σ
2
2
+
N
2
σ
1
2
)
+
N
1
N
2
(
σ
1
2
+
σ
2
2
+
2
ρ
σ
1
σ
2
)
2
π
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