RDP 2013-12: Central Counterparty Links and Clearing System Exposures Equation

Y U = σ 1 + σ 2 2 π [ ( N − N ′ ) N − 1 + N ′ g 2 ( N ′ − 1 ) + N − N ′ ] Y L = σ 1 2 + σ 2 2 + 2 ρ σ 1 σ 2 2 π [ N ′ g 2 ( N ′ − 1 ) + N − N ′ + ( N − N ′ ) N − 1 + N 1 ′ [ g 2 N 2 ′ + N 2 − N 2 ′ ] + N 2 ( N 1 − N 1 ′ ) + N 2 ′ [ g 2 N 1 ′ + N 1 − N 1 ′ ] + N 1 ( N 2 − N 2 ′ ) ] MathType@MTEF@5@5@+= feaagKart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn hiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr 4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq=Jc9 vqaqpepm0xbba9pwe9Q8fs0=yqaqpepae9pg0FirpepeKkFr0xfr=x fr=xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGceaqabeaacaWGzb WaaSbaaSqaaiaadwfaaeqaaOGaeyypa0ZaaSaaaeaacqaHdpWCdaWg aaWcbaGaaGymaaqabaGccqGHRaWkcqaHdpWCdaWgaaWcbaGaaGOmaa qabaaakeaadaGcaaqaaiaaikdacqaHapaCaSqabaaaaOWaamWaaeaa daqadaqaaiaad6eacqGHsislcaWGobaccaGae8NmGikacaGLOaGaay zkaaWaaOaaaeaacaWGobGaeyOeI0IaaGymaaWcbeaakiabgUcaRiaa d6eacqWFYaIOdaGcaaqaaiaadEgadaahaaWcbeqaaiaaikdaaaGcda qadaqaaiaad6eacqWFYaIOcqGHsislcaaIXaaacaGLOaGaayzkaaGa ey4kaSIaamOtaiabgkHiTiaad6eacqWFYaIOaSqabaaakiaawUfaca GLDbaaaeaacaWGzbWaaSbaaSqaaiaadYeaaeqaaOGaeyypa0ZaaSaa aeaadaGcaaqaaiabeo8aZnaaDaaaleaacaaIXaaabaGaaGOmaaaaki abgUcaRiabeo8aZnaaDaaaleaacaaIYaaabaGaaGOmaaaakiabgUca RiaaikdacqaHbpGCcqaHdpWCdaWgaaWcbaGaaGymaaqabaGccqaHdp WCdaWgaaWcbaGaaGOmaaqabaaabeaaaOqaamaakaaabaGaaGOmaiab ec8aWbWcbeaaaaGcdaWabaqaaiaad6eacqWFYaIOdaGcaaqaaiaadE gadaahaaWcbeqaaiaaikdaaaGcdaqadaqaaiaad6eacqWFYaIOcqGH sislcaaIXaaacaGLOaGaayzkaaGaey4kaSIaamOtaiabgkHiTiaad6 eacqWFYaIOcqGHRaWkaSqabaGcdaqadaqaaiaad6eacqGHsislcaWG obGae8NmGikacaGLOaGaayzkaaWaaOaaaeaacaWGobGaeyOeI0IaaG ymaaWcbeaaaOGaay5waaaabaGaey4kaSYaaOaaaeaacaWGobWaa0ba aSqaaiaaigdaaeaacqWFYaIOaaGcdaWadaqaaiaadEgadaahaaWcbe qaaiaaikdaaaGccaWGobWaa0baaSqaaiaaikdaaeaacqWFYaIOaaGc cqGHRaWkcaWGobWaaSbaaSqaaiaaikdaaeqaaOGaeyOeI0IaamOtam aaDaaaleaacaaIYaaabaGae8NmGikaaaGccaGLBbGaayzxaaaaleqa aOGaey4kaSYaaOaaaeaacaWGobWaaSbaaSqaaiaaikdaaeqaaOWaae WaaeaacaWGobWaaSbaaSqaaiaaigdaaeqaaOGaeyOeI0IaamOtamaa DaaaleaacaaIXaaabaGae8NmGikaaaGccaGLOaGaayzkaaaaleqaaa GcbaWaamGaaeaacqGHRaWkdaGcaaqaaiaad6eadaqhaaWcbaGaaGOm aaqaaiab=jdiIcaakmaadmaabaGaam4zamaaCaaaleqabaGaaGOmaa aakiaad6eadaqhaaWcbaGaaGymaaqaaiab=jdiIcaakiabgUcaRiaa d6eadaWgaaWcbaGaaGymaaqabaGccqGHsislcaWGobWaa0baaSqaai aaigdaaeaacqWFYaIOaaaakiaawUfacaGLDbaaaSqabaGccqGHRaWk daGcaaqaaiaad6eadaWgaaWcbaGaaGymaaqabaGcdaqadaqaaiaad6 eadaWgaaWcbaGaaGOmaaqabaGccqGHsislcaWGobWaa0baaSqaaiaa ikdaaeaacqWFYaIOaaaakiaawIcacaGLPaaaaSqabaaakiaaw2faaa aaaa@C491@