RDP 2013-12: Central Counterparty Links and Clearing System Exposures
Equation
Y
U
=
∑
k
∈
K
∑
i
∈
N
E
[
max
(
∑
j
∈
N
X
i
j
k
,
0
)
]
Y
L
=
∑
c
∈
C
∑
i
∈
N
c
E
[
max
(
∑
j
∈
N
∑
k
∈
K
X
i
j
k
,
0
)
]
+
∑
c
∈
C
∑
d
≠
c
∈
C
E
[
max
(
∑
i
∈
N
c
∑
j
∈
N
d
∑
k
∈
K
X
i
j
k
,
0
)
]
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