Skip to content
RDP 9409: Default Risk and Derivatives: An Empirical Analysis of Bilateral Netting
Equation (2)
Credit
exposure
=
max
[
(
net
mark-to-market
+
add-on
)
, 0
]
MathType@MTEF@5@5@+= feaagKart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn hiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr 4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq=Jc9 vqaqpepm0xbba9pwe9Q8fs0=yqaqpepae9pg0FirpepeKkFr0xfr=x fr=xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGcbaGaae4qaiaabk hacaqGLbGaaeizaiaabMgacaqG0bGaaGPaVlaabwgacaqG4bGaaeiC aiaab+gacaqGZbGaaeyDaiaabkhacaqGLbGaeyypa0JaciyBaiaacg gacaGG4bWaamWaaeaadaqadaqaaiaab6gacaqGLbGaaeiDaiaaykW7 caqGTbGaaeyyaiaabkhacaqGRbGaaeylaiaabshacaqGVbGaaeylai aab2gacaqGHbGaaeOCaiaabUgacaqGLbGaaeiDaiabgUcaRiaabgga caqGKbGaaeizaiaab2cacaqGVbGaaeOBaaGaayjkaiaawMcaaiaabY cacaqGGaGaaeimaaGaay5waiaaw2faaaaa@64F3@