Skip to content
RDP 9409: Default Risk and Derivatives: An Empirical Analysis of Bilateral Netting
Equation (4)
Add-on = Basle
gross
add-on
x
[
NGR+β
(
1-NGR
)
]
MathType@MTEF@5@5@+= feaagKart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn hiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr 4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq=Jc9 vqaqpepm0xbba9pwe9Q8fs0=yqaqpepae9pg0FirpepeKkFr0xfr=x fr=xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGcbaGaaeyqaiaabs gacaqGKbGaaeylaiaab+gacaqGUbGaaeiiaiaab2dacaqGGaGaaeOq aiaabggacaqGZbGaaeiBaiaabwgacaaMc8Uaae4zaiaabkhacaqGVb Gaae4CaiaabohacaaMc8UaaeyyaiaabsgacaqGKbGaaeylaiaab+ga caqGUbGaaGPaVlaabIhacaaMc8+aamWaaeaacaqGobGaae4raiaabk facaqGRaGaaeOSdmaabmaabaGaaeymaiaab2cacaqGobGaae4raiaa bkfaaiaawIcacaGLPaaaaiaawUfacaGLDbaaaaa@5E65@