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RDP 9409: Default Risk and Derivatives: An Empirical Analysis of Bilateral Netting
Equation (A3)
M
t
∼
Ν
(
M
0
-
σ
2
t/2,σ
2
t
)
MathType@MTEF@5@5@+= feaagKart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn hiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr 4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq=Jc9 vqaqpepm0xbba9pwe9Q8fs0=yqaqpepae9pg0FirpepeKkFr0xfr=x fr=xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGcbaGaaeytamaaBa aaleaacaqG0baabeaakiaab6hacaqGDoWaaeWaaeaacaqGnbWaaSba aSqaaiaabcdaaeqaaOGaaeylaiaabo8adaahaaWcbeqaaiaabkdaaa GccaqG0bGaae4laiaabkdacaqGSaGaae4WdmaaCaaaleqabaGaaeOm aaaakiaabshaaiaawIcacaGLPaaaaaa@4677@