RDP 2013-12: Central Counterparty Links and Clearing System Exposures
Equation
Y
U
=
N
(
σ
1
N
−
1
2
π
+
σ
2
N
−
1
2
π
)
=
(
σ
1
+
σ
2
)
N
N
−
1
2
π
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