RDP 2013-12: Central Counterparty Links and Clearing System Exposures
Equation
Y
L
=
1
Y
L
+
2
Y
L
=
∑
i
∈
N
E
[
max
(
∑
j
∈
N
(
X
i
j
1
+
X
i
j
2
)
,
0
)
]
+
2
E
[
max
(
∑
i
∈
N
2
∑
j
∈
N
1
(
X
i
j
1
+
X
i
j
2
)
,
0
)
]
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