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