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RDP 2013-12: Central Counterparty Links and Clearing System Exposures
Equation (4)
R
≡
Y
L
Y
U
=
(
N
N
−
1
+
2
N
1
N
2
)
σ
1
2
+
σ
2
2
+
2
ρ
σ
1
σ
2
(
σ
1
+
σ
2
)
N
N
−
1
=
σ
1
2
+
σ
2
2
+
2
ρ
σ
1
σ
2
(
σ
1
+
σ
2
)
(
1
+
2
N
1
N
2
N
N
−
1
)
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