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